CS bg approach Quant job reading list

[wildcolor]

Hi Guys

Though I am currently doing a medical PhD, I recently become very interested in quantitative finance.

I have a good knowledge of Mathematics and Computer science, because I've my Bachelor and Master degree in Computing in reputed universities. But I could say my Finance background is pretty much limited or absent at the moment.

The only book I can borrow from our university library is "Paul Wilmott introduces Quantitative Finance, 2nd edition". Plus, my friend gave me a book "Options, Futures, And other derivatives, 3rd edition"

My question is if these are suitable books for a quant beginner like me?

Any suggestions or comments would really appreciated. Thanks in advance.

 

[chaoticrambler]

There is a master reading list in the books forum you may want to have a look at.

If you have a CS background, maybe gearing yourself towards algo-trading/stat-arb positions than derivative-pricing might be a good idea. But it depends on your priorities of course.

I am preparing for interviews myself, and have found that Hull is definitely what everyone reads as a bare minimum.

 

[wildcolor]

Thanks for the advices. I've checked that post before. And I found those 2 books, because they are in the list.

Also, I didn't really know that a CS background is more suitable for the algo-trading/stat-arb positions. According to the 'what does a quant do', these positions are more commonly found a hedge found company?

There is a master reading list in the books forum you may want to have a look at.

If you have a CS background, maybe gearing yourself towards algo-trading/stat-arb positions than derivative-pricing might be a good idea. But it depends on your priorities of course.

I am preparing for interviews myself, and have found that Hull is definitely what everyone reads as a bare minimum.

 

[chaoticrambler]

Thanks for the advices. I've checked that post before. And I found those 2 books, because they are in the list.

Also, I didn't really know that a CS background is more suitable for the algo-trading/stat-arb positions. According to the 'what does a quant do', these positions are more commonly found a hedge found company?

Yes hedge funds are more likely to have such positions, but Goldman Sachs has it too.

Well I said CS background, because by nature algo-trading would involve more programming than traditional quant positions. As a CS grad, you probably have more background in data structures, algorithms, complexity of algorithms etc than a non-CS grad would be expected to have. Of course on top of that, you need statistics knowledge.
From my experience, C++ is a absolute necessity for such positions though. So if you already have experience in that, thats another advantage.

 

[wildcolor]

Thanks very much Chaoticrambler. I really appreciate it.

One of the reasons that I am so interested in getting a job as a quant is actually because of my friends is working in Goldman Sachs as a quant. His background is pure Mathematics (Phd).

Fortunately, I believe I'm quite good at programming. I've been using c++ for a while. Apart from that, I've also proficient with many other programming languages. So, it seems that my priority task at the moment is to study Hull's book to gain the financial knowledge. I also need to learn how the maths are used in finance.

Today, I actually came across a book in Waterstones from Mr. London (perhaps his surname is John) about "finance modeling in c++". But I guess that wouldn't be a necessary to read before I get a job offer.

Yes hedge funds are more likely to have such positions, but Goldman Sachs has it too.

Well I said CS background, because by nature algo-trading would involve more programming than traditional quant positions. As a CS grad, you probably have more background in data structures, algorithms, complexity of algorithms etc than a non-CS grad would be expected to have. Of course on top of that, you need statistics knowledge.
From my experience, C++ is a absolute necessity for such positions though. So if you already have experience in that, thats another advantage.

 

[Andy Nguyen]

Justin London is his name.
His books have bad rep in the quant circle.

 

[wildcolor]

Yes, the 1st name is Justin.

I saw it today in Waterstone when I was reading other quantitative finance books.
I was planning to read it, if I've finished the books I have and I have time. So, you meant I'd better go for other books?

Justin London is his name.
His books have bad rep in the quant circle.

 

[cheng]

Andy, could you give me some reason about this? One of my friend actually recommended this one for me.

Justin London is his name.
His books have bad rep in the quant circle.

 

[Andy Nguyen]

For starters, try this amusing little rant. I also encounter people who complained about many errors in his books.