Top 7 Books to Read

[bendort]

Top 7 Books to Read - edited

OK original post wasn't very well thought.

I'm trying to get a good overview of the tools available and types of problems faced by a quant, but I don't want to spend thousands on text books and don't have the time to read them all. I want to pick 7 books that would be considered crucial.

So far I've deciding on the following:

1. Stochastic calculus for finance 1 - Shreve
2. Stochastic calculus for finance 2 - Shreve
3. Principals of Money, Banking and Financial Markets - Ritter, Silber and Udell
4. C++ Design Patterns and Derivatives Pricing - Joshi
5. A Primer for the Mathematics of Finanacial Engineering - Stefanica
6. The Analysis of Structured Securities: Precise Risk Measurement and Capital Allocation - Raynes and Rutledge
7. VAR Understanding and Applying Value at Risk

If you disagree with the list, your favourite and crucial book is missing feel free to remove one and put your book in. But you can not make the list longer.

 

[Uncle Max]

1,2 - too rigorous, if you are not a PhD most likely you will never face any similar problems on the job. They will help to understand better certain things from other books, but does it worth the effort? It will take pretty long time to grasp all the material in these books

3 - haven't heard about this one. The new edition is coming out this October. Looks like it's written by NYU professor for NYU students.

4 - good choice for understanding object oriented C++.

5 - best introduction to the Math of Financial Engineering.

6 - despite the fact that authors are my bosses, I would say that if you don't have a working knowledge of structured finance, this book will be hard to understand. There are many innovative ideas in this book, but it's not basic. Authors are going to publish new introductory book next year.

7 - I don't know what made you to choose this one. Unless if you want to become a risk manager, why will you dedicate one book to VAR only? Moreover, looks like this book is overpriced and outdated. If you really want to read about VAR, start from Jorion's book which is classic.


Overall, it's hard to make a suggestion on reading list without knowing your goals. What do you want to achieve by reading 7 books?

 

[cstassen]

What do you want the list for? the book for e.g. stephanica i wouldn't recommend if you have a proper maths background but it's good if you need training here - so what are you looking for?? I would say the following, assuming that the maths and stats background are good, and you want to get yourself in a position where you can do different jobs (VERY important IMO)

1 - Notes by david lando and rolf poulsen - alternative to Shreve1 (better imo)
2 - bjorks book on arbitrage theory - alternative to Shreve2 (more to the point imo)
3 - C++ by Bjarne Stoustrup, or joshis book
4 - Econometrics, Fumio Hayashi
5 - Glassermans book on MC
6 - A good book on PDEs for finance, Wilmotts might be a try but I don't know that book
7 - schoenbuchers book on credit - or maybe another one, i only have six essentials if you want to make it far, you also need to learn about the markets - for this you could consider a good macroecon book, eg the one by David Romer or a nice introduction by Whitta-Jakobsen and Birch-Sorensen! you could also consider a matlab/vba book instead here, used in MANY banks, you will need to learn it at some point

I think this post is a good idea if you structure it better - the master list is WAY to long for me

 

[alain]

3 - C++ by Bjarne Stoustrup (cant remember title)...

Read any of Stroustrup books if you already know C++ and want to learn a lot of details behind the language... or if you have trouble sleeping. It will knock out in no time.

 

[cstassen]

Hehe, maybe, just think joshis book lacks some basic stuff!

Regarding stefanicas book, i don't really see the purpose of it - the stuff in it should be well known for quants. might be good for people that have been out of school long, but besides that I don't see the points in these books. like books on the maths of econometrics, too advanced stuff to learn that quick if you didn't know it allready

 

[bendort]

Sorry, I didn't really make the point of the post that clear. Trying to enter a new field (or career) is pretty daunting especially when you don't actually know what specific area of that field you're going to end up working in or the areas that are important. What I want to achieve over the next few months is a good overview of Quantitative Finance, the problems you guys face, what level of knowledge about different tools and techniques you need. What would be useful is a few books that give a good overview, but also a few that have a bit more depth so I can get an idea of the maths used and how problems are approached. I know nothing about finance so it naturally seems interesting and intriguing, but once I gain a bit more familiarity is it still going to interest me and is being a quant a career path I really want to follow? I guess this is the question I hope to answer.

 

[alain]

read this book first
Amazon.com: The Complete Guide to Capital Markets for Quantitative Professionals (Mcgraw-Hill Library Investment and Finance): Alex Kuznetsov: Books

then look at math books, finance, programming, etc.

 

[cstassen]

I think my list, just skip number 7 then, is good for your purpose - read the notes and the Bjork book, will give you a great intro to mathematical finance, and then you can see if you want to continue!

 

[Uncle Max]

Read the book Alain suggested - The Complete Guide to Capital Markets for Quantitative Professionals. It's very easy to read (not technical at all) but gives an overview of the problems quants face. After reading it you can decide what do you like more and then pick up more advanced stuff.

 

[bendort]

OK, I'll give that one a look. Cheers

 

[mwes]

C++ by Bjarne Stoustrup (cant remember title), or joshis book

No way. Stoustrup's book is not for anyone wanting to learn C++. I don't even find it useful as a reference. "C++ in a Nutshell" is a better reference.

Glassermans book on MC

"Monte Carlo Methods in Financial Engineering". This one is pretty good. Assumes you already know something of stochastic calculus.

 

[mwes]

For some finance background, I think you need a book similar to Hull's "Options, Futures, and Other Derivatives" ... maybe not Hull itself. MacDonald's "Derivative Markets"?

Neftci's "Principles of Financial Engineering", 2nd edition seems really good to me. Take a look at the table of content from Amazon.

Sorry, I didn't really make the point of the post that clear. Trying to enter a new field (or career) is pretty daunting especially when you don't actually know what specific area of that field you're going to end up working in or the areas that are important. What I want to achieve over the next few months is a good overview of Quantitative Finance, the problems you guys face, what level of knowledge about different tools and techniques you need. What would be useful is a few books that give a good overview, but also a few that have a bit more depth so I can get an idea of the maths used and how problems are approached. I know nothing about finance so it naturally seems interesting and intriguing, but once I gain a bit more familiarity is it still going to interest me and is being a quant a career path I really want to follow? I guess this is the question I hope to answer.

 

[Christophe]

Hi
I am enrolled in a financial engineering MSc in Paris and I am looking for a good book in numerical methods for finance.
If there was "One" book to recommand, which one would it be?

Thanks and merry christmas to all of you.

 

[doug reich]

Master reading list for MFE - QuantNetwork - Financial Engineering Forum

There are 3 books in "Master reading list". The first of the 3 is pretty good; we used it at Baruch.

 

[Christophe]

Are you talking about the Wilmott book about option pricing?

 

[doug reich]

Yes, the Wilmott book.

 

[bigbadwolf]

"Active Portfolio Management" by Bernard Madoff.

 

[Sanket Patel]

I'm sure the word "Active" is an accurate representation as one would actively engage in shuffling money back and forth.

 

[bigbadwolf]

Least he could have done was endow a chair: "The Bernard Madoff Professorship of Financial Engineering" at NYU or Columbia. But I digress from the thread topic and apologise.

 

[Christophe]

Yes, the Wilmott book.

Best wishes to all of you guys for 2009. I have a question about wilmott's book on options pricing. It seems very hard to find. Any idea why? out of print? Where can I find it besides amazon's used books section?

Thanks