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

[MRoss]

Can you guys recommend a good book on probability as a preamble to an MSFE program?

I would strongly recommend Jacod and Protter Probability Essentials. Shreve is excellent but is more geared towards finance. J&P is an excellent preperation for stochastic.

 

[Yang_Pop]

Hi，

I updated the list with books recommended by Yuriy and also added a SAS section in which I add the SAS primer book that i'm reading

Hi, Andy:
Thanks again for what you have done!~
These resources are very helpful~
But could you recommend a book appropriate for interview in Probability? Is could be a textbook, since I could view the knowledge at the meantime. I used to plan to use <a first course in Probability>, while the interview for MSC in Finance of Chineses University of Hong Kong might be at the mid or the end of Dec. With such a limited time, I hope the book could be concise.

 

[Andy Nguyen]

Fifty Challenging Problems in Probability with Solutions by Frederick Mosteller

 

[Sherlock]

Fifty Challenging Problems in Probability with Solutions by Frederick Mosteller

Isn't this book a bit more challenging than what you would receive on a phone interview for an MFE degree? I have the book and I did not receive "that challenging" questions on my interviews

 

[JulieY]

Hi Andy, I'm a senior college students majoring in finance. I've seen your list and have a question for you, I'm preparing my MFE program interview right now, which books do you think would be necessary for me to read for the interview? Book list under the part, books for quant interviews? What else do you think is necessary for me to review or to prepare? Really appreciate your help!

 

[Andy Nguyen]

At the level of MFE admission interview, it will be mostly basic calculus/probability/bond math questions. Anything that you list on your resume is fair game.
For calculus problems http://www.math.ucdavis.edu/~kouba/ProblemsList.html
For simple brain teasers http://www.quantnet.com/forum/threads/quantitative-interview-questions-and-answers.437/

Keep in mind that an important objective of the interview is to assess your English skills so don't get too tangled up in the technicality and forget to explain yourself in clear English.

 

[JulieY]

At the level of MFE admission interview, it will be mostly basic calculus/probability/bond math questions. Anything that you list on your resume is fair game.
For calculus problems http://www.math.ucdavis.edu/~kouba/ProblemsList.html
For simple brain teasers http://www.quantnet.com/forum/threads/quantitative-interview-questions-and-answers.437/

Keep in mind that an important objective of the interview is to assess your English skills so don't get too tangled up in the technicality and forget to explain yourself in clear English.

thanks

 

[tharkun]

Hello, I am applying to MFE programs for 2012 and I would like to know if there are any books you guys recommend on Statistical Arbitrage and Algorithmic Trading.

 

[MRoss]

Books about Python made this list?

Yup, a 4 year old post but it has me in fits now

 

[Ling Gu]

Thank you very much, Andy.

 

[romi]

hi guys
im after the R code for statistics and data analysis for financial engineering
, does anyone know how to do the questions using R

 

[romi]

I ordered the following book last week:

Statistic and Data Analysis for Financial Engineering - David Ruppert

It looks very good. Every chapter has exercises and Lab problems to do in R. All the code is in R and the data sets are available on the author's web site.

heyy
actually im after R code for statistics and data analysis for financial engineering

 

[Yang_Pop]

C++ Primer (4th edition) ranks level 8~~
No strange I feel hard to go on when learning it myself as a new programmer.
So just turn to C++ Primer plus 5th Edition:D

 

[Vu Le]

heyy
actually im after R code for statistics and data analysis for financial engineering

Hi Romi,

I am also working on the book. Emailed Prof. Ruppert myself and it turns out that the solution manual is only available for instructors. Perhaps we can start a thread and post solutions for those we have completed

V

 

[Mark N]

Any recommended books on probability and statistical methods?

 

[Brendan Hamm]

Andy, Hull actually has a good book on Risk Analysis

Author: John C. Hull
Title: Risk Management and Financial Institutions

 

[Shweta]

Andy Nguyen: Is there any book which gives a description of different jobs within finance, not just Quant Finance?

 

[Andy Nguyen]

Andy Nguyen: Is there any book which gives a description of different jobs within finance, not just Quant Finance?

The problem is that by the time the books hit the store, most information is already outdated.
That said, there are plenty of books that can give you some basics on finance jobs
http://www.amazon.com/Careers-Finance-Trudy-Ring/dp/0071437363/
http://www.amazon.com/Career-Opportunities-Banking-Finance-Insurance/dp/0816064741/
http://www.amazon.com/Vault-Career-Guide-Investment-Banking/dp/1581311338/

Go to your library and sample them.

 

[bigbadwolf]

The recent C# for Financial Markets by Duffy and Germani is very interesting. I got my copy only today but it will be another month or so before it's available in the USA.

 

[mhy]

Could someone suggest a subset of books under "Books to read before starting an MFE program" ?