……自动微调那几千个基础参数（SVM、associative memory 等）。http://www.bbc.co.uk/science/horizon/1999/midas.shtml 《期权、期货及其他衍生产品》（Options, Futures and Other Derivatives），J. C. Hull，Prentice Hall 出版；《金融微积分》（Financial Calculus），M. Baxter 和 A. Rennie，剑桥大学出版社。但 ML 那部分几乎无关紧要：它根本不是撬动杠杆的那个支点（想想 CDO trade 就懂了）。
…automatically tweak the few k base parameters (SVM, associative memory etc). http://www.bbc.co.uk/science/horizon/1999/midas.shtml Options, Futures and Other Derivatives, J. C. Hull, Prentice Hall Int’l Financial Calculus, M. Baxter and A. Rennie, Cambridge University Press but the ML part is almost irrelevant: it is not the lever in the leverage (think CDO trade).
…only a tool. This link between no-arbitrage and martingale theory is called the 'Fundamental Theorem of Asset Pricing'. There is a nice (basic) explanation of this idea in the book by Baxter and Rennie "Financial Calculus" where they compare the 'expected value' approach of a bookmaker and the 'no-arbitrage' approach. For a more advanced explanation, you can have a look at the book by Delbaen and Schachermayer (2006).
……指期权定价的话，去看看 Mark Joshi 的书吧：- 《The Concepts and Practice of Mathematical Finance》 - 《C++ Design Patterns and Derivatives Pricing》。同样值得一读的还有 Baxter & Rennie 的：- 《Financial Calculus: An Introduction to Derivative Pricing》。等你把这些学透、对测度论（Measure Theory）掌握得差不多之后，你就会想死磕 Shreve 第二卷了。顺便给我自己（有点过时的！）quant……打个小广告
…mean option pricing then check out the books by Mark Joshi: - 'The Concepts and Practice of Mathematical Finance' - 'C++ Design Patterns and Derivatives Pricing' Also of note is Baxter & Rennie: - 'Financial Calculus: An Introduction to Derivative Pricing' Once you've studied those and have a good grasp of Measure Theory, you'll want to tackle Shreve, Vol II. And a brief plug of my (slightly out of date!) quant…
There's a book on financial calculus by Rennie and Baxter [0] that gave me very good intuition on the ideas behind option pricing. It starts with the binomial model and moves on to using stochastic calculus. If you get into the topic you'll…
……自动微调那几千个基础参数（SVM、associative memory 等）。http://www.bbc.co.uk/science/horizon/1999/midas.shtml 《期权、期货及其他衍生产品》（Options, Futures and Other Derivatives），J. C. Hull，Prentice Hall 出版；《金融微积分》（Financial Calculus），M. Baxter 和 A. Rennie，剑桥大学出版社。但 ML 那部分几乎无关紧要：它根本不是撬动杠杆的那个支点（想想 CDO trade 就懂了）。
…automatically tweak the few k base parameters (SVM, associative memory etc). http://www.bbc.co.uk/science/horizon/1999/midas.shtml Options, Futures and Other Derivatives, J. C. Hull, Prentice Hall Int’l Financial Calculus, M. Baxter and A. Rennie, Cambridge University Press but the ML part is almost irrelevant: it is not the lever in the leverage (think CDO trade).
……只是一种工具。这种在 no-arbitrage 和鞅论（martingale theory）之间的联系被称为“资产定价基本定理”（Fundamental Theorem of Asset Pricing）。Baxter 和 Rennie 的书《Financial Calculus》里对这一概念有很棒的（基础）解释，他们把庄家的“期望值”方法与“no-arbitrage”方法进行了对比。想要更进阶的解释，可以看看 Delbaen 和 Schachermayer（2006）的那本书。
…only a tool. This link between no-arbitrage and martingale theory is called the 'Fundamental Theorem of Asset Pricing'. There is a nice (basic) explanation of this idea in the book by Baxter and Rennie "Financial Calculus" where they compare the 'expected value' approach of a bookmaker and the 'no-arbitrage' approach. For a more advanced explanation, you can have a look at the book by Delbaen and Schachermayer (2006).
……指期权定价的话，去看看 Mark Joshi 的书吧：- 《The Concepts and Practice of Mathematical Finance》 - 《C++ Design Patterns and Derivatives Pricing》。同样值得一读的还有 Baxter & Rennie 的：- 《Financial Calculus: An Introduction to Derivative Pricing》。等你把这些学透、对测度论（Measure Theory）掌握得差不多之后，你就会想死磕 Shreve 第二卷了。顺便给我自己（有点过时的！）quant……打个小广告
…mean option pricing then check out the books by Mark Joshi: - 'The Concepts and Practice of Mathematical Finance' - 'C++ Design Patterns and Derivatives Pricing' Also of note is Baxter & Rennie: - 'Financial Calculus: An Introduction to Derivative Pricing' Once you've studied those and have a good grasp of Measure Theory, you'll want to tackle Shreve, Vol II. And a brief plug of my (slightly out of date!) quant…
Rennie 和 Baxter 写过一本关于金融微积分的书 [0]，它让我对期权定价背后的直觉有了非常透彻的理解。它从二项式模型（binomial model）讲起，然后过渡到随机微积分（stochastic calculus）。如果你深入这个领域，你会……
There's a book on financial calculus by Rennie and Baxter [0] that gave me very good intuition on the ideas behind option pricing. It starts with the binomial model and moves on to using stochastic calculus. If you get into the topic you'll…