Master reading list for Quants, MFE (Financial Engineering) students
- Thread starter Andy Nguyen
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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.
Going for a Masters or CQF is not feasible for me right now.
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Hi, can anyone please help?
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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.
! Or am I am using the wrong link? kindly help.
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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.
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Nice collection! Though it'll be a struggle for me to go through these materials...
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Is there a guide like the one for MFEs but for PhDs?
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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
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I was asking for books on analysis, probability, linear algebra etc..
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Do a search under this Books forum and there tends to be a many discussions on each topic.
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Rudin, Ross, Shreve, "Linear Algebra Done Right"
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How about "Brownian Motion and Stochastic Calculus" by Karatzas & Shreve?
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Why?
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Would you propose it?
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No. I'm asking for your reasons for proposing it.
