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

[mscquant]

How about books on Algo trading / HFT ?

 

[wenwu]

Hi, thanks guys. The first time walked across this forum. Really helpful book list and discussion. Cheers

 

[vickymaj]

Hi guys. Need some suggestions. I am currently working for an Investment Bank in a profile known as Exotic Trade review. I am interested in Quant related roles and want to amke to make a transition towards that side in the next 1 or 2 yrs. Would like to know how should I start. I am an engineer but I am out of touch with programming for quite some time now. recently I started looking at a free course at www.corseera.org known as Financial Engineering and Risk Management. I am less than half way through the course and I like it(Its good for a noob like me). Once I am done with it I would like to have some suggestions on how should I proceed? What books should I start with? I am OK with VBA. Would really appreciate some help.

Going for a Masters or CQF is not feasible for me right now.

 

[Andy Nguyen]

@vickymaj
Which programming language you like to learn?

 

[vickymaj]

@Andy
Hi Andy. My current aim is to learn about different models we use for pricing exotic products and coding them in VBA. Once I am comfortable with that I can shift towards C++ or some other language. Just consider me as a noob and suggest accordingly

 

[vickymaj]

@Andy
Hi Andy. My current aim is to learn about different models we use for pricing exotic products and coding them in VBA. Once I am comfortable with that I can shift towards C++ or some other language. Just consider me as a noob and suggest accordingly

Hi, can anyone please help?

 

[Saikrishna Poddutur]

Hi Andy... the download link for "International Guide for Financial Guide" seems to still point to the old version ! Or am I am using the wrong link? kindly help.

 

[lisazx]

May I know where the part for big data is? Is master enough or they mainly hire Phd?

 

[Andy Nguyen]

May I know where the part for big data is? Is master enough or they mainly hire Phd?

In the 2013-2014 Guide, it would be the article "Big data in Finance" on page 5. From what I have seen so far, the relevant skills are more important than whether you have MS or PhD for these kinds of big data jobs.

 

[Jeremylinnn]

Nice collection! Though it'll be a struggle for me to go through these materials...

 

[martinbutler]

Is there a guide like the one for MFEs but for PhDs?

 

[Jade]

What are the books on mathematical prerequisite for mathematical finance?

 

[Andy Nguyen]

What are the books on mathematical prerequisite for mathematical finance?

GOOD BOOKS TO READ BEFORE STARTING MFE PROGRAM

• A Primer For The Mathematics Of Financial Engineering, Second Edition
• Financial Options: From Theory to Practice
• Paul Wilmott on Quantitative Finance 3 Volume Set (2nd Edition)
• An Introduction to the Mathematics of Financial Derivatives, Second Edition by Salih Neftci
• Options, Futures, and Other Derivatives (8th Edition) by John Hull
• Principles of Financial Engineering, Second Edition by Salih Neftci
• Elementary Stochastic Calculus With Finance in View by Thomas Mikosch
• The Concepts and Practice of Mathematical Finance by Mark Joshi
• Financial Options: From Theory to Practice by Stephen Figlewski
• Financial Calculus : An Introduction to Derivative Pricing by Martin Baxter
• A Course in Financial Calculus by Etheridge Alison
• The Mathematics of Financial Derivatives: A Student Introduction by Paul Wilmott
• Frequently Asked Questions in Quantitative Finance by Paul Wilmott
• Derivatives Markets by Robert L. McDonald
• An Undergraduate Introduction to Financial Mathematics by Robert Buchanan

 

[Jade]

GOOD BOOKS TO READ BEFORE STARTING MFE PROGRAM

• A Primer For The Mathematics Of Financial Engineering, Second Edition
• Financial Options: From Theory to Practice
• Paul Wilmott on Quantitative Finance 3 Volume Set (2nd Edition)
• An Introduction to the Mathematics of Financial Derivatives, Second Edition by Salih Neftci
• Options, Futures, and Other Derivatives (8th Edition) by John Hull
• Principles of Financial Engineering, Second Edition by Salih Neftci
• Elementary Stochastic Calculus With Finance in View by Thomas Mikosch
• The Concepts and Practice of Mathematical Finance by Mark Joshi
• Financial Options: From Theory to Practice by Stephen Figlewski
• Financial Calculus : An Introduction to Derivative Pricing by Martin Baxter
• A Course in Financial Calculus by Etheridge Alison
• The Mathematics of Financial Derivatives: A Student Introduction by Paul Wilmott
• Frequently Asked Questions in Quantitative Finance by Paul Wilmott
• Derivatives Markets by Robert L. McDonald
• [URL='http://www.amazon.com/gp/product/9812835350]An Undergraduate Introduction to Financial Mathematics[/URL] by Robert Buchanan

I was asking for books on analysis, probability, linear algebra etc..

 

[Andy Nguyen]

I was asking for books on analysis, probability, linear algebra etc..

Do a search under this Books forum and there tends to be a many discussions on each topic.

 

[Jedison]

I was asking for books on analysis, probability, linear algebra etc..

Rudin, Ross, Shreve, "Linear Algebra Done Right"

 

[d.koutsomito]

How about "Brownian Motion and Stochastic Calculus" by Karatzas & Shreve?

 

[bigbadwolf]

How about "Brownian Motion and Stochastic Calculus" by Karatzas & Shreve?

Why?

 

[d.koutsomito]

Why?

Would you propose it?

 

[bigbadwolf]

Would you propose it?

No. I'm asking for your reasons for proposing it.