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

Hi, as I am reading through a MFE interview book, I become more nad more aware of my lack of knowledge in derivatives and pricing. Among all of these books listed that are related to derivatives, which one do you think will be a good start for me? Thanks so much.
 
Can anyone provide guidance on when to expect results from Courant. I applied for MS in Math Fin part time. Classes start on 2nd sep..
 
Andy Nguyen said:
2013-2014 QuantNet International Guide to Financial Engineering Programs

FREE QUANT CAREER GUIDES
  • What do quant do ? A guide by Mark Joshi. Download
  • Paul & Dominic's Guide to Quant Careers (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
  • Paul & Dominic's Job Hunting in Interesting Times Second Edition (see attachment)
  • 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?
Click to expand...

When you say the books are listed in order of difficulty, do you mean easiest to hardest or hardest to easiest? Also, do you know of any good books to read for FX trading?
 
In how many months/years does the OP suggest anyone to complete this entire list?!

My background: I'm from Math stream. I read calculus(diff and integration)till school.
 
@Andy Nguyen Hi Andy, I cannot download the attachments, can you double-check? Thank you.

And thank you for compiling the list. :)

Edit: I can only download the maxdama.pdf. The others pointed me to a page saying "This attachment cannot be shown at this time. Please try back later."
 
Last edited:
Andy Nguyen said:
@rohitr
you are not supposed to complete the entire list. Just pick any section of interest and go as deep as you need or want.
@Beep Boop
i have fixed a few files. there are other attachments that have gone missing after 11 years so I will fix if i can or remove them.
Click to expand...
The reading list is a bit outdated. You should look into updating it while you are fixing the links.
 
Andy Nguyen said:
@rohitr
you are not supposed to complete the entire list. Just pick any section of interest and go as deep as you need or want.
@Beep Boop
i have fixed a few files. there are other attachments that have gone missing after 11 years so I will fix if i can or remove them.
Click to expand...
I dunno the A of programming. I want to start reading the Problem Solving in c++ by Mr Savitch and want to complete the entire list of c++ books.
After that I want to complete atleast the "Good books to read before Mfe section".

I want to apply in some college after 2 years. I'm 29 years old. Was working in service based companies until recently.
I just need a tentative date to complete the 2 sections that I mentioned above.
I want to plan accordingly!
 
rohitr said:
I dunno the A of programming. I want to start reading the Problem Solving in c++ by Mr Savitch and want to complete the entire list of c++ books.
After that I want to complete atleast the "Good books to read before Mfe section".

I want to apply in some college after 2 years. I'm 29 years old. Was working in service based companies until recently.

Plz handpick those books from each section and paste it in sequence so that I can start asap.
I just need a tentative date to complete the 2 sections that I mentioned above.
I want to plan accordingly!
Click to expand...
Kindly write the names of the books that I should start reading from scratch IN ORDER so that I can get the most out of those books in minimum time about MFE programs.
 
rohitr said:
Kindly write the names of the books that I should start reading from scratch IN ORDER so that I can get the most out of those books in minimum time about MFE programs.
Click to expand...

I'd recommend reading through the free guides first, particularly "What do quant do ? A guide by Mark Joshi" and "Paul & Dominic's Guide to Quant Careers" to get a flavor of what you would want to do, then you can draw out a picture of what you want to explore more before purchasing books on those topics. You can preview the first few pages of most of those books on Amazon (usually the Prefaces) to get an idea about the subject matter of a book before buying.
Also, there's this: 'P' Versus 'Q': Differences and Commonalities between the Two Areas of Quantitative Finance (there's a QuantNet thread for it but the link has bitten the dust).
 
Hi
Beep Boop said:
I'd recommend reading through the free guides first, particularly "What do quant do ? A guide by Mark Joshi" and "Paul & Dominic's Guide to Quant Careers" to get a flavor of what you would want to do, then you can draw out a picture of what you want to explore more before purchasing books on those topics. You can preview the first few pages of most of those books on Amazon (usually the Prefaces) to get an idea about the subject matter of a book before buying.
Also, there's this: 'P' Versus 'Q': Differences and Commonalities between the Two Areas of Quantitative Finance (there's a QuantNet thread for it but the link has bitten the dust).
Click to expand...
Hi,
I've already finished the two free guides.
I'm starting the book by Walter savitch(Problem Solving in c++). I've also ordered the book Primer for math by dan stefanica.
In how many months should I aim to finish these two books with 3-4 hours daily??
 
Daniel Duffy said:
The best way to learn C++ is by programming.

The QN C++ course does it all in 16 weeks (and learn good programming habits).
Click to expand...
I checked the course. There are 2 courses.

How much time will both of them take me?!
It takes 4 months for 1st course. What about the 2nd one?

If I'll do these two courses,then it'll be more than enough knowledge of c++ to enter any mfe program,right?

The rest should be taught in class!
 
rohitr said:
Hi

Hi,
I've already finished the two free guides.
I'm starting the book by Walter savitch(Problem Solving in c++). I've also ordered the book Primer for math by dan stefanica.
In how many months should I aim to finish these two books with 3-4 hours daily??
Click to expand...

On the basis of covering everything, I wager it'd take about 3 months if you diligently invest 5 hours daily into the Primer, which can vary based on your familiarity with calculus and linear algebra? The book is pretty dense and it seems to assume prior knowledge of those 2 areas.
 
Beep Boop said:
On the basis of covering everything, I wager it'd take about 3 months if you diligently invest 5 hours daily into the Primer, which can vary based on your familiarity with calculus and linear algebra? The book is pretty dense and it seems to assume prior knowledge of those 2 areas.
Click to expand...
I've read basic integration and differentiation and also algebra in school?
Let's see if I can recall everything or not.
 

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