List of Core Books for Quant Engineer/Analyst.
List of Core Books for Quant Engineer/Analyst.
List of Core Books for Quant Engineer/Analyst.
General reading on Wall Street culture and history
Reminiscences of a Stock Operator (Wiley Investment Classics)
Working the Street: What You Need to Know About Life on Wall Street
Liar’s Poker: Rising Through the Wreckage on Wall Street
Monkey Business: Swinging Through the Wall Street Jungle
Fiasco: The Inside Story of a Wall Street Trader
Den of Thieves
When Genius Failed: The Rise and Fall of Long-Term Capital Management
Traders, Guns & Money: Knowns and unknowns in the dazzling world of derivatives
The Greatest Trade Ever: The Behind-the-Scenes Story of How John Paulson Defied Wall Street and Made Financial History
Goldman Sachs : The Culture of Success
The House of Morgan: An American Banking Dynasty and the Rise of Modern Finance
Wall Street: A History: From Its Beginnings to the Fall of Enron
The Murder of Lehman Brothers: An Insider’s Look at the Global Meltdown
On the Brink: Inside the Race to Stop the Collapse of the Global Financial System
House of Cards: A Tale of Hubris and Wretched Excess on Wall Street
Too Big to Fail: The Inside Story of How Wall Street and Washington Fought to Save the Financial System-and Themselves
Liquidated: An Ethnography of Wall Street
Fortune’s Formula: The Untold Story of the Scientific Betting System That Beat the Casinos and Wall Street
Career as a quant
My Life as a Quant: Reflections on Physics and Finance
How I Became a Quant: Insights from 25 of Wall Street’s Elite
The Big Short: Inside the Doomsday Machine
The Quants: How a New Breed of Math Whizzes Conquered Wall Street and Nearly Destroyed It
Nerds on Wall Street: Math, Machines and Wired Markets
Physicists on Wall Street and Other Essays on Science and Society
The Complete Guide to Capital Markets for Quantitative Professionals
Starting Your Career as a Wall Street Quant: A Practical, No-BS Guide to Getting a Job in Quantitative Finance and Launching a Lucrative Career
Free quant career guide downloads
What do quant do? A guide by Mark Joshi
Paul & Dominic’s Guide to Quant Careers Version 1.95
Career in Financial Markets 2009-2010- a guide by efinancialcareers
Interview Preparation Guide by Michael Page: Quantitative Analysis
Interview Preparation Guide by Michael Page: Quantitative Structuring
Paul & Dominic’s Job Hunting in Interesting Times Second Edition
A Practitioner’s Guide to Mathematical Finance by Peter Carr
Reading list before you start an MFE program
A Primer for the Mathematics of Financial Engineering (+ Solutions Manual) by Dan Stefanica
An Introduction to the Mathematics of Financial Derivatives, Second Edition by Salih Neftci
Options, Futures, and Other Derivatives with Derivagem CD (7th Edition) by John Hull
Paul Wilmott on Quantitative Finance 3 Volume Set (2nd Edition) by Paul Wilmott
Principles of Financial Engineering, Second Edition by Salih Neftci
The Concepts and Practice of Mathematical Finance by Mark Joshi
Financial Options: From Theory to Practice by Stephen Figlewski
Financial Calculus : An Introduction to Derivative Pricing by Martin Baxter
A Course in Financial Calculus by Etheridge Alison
The Mathematics of Financial Derivatives: A Student Introduction by Paul Wilmott
frequently asked questions in Quantitative Finance by Paul Wilmott
Derivatives Markets by Robert L. McDonald
Reading list to prepare for quant interviews
Heard on The Street: Quantitative Questions from Wall Street Job Interviews – by Timothy Crack
Quant Job Interview Questions And Answers – by Mark Joshi
Frequently Asked Questions in Quantitative Finance – by Paul Wilmott
A Practical Guide To Quantitative Finance Interviews – by Xinfeng Zhou
Basic Black-Scholes: Option Pricing and Trading – by Timothy Crack
Fifty Challenging Problems in Probability with Solutions -by Frederick Mosteller
Vault Guide to Advanced Finance & Quantitative Interviews
C++ (ordered by level of difficulty)
Problem Solving with C++, 7th Edition by Walter Savitch
C++ How to Program (7th Edition) by Harvey Deitel
Absolute C++ (4th Edition) by Walter Savitch
Thinking in C++: Introduction to Standard C++, Volume One by Bruce Eckel
Thinking in C++: Practical Programming, Volume Two by Bruce Eckel
The C++ Programming Language: Special Edition by Bjarne Stroustrup (C++ inventor)
Effective C++: 55 Specific Ways to Improve Your Programs and Designs by Scot Myers
C++ Primer (4th Edition) by Stanley Lippman
C++ Design Patterns and Derivatives Pricing (2nd edition) by Mark Joshi
Financial Instrument Pricing Using C++ by Daniel Duffy
F# (ordered by level of difficulty)
Programming F#: An introduction to functional language by Chris Smith
F# for Scientists by Jon Harrops (Microsoft Researcher)
Real World Functional Programming: With Examples in F# and C#
Expert F# 2.0 by Don Syme
Matlab (ordered by level of difficulty)
Matlab: A Practical Introduction to Programming and Problem Solving
Numerical Methods in Finance and Economics: A MATLAB-Based Introduction (Statistics in Practice)
Excel
Excel 2007 Power Programming with VBA by John Walkenbach
Excel 2007 VBA Programmer’s Reference
Financial Modeling by Simon Benninga
Excel Hacks: Tips & Tools for Streamlining Your Spreadsheets
Excel 2007 Formulas by John Walkenbach
VBA
Advanced modelling in finance using Excel and VBA by Mike Staunton
Implementing Models of Financial Derivatives: Object Oriented Applications with VBA
Python
Learning Python: Powerful Object-Oriented Programming
Python Cookbook
Credit Derivatives
Credit Derivatives Pricing Models: Model, Pricing and Implementation by Philipp J. Schönbucher
Credit Derivatives & Synthetic Structures: A Guide to Instruments and Applications by Janet M. Tavakoli
Derivatives Markets (2nd Edition)
Risk Management
Market Risk Analysis (4 Volume Boxset) by Carol Alexander
Value at Risk, 3rd Ed.: The New Benchmark for Managing Financial Risk by Philippe Jorion
Risk Management and Financial Institutions (2nd Edition) by John Hull
Please Add more.
Posted by Lokesh Madan at 11:02 PM
If I put all of these books on the back of my resume will I get into a HF?
Recommendations for books on quantitative trading (Originally Posted: 05/18/2007)
Hi, I'm starting to read When Genius Failed, and it's gotten me interested in quant. trading. Are there any good technical books out there that aren't too esoteric that focus on mathematical and scientific applications to trading?
If you're interested in trading staregies you can read
Technical Analysis of the Financial Markets - its like 1200 pages but its a readable (like a textbook) explanation of a number of technical trading theories. As a caveat, some people like Burton Malkiel, author of Random Walk Down Wall Street, don't believe in technical analysis. I worked on a prop desk that used technical analysis. These guys made a ton of money using this stuff. I think he's wrong and the book is good.
In When Genius Failed, some of their strategies are based on the Black Scholes Model of Options Pricing. I;m sure there's some book explaining it but I don't know any off hand. It won a nobel prize so there's probably a paper on it somewhere.
No, but if you carry them all on your back, you can get into UPS or a country club as a caddy.
Think about it. Isn't your question intuitively contradictive? Quant trading cannot be simplified because of the complex content and practice. I think you need to confine your interest to one area in particular, then branch out once you have a good fundamental base. I.e., equities trading, options trading, fixed income trading etc. - - - I am sure if you go on a site like Amazon.com / half.com and just type in anything with the word "introduction" before your search data, it will prove to be helpful.
I didn't say the book needed to be simplified. I'm a math major and have taken courses in statistics and Calc I-III and linear algebra. I've also taken AP Physics C, so math and science aren't foreign to me. What I was looking for are, I guess I wasn't clear, books that deal with the technical side of trading, but not something that so esoteric that only scholars in the math and science fields, or seasoned traders will understand.
Nice copying and pasting of quant nets reading list. Did you learn that from one of the books?
Maybe if you could explain area of trading it would help? Such as arbitrage, hedging, etc.?
Black-Scholes isn't too difficult if you're a math major. As long as you're comfortable with concepts such as martingale measures and the no-arbitrage theorem (both very basic), and not intimidated by stochastic calculus, you'll have no problem.
Thanks a ton!
/
your not going to 'get' most books on quant trading until you first learn some stochastic calculus. baxter & rennie's book "financial calculus" is a good introduction.
options, futures, and derivatives by Hull
Yor-Revuz "Brownian motion and continuous martingales" Protter "Stochastic Integration" Karatzas-Shreve "Brownian motion and Stochastic Calculus" Durrett "Stochastic Calculus"
are all excellent, simple and well-written introductory texts....
This is another non-fiction that is to Derivatives Structuring what When Genius Fails is to arbitage
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