NOTTINGHAM UNIVERSITY BUSINESS SCHOOL
Preliminary Reading List for MSc Computational Finance 2006-07
Please consult the individual course structures shown at
http://www.nottingham.ac.uk/business/ma/maprogrammes.html
G54CMF Computer Programming Methods for Finance
This is Java-based and so it is recommended that students work through
the Java Tutorial at http://java.sun.com/docs/books/tutorial/
Prof. Berry's booklist for financial accounting is applicable to this module.
It was not possible to identify a book on this subject that uses Java. The
convenor will try to get a pack of notes together prior to the
commencement of the module starts.
G64FAI Foundations of Artificial Intelligence
Russell and Norvig Artificial intelligence : a modern approach.
2nd ed. Prentice Hall, 2003.
Negnevitsky and Michael. Artificial intelligence : a guide to intelligent
systems.
Addison-Wesley, 2002.
Luger. Artificial intelligence : structures and strategies for complex
problem solving.
5th ed. Addison-Wesley, 2005.
Cawsey and Alison. The essence of artificial intelligence.Prentice Hall,
1998.
There is also a reading list in the library for this module at
http://www.nottingham.ac.uk/is/gateway/readinglists/local/displaylist?module=G
64FAI.
N1D001 Capital Market Analysis
Highly recommended reading (cross referenced to lecture programme)
Bodie, Z., Kane A., and Marcus A. J., 2002, Investments,
London, Irwin, 6th Edition (BKM).
Other useful books
Fabozzi, F.J., and F. Modigliani, 2003, Capital Markets, Institutions and
Instruments, New Jersey, Prentice Hall, 3rd Edition (FM).
Haugen, R., A., 2001, The Inefficient Stock Market: What pays off and
why? Prentice Hall, 2nd Edition.
Mishkin, F.S., and Eakins S.G., 2003, Financial Markets and Institutions,
Addison Wesley.
N1D025 Fixed Interest Investment
Bond Markets, Analysis and Strategies
(6th edition) by Frank J. Fabozzi.
N1D026 Derivative Investment
Recommended books
Options, Futures and Other Derivatives (6 Edition)
John C Hull, Prentice-Hall, ISBN: 0131499084
This is the recommended core book for the module. The book covers all
of the material in the course plus much more.
While not being the most advanced book on financial derivatives this
book is "the" book that everyone who works with derivatives either has a
personal copy of or access to. If you are serious about understanding
derivatives then this book is well worth owning.
Derivatives Markets (2 edition)
Robert L McDonald Addison Wesley, ISBN: 0321311493
This book covers much the same material as the previous book and is at a
comparable technical level. It is very well written and may be more suited
to your style. This is simply a matter of personal taste although the
approach is more directed at the practical aspects of using derivatives.
One of the good points about this book is that it contains information on
how to implement valuation methods in Excel including the use of VBA
(see Benninga below).
Other books
Financial Modeling (Second Edition)
Simon Benninga, MIT Press, ISBN: 0-262-02482-9
A practical development of financial calculations along with a course in
using Excel and Excel
with VBA programming.
Derivatives
David Dubofsky and Thomas Miller, Oxford University Press, ISBN: 0-19511470-1
Easy to read book covering all of the required topics.
An alternative to Hull if you find his style hard to get along with.
An Introduction to Derivatives and Risk Management (6 edition)
Don Chance, Thompson South Western, ISBN: 0-324-17800-X
Another alternative to Hull. Again covers the material and is well written.
Don Chance has a good web site with teaching notes. This is easily
accessible and you might find it quite useful.
Financial Engineering - Derivatives and Risk Management
Keith Cuthbertson and Dirk Nitzsche, Wiley, ISBN: 0-471-49584-0
Good coverage of the material required for this module. Technically
difficult - probably better for the more advanced reader.
Quantitative Financial Economics - Stocks, Bonds and Foreign Exchange (2
edition)
Keith Cuthbertson and Dirk Nitzsche, Wiley, ISBN: 10-470-09171-1
This book covers quantitative methods in the topics mentioned. It is fairly
specialised and probably only of minor interest to students of this module
unless you need to use some of these ideas for your coursework. The
book may well be of interest if you choose to do a quantitative topic for
your dissertation.
Principles of Corporate Finance (8 Edition)
Brealey, Myers and Allen, McGraw-Hill, ISBN: 0-07-295723-9
Good background material although on its own it will not contain enough
detail for this
module.
An Introduction to the Mathematics of Financial Derivatives
Salih N Neftci, Academic Press, ISBN: 0-12-515390-2
The title says it all. If you wish to get to grips with the mathematics
behind the valuation of financial derivatives then this book will provide an
excellent introduction. The required topics in standard calculus and
probability theory are reviewed before launching into the more advanced
material but it would not be a good idea to assume that this book will
provide a study course in these areas. For the more mathematically
orientated student.
Mathematics for Finance - An Introduction to Financial Engineering
Marek Capinski and Tomasz Zastawniak, Springer, ISBN: 1852333308
This book is mathematically simpler than the one by Neftci and does not
cover stochastic calculus at all, which is probably a relief to those
frightened by this level of detail. On the other hand it develops much of
what is used in the course as well as covering other topics in finance such
as portfolio management and in particular deriving the CAPM model. This
would be useful for anyone intending to go more deeply into corporate
finance issues.