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

Can someone recommend some introductory fixed income securities and analytics books please ? I have heard the HandBook by Fabozzi is supposed to be very good, but it's 1500 pages.
 
first of all thanks a million for such a wonderful list and then I'd love to know that is "Reading list before you start an MFE program" ordered by level of difficulty?
 
Hi tarokh,
That section follows a logical and natural sequence as suggested by several people studying and teaching in various MFE programs. The first books aren't necessarily easier, they are just more important to start with.
 
I am wondering if there is a specialized book out there on stock selection strategies .. mostly this part occurs as a chapter in some books. I haven't researched it yet. Any recommendations?
 
sjain said:
I am wondering if there is a specialized book out there on stock selection strategies .. mostly this part occurs as a chapter in some books. I haven't researched it yet. Any recommendations?
Click to expand...

Your question is too general. You need to figure out exactly what type of 'strategies' you're looking for? Since you haven't researched anything yet, that might be a good place to start.

In the meantime, knock yourself out: stock picking strategies
 
alain said:
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
Click to expand...

This is excellent recommendation often overlooked. I would suggest adding similar Effective Java by Bloch for java.
We should also add a book on R as it is more widely used in finance than matlab.. place where I used to work everyone except me was a R guru..
 
This book list really helps what we should study. I would absolutely go through some of them. Thank you!
 
hey i thought you might like to add "modeling and hedging" by victor goodman and joseph stampfli. its a pretty good book for preparation prior to MFE program if it is used in conjunction with Dr. Dan's book
 
High Frequency Trading, by Irene Aldridge - this book was quite good. It is kind of a technical how-to book about most all aspects of how to set up a serious professional high frequency trading system. It is a fairly technical discussion about a lot of topics ranging from simple things like how to calculate returns to correlation and autocorrelation techniques and risk management models, how to handle tick data, etc. I would recommend this book to people that have decent math skills and who already know a bit about trading...this probably isn't the best book if you know nothing about trading or how the stock markets function.

The Option Traders Workbook by Jeff Augen is also pretty good for learning how options work and how they are valued as well as how to structure different kind of options positions. Each chapter explains the principles it is based around, and then gives questions for the reader to work out, as well as answers to the questions.
 
Regarding Irene's book, shall I recommend reading the reviews on Amazon and the comments left by the author herself before you decide to buy the book or not.

http://www.amazon.com/exec/obidos/ASIN/0470563761/ref=nosim/quantfinaneng-20
 
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