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Master reading list for Quants, MFE (Financial Engineering) students

Andy Nguyen

Andy Nguyen

Joined
5/2/06
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QuantNet International Guide to Financial Engineering Programs

FREE QUANT CAREER GUIDES
  • What do quant do ? A guide by Mark Joshi. (see attachment)
  • Paul & Dominic's Guide to Quant Careers (see attachment)
  • Paul & Dominic's Guide to Getting a Quant Job (see attachment)
  • Career in Financial Markets 2011- a guide by efinancialcareers. Download
  • Interview Preparation Guide by Michael Page: Quantitative Analysis. Download
  • Interview Preparation Guide by Michael Page: Quantitative Structuring. Download
  • Peter Carr's A Practitioner's Guide to Mathematical Finance (see attachment)
  • Max Dama's Guide to Automated Trading (see attachment)
CAREER AS A QUANT
BOOKS FOR QUANT INTERVIEWS
GOOD BOOKS TO READ BEFORE STARTING MFE PROGRAM
GENERAL READING ON WALL STREET
PROGRAMMING
C++ (ordered by level of difficulty)
C# (ordered by level of difficulty)
F# (ordered by level of difficulty)
Matlab (ordered by level of difficulty)
Excel
VBA
Python
FINITE DIFFERENCES
MONTE CARLO
STOCHASTIC CALCULUS
VOLATILITY
INTEREST RATE
FX
STRUCTURED FINANCE
STRUCTURED CREDIT
RISK MANAGEMENT/VAR
SAS/S/S-PLUS
HANDS ON
NOT ENOUGH YET?
 

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Last edited:
I'd like to see some book suggestions for structured finance, CDS, CDO, credit derivative.
 
For those beginners who are interested in structured finance
"The Securitization Markets Handbook" by Charles Stone and Anne Zissu
is the one to start with.

For general,
Bond Markets Analysis, and strategies by Frank Fabozzi is a good one too.
 
I just added books suggested by John to the Structured Finance and Structured Credit sections.
 
Andy, I have a long list of books to recommend, should I PM it to you first?
 
Andy said:
If it's long, you can PM it to me. If you can include ISBN, it'll be great.

Python must be useful since these are recommended by the guys over at Quantlib group.
Click to expand...

If books about Python made this list, we should include books about Perl and Java as well.

Also, I don't see Meyer's books in the list:

- Effective C++
- More Effective C++
- Effective STL
 
alain said:
If books about Python made this list, we should include books about Perl and Java as well.
Click to expand...
I don't see why not. I took the skeleton of this list off the Quantlib recommended list and add the ones we are using.
These titles are quite technical and I think the new members will benefit if we can add more books in Introduction section. Good titles such as
My life as a Quant
Heard on the Street
Liar's poker
....

Books that you feel any quant should read.
Thanks
 
These 2 books are really useful.

Basic Black-Scholes: Option Pricing and Trading (Paperback)
by Timothy Falcon Crack (Author)

Heard on the Street: Quantitative Questions from Wall Street Job Interviews (Paperback)
by Timothy Falcon Crack (Author)
 
What happened to basic c++ books. Andy I remember a while back you mentioned some different ones
 
I'm going to start digging into my pile of books. I have a few at home and also much more in my wishlist on Amazon.

Here are a few interesting ones.

Author: Bernt Oksendal
Title: Stochastic Differential Equations: An Introduction with Applications
This one should probably go with Stochastic Calculus since it discusses Ito's formula and other important concepts, I used this book in Florida.
 
Author: Attilio Meucci
Title: Risk and Asset Allocation
This one should go with Portfolio Management. I know a couple of schools use this book.
 
I wonder how this list was assembled? There is for example book by Evan Tick "Structured Finance Modeling with Object-Oriented VBA". It was published only a couple of months ago. I'm reading it now and so far it's a great book. It teaches Excel VBA using structured finance applications. The question is why it is in the list of "Recommended Books"? Did anyone read it?
 
Good question about "why recommended".

As far as I understand, this is a list of useful books. The two books I suggested above are used in Financial Math courses, thats why I recommended them.

I don't know who recommended Structured Finance Modeling with Object-Oriented VBA but maybe they read it (or parts of it) and found it useful. I think it is enough to have a positive opinion about a book in order to recommend it :)

Earlier I mentioned that I have a long list of books. But I haven't read most of them, just read about them somewhere on amazon. So I've decided to post only the ones I've either read myself or know that other people are using them as textbooks.

I have a few more, but they don't quite belong to the list :)
 
Andy, you should add the following books to the list (all S/S-Plus/R related)

- Modeling Financial Time Series with S-PLUS
- Statistical Analysis of Financial Data in S-PLUS
- Modern Applied Statistics with S

I still don't know why we have Python in this list.
 

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