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

[Ng Hong Wai]

Yeah, I agree with you

How about Mark Joshi's Concepts and Practice in Mathematical Finance? I am also reading Shreve books and no doubt that they are good books for stochastic calculus.

But it seems that Joshi's books are not mentioned anywhere in this thread.

 

[Quasar Chunawala]

Hi all,

Mark Joshi had a nice sequence of books to be read for an aspiring quant. Although his website is down, I still have a copy of the PDF saved. Here, you go.

Regards,
Quasar

 

[Ng Hong Wai]

Can anyone recommend any good statistics book used in financial engineering?

 

[Aber]

Can anyone recommend any good statistics book used in financial engineering?

(Based on personal opinions)

1) I have read some of the chapters here. They introduce the statistics as well as the financial interpretations Statistics and Data Analysis for Financial Engineering - with R examples | David Ruppert | Springer

2) This is by far my favorite book on time series analysis. However there is a lot mathematical derivation and theory, which is not necessary .

Introduction to Multiple Time Series Analysis | Helmut Lütkepohl | Springer

Introduction to Multiple Time Series Analysis...

www.springer.com

(A quick google search and you find a free version )

3) This is a really good book but not too technical (I should probably say theoretical). You get a presentation for Time Series Analysis and then a lot chapters with application to finance. If number 2 is too theoretical and you want something to the point then you can easily read the first chapters in this book.

Introduction to Multiple Time Series Analysis | Helmut Lütkepohl | Springer

Introduction to Multiple Time Series Analysis...

www.springer.com

PDF link (not sure if this is the latest version) :

http://faculty.washington.edu/ezivot/econ589/manual.pdf

 

[Ng Hong Wai]

Thanks. Actually I would like to know more about statistics questions that might appear during quant analyst interview.

 

[Andy Nguyen]

We ought to redo this master reading list soon since it was first created years ago and there are many updated versions of books. Some may already be outdated.

 

[Ng Hong Wai]

We ought to redo this master reading list soon since it was first created years ago and there are many updated versions of books. Some may already be outdated.

I agree. Please do not hesitate to inform me if you need any help in organizing the master reading list.

 

[cihigne]

We ought to redo this master reading list soon since it was first created years ago and there are many updated versions of books. Some may already be outdated.

Hi Andy. I am a rising senior who planning on graduate schools next year. Do you have an updated list of books?
Is it okay if I just read outdated books in the meantime?

 

[Andy Nguyen]

Hi Andy. I am a rising senior who planning on graduate schools next year. Do you have an updated list of books?
Is it okay if I just read outdated books in the meantime?

Off the books you are interested in, just get the latest version.

 

[binomial-torrent]

There needs to be more texts on the ML/data science/software engineering side

 

[WZhang]

I have been trying to put this as my reading list entirely.

 

[Geoshua]

Hi,

I am a newbie from a non-finance background but with experience in the banking sector. Can anyone help with books that introduce the basic concepts (like a primer) of financial engineering?

 

[Qui-Gon]

Hi,

I am a newbie from a non-finance background but with experience in the banking sector. Can anyone help with books that introduce the basic concepts (like a primer) of financial engineering?

A Primer For The Mathematics Of Financial Engineering, Second Edition (Financial Engineering Advanced Background Series): Stefanica, Dan: 9780979757624: Amazon.com: Books

A Primer For The Mathematics Of Financial Engineering, Second Edition (Financial Engineering Advanced Background Series) [Stefanica, Dan] on Amazon.com. *FREE* shipping on qualifying offers. A Primer For The Mathematics Of Financial Engineering, Second Edition (Financial Engineering Advanced...

www.amazon.com

A Linear Algebra Primer for Financial Engineering: Covariance Matrices, Eigenvectors, OLS, and more (Financial Engineering Advanced Background Series): Stefanica, Dan: 9780979757655: Amazon.com: Books

A Linear Algebra Primer for Financial Engineering: Covariance Matrices, Eigenvectors, OLS, and more (Financial Engineering Advanced Background Series) [Stefanica, Dan] on Amazon.com. *FREE* shipping on qualifying offers. A Linear Algebra Primer for Financial Engineering: Covariance Matrices...

www.amazon.com

Stochastic Calculus for Finance I: The Binomial Asset Pricing Model (Springer Finance): Shreve, Steven: 9780387249681: Amazon.com: Books

Buy Stochastic Calculus for Finance I: The Binomial Asset Pricing Model (Springer Finance) on Amazon.com ✓ FREE SHIPPING on qualified orders

www.amazon.com

Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance): Shreve, Steven: 9781441923110: Amazon.com: Books

Buy Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance) on Amazon.com ✓ FREE SHIPPING on qualified orders

www.amazon.com

Arbitrage Theory in Continuous Time (Oxford Finance Series): Björk, Tomas: 9780199574742: Amazon.com: Books

Buy Arbitrage Theory in Continuous Time (Oxford Finance Series) on Amazon.com ✓ FREE SHIPPING on qualified orders

www.amazon.com

Financial Calculus: An Introduction to Derivative Pricing: Baxter, Martin, Rennie, Andrew: 9780521552899: Amazon.com: Books

Buy Financial Calculus: An Introduction to Derivative Pricing on Amazon.com ✓ FREE SHIPPING on qualified orders

www.amazon.com

Amazon.com: Statistics and Finance: An Introduction (Springer Texts in Statistics): 9780387202709: Ruppert, David: Books

Amazon.com: Statistics and Finance: An Introduction (Springer Texts in Statistics): 9780387202709: Ruppert, David: Books

www.amazon.com

 

[Qui-Gon]

A Primer For The Mathematics Of Financial Engineering, Second Edition (Financial Engineering Advanced Background Series): Stefanica, Dan: 9780979757624: Amazon.com: Books

A Primer For The Mathematics Of Financial Engineering, Second Edition (Financial Engineering Advanced Background Series) [Stefanica, Dan] on Amazon.com. *FREE* shipping on qualifying offers. A Primer For The Mathematics Of Financial Engineering, Second Edition (Financial Engineering Advanced...

www.amazon.com

A Linear Algebra Primer for Financial Engineering: Covariance Matrices, Eigenvectors, OLS, and more (Financial Engineering Advanced Background Series): Stefanica, Dan: 9780979757655: Amazon.com: Books

A Linear Algebra Primer for Financial Engineering: Covariance Matrices, Eigenvectors, OLS, and more (Financial Engineering Advanced Background Series) [Stefanica, Dan] on Amazon.com. *FREE* shipping on qualifying offers. A Linear Algebra Primer for Financial Engineering: Covariance Matrices...

www.amazon.com

Stochastic Calculus for Finance I: The Binomial Asset Pricing Model (Springer Finance): Shreve, Steven: 9780387249681: Amazon.com: Books

Buy Stochastic Calculus for Finance I: The Binomial Asset Pricing Model (Springer Finance) on Amazon.com ✓ FREE SHIPPING on qualified orders

www.amazon.com

Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance): Shreve, Steven: 9781441923110: Amazon.com: Books

Buy Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance) on Amazon.com ✓ FREE SHIPPING on qualified orders

www.amazon.com

Arbitrage Theory in Continuous Time (Oxford Finance Series): Björk, Tomas: 9780199574742: Amazon.com: Books

Buy Arbitrage Theory in Continuous Time (Oxford Finance Series) on Amazon.com ✓ FREE SHIPPING on qualified orders

www.amazon.com

Financial Calculus: An Introduction to Derivative Pricing: Baxter, Martin, Rennie, Andrew: 9780521552899: Amazon.com: Books

Buy Financial Calculus: An Introduction to Derivative Pricing on Amazon.com ✓ FREE SHIPPING on qualified orders

www.amazon.com

I'm also a fan of this series Financial Engineering Explained | Wim Schoutens | Springer ; some titles are more specialized than others, The Greeks and Hedging Explained and Equity Derivatives Explained are good ones to start with.

 

[lost_wolf]

Something really confuses me here. Is this reading list for Quant Developer or Quant Researcher? Because the two job profiles are actually different.

Also, how in this world are Derivatives Markets - McDonald and Options, Futures and Other Derivatives - Hull in MFE in pre-reading list? These two books are actually used in the graduate courses of ORFE Princeton.

 

[Daniel Duffy]

Some book updates from my own pen

// PDE/FDM 2022

• eBooks will publish on March 11, 2022.
• In store date (the date books are available at retail) is March 17, 2022.

Numerical Methods in Computational Finance: A Partial Differential Equation (PDE/FDM) Approach

<p>This book is a detailed and step-by-step introduction to the mathematical foundations of ordinary and partial differential equations, their approximation by the finite difference method and applications to computational finance. The book is structured so that it can be read by beginners...

www.wiley.com

// C++11 for finance 2018

Amazon.com: Financial Instrument Pricing Using C++ (Wiley Finance) eBook : Duffy, Daniel J.: Kindle Store

Amazon.com: Financial Instrument Pricing Using C++ (Wiley Finance) eBook : Duffy, Daniel J.: Kindle Store

www.amazon.com

Maybe they (and other authors) could be added to an updated QN master list?

 

[Daniel Duffy]

QuantNet International Guide to Financial Engineering Programs

DOWNLOAD GUIDE​

FREE QUANT CAREER GUIDES

• What do quant do ? A guide by Mark Joshi. (see attachment)
• Paul & Dominic's Guide to Quant Careers (see attachment)
• Paul & Dominic's Guide to Getting a Quant Job (see attachment)
• Career in Financial Markets 2011- a guide by efinancialcareers. Download
• Interview Preparation Guide by Michael Page: Quantitative Analysis. Download
• Interview Preparation Guide by Michael Page: Quantitative Structuring. Download
• Peter Carr's A Practitioner's Guide to Mathematical Finance (see attachment)
• Max Dama's Guide to Automated Trading (see attachment)

CAREER AS A QUANT

• The Complete Guide to Capital Markets for Quantitative Professionals
• Financial Engineering: The Evolution of a Profession
• My Life as a Quant: Reflections on Physics and Finance
• The Quants: How a New Breed of Math Whizzes Conquered Wall Street and Nearly Destroyed It
• How I Became a Quant: Insights from 25 of Wall Street's Elite
• The Big Short: Inside the Doomsday Machine
• Nerds on Wall Street: Math, Machines and Wired Markets
• Physicists on Wall Street and Other Essays on Science and Society

BOOKS FOR QUANT INTERVIEWS

• 150 Most Frequently Asked Questions on Quant Interviews by Dan Stefanica, Rados Radoicic, Tai-Ho Wang
• Quant Job Interview Questions And Answers by Mark Joshi
• Frequently Asked Questions in Quantitative Finance by Wilmott
• Heard on The Street: Quantitative Questions from Wall Street Job Interviews by Timothy Crack
• Cracking the Coding Interview: 150 Programming Questions and Solutions by Gayle Laakmann McDowell
• A Practical Guide To Quantitative Finance Interviews by Xinfeng Zhou
• Basic Black-Scholes: Option Pricing and Trading by Timothy Crack
• Fifty Challenging Problems in Probability with Solutions by Frederick Mosteller
• Vault Guide to Advanced Finance & Quantitative Interviews
• Probability and Stochastic Calculus Quant Interview Questions by Ivan Matic, Dan Stefanica, Rados Radoicic

GOOD BOOKS TO READ BEFORE STARTING MFE PROGRAM

• A Primer For The Mathematics Of Financial Engineering, Second Edition
• Financial Options: From Theory to Practice by Stephen Figlewski
• 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 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

GENERAL READING ON WALL STREET

• Liar's Poker: Rising Through the Wreckage on Wall Street
• Monkey Business: Swinging Through the Wall Street Jungle
• Reminiscences of a Stock Operator
• Working the Street: What You Need to Know About Life on Wall Street
• Fiasco: The Inside Story of a Wall Street Trader
• Den of Thieves
• When Genius Failed: The Rise and Fall of Long-Term Capital Management
• Traders, Guns & Money: Knowns and unknowns in the dazzling world of derivatives
• The Greatest Trade Ever: The Behind-the-Scenes Story of How John Paulson Defied Wall Street and Made Financial History
• Goldman Sachs : The Culture of Success
• The House of Morgan: An American Banking Dynasty and the Rise of Modern Finance
• Wall Street: A History: From Its Beginnings to the Fall of Enron
• The Murder of Lehman Brothers: An Insider’s Look at the Global Meltdown
• On the Brink: Inside the Race to Stop the Collapse of the Global Financial System
• House of Cards: A Tale of Hubris and Wretched Excess on Wall Street
• Too Big to Fail: The Inside Story of How Wall Street and Washington Fought to Save the Financial System-and Themselves
• Liquidated: An Ethnography of Wall Street
• Fortune’s Formula: The Untold Story of the Scientific Betting System That Beat the Casinos and Wall Street

PROGRAMMING
C++ (ordered by level of difficulty)

• Problem Solving with C++ (9th Edition) by Walter Savitch
• C++ How to Program (8th Edition) by Harvey Deitel
• Absolute C++ (5th Edition) by Walter Savitch
• Thinking in C++: Introduction to Standard C++, Volume One by Bruce Eckel
• Thinking in C++: Practical Programming, Volume Two by Bruce Eckel
• The C++ Programming Language: Special Edition by Bjarne Stroustrup (C++ inventor)
• Effective C++: 55 Specific Ways to Improve Your Programs and Designs by Scot Myers
• C++ Primer (4th Edition) by Stanley Lippman
• C++ Design Patterns and Derivatives Pricing (2nd edition) by Mark Joshi
• Financial Instrument Pricing Using C++ by Daniel Duffy

C# (ordered by level of difficulty)

• C# 2010 for Programmers (4th Edition)
• Computational Finance Using C and C# by George Levy
• C# in Depth, Second Edition by Jon Skeet

F# (ordered by level of difficulty)

• Programming F#: An introduction to functional language by Chris Smith
• F# for Scientists by Jon Harrops (Microsoft Researcher)
• Real World Functional Programming: With Examples in F# and C#
• Expert F# 2.0 by Don Syme
• Beginning F# by Robert Pickering

Matlab (ordered by level of difficulty)

• Matlab: A Practical Introduction to Programming and Problem Solving
• Numerical Methods in Finance and Economics: A MATLAB-Based Introduction (Statistics in Practice)

Excel

• Excel 2007 Power Programming with VBA by John Walkenbach
• Excel 2007 VBA Programmer’s Reference
• Financial Modeling by Simon Benninga
• Excel Hacks: Tips & Tools for Streamlining Your Spreadsheets
• Excel 2007 Formulas by John Walkenbach

VBA

• Advanced modelling in finance using Excel and VBA by Mike Staunton
• Implementing Models of Financial Derivatives: Object Oriented Applications with VBA

Python

• Learning Python: Powerful Object-Oriented Programming
• Python Cookbook

FINITE DIFFERENCES

• Option Pricing: Mathematical Models and Computation, by P. Wilmott, J.N. Dewynne, S.D. Howison
• Pricing Financial Instruments: The Finite Difference Method, by Domingo Tavella, Curt Randall
• Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach by Daniel Duffy

MONTE CARLO

• Monte Carlo Methods in Finance, by Peter Jäcke (errata available at jaeckel.org)
• Monte Carlo Methodologies and Applications for Pricing and Risk Management , by Bruno Dupire (Editor)
• Monte Carlo Methods in Financial Engineering, by Paul Glasserman
• Monte Carlo Frameworks in C++: Building Customisable and High-performance Applications by Daniel J. Duffy and Joerg Kienitz
• Risk Management and Simulation by Aparna Gupta

STOCHASTIC CALCULUS

• Stochastic Calculus and Finance by Steven Shreve (errata attached)
• Stochastic Differential Equations: An Introduction with Applications by Bernt Oksendal

VOLATILITY

• Volatility and Correlation, by Riccardo Rebonato
• Volatility, by Robert Jarrow (Editor)
• Volatility Trading by Euan Sinclair

INTEREST RATE

• Interest Rate Models - Theory and Practice, by D. Brigo, F. Mercurio updates available on-line Professional Area of Damiano Brigo's web site
• Modern Pricing of Interest Rate Derivatives, by Riccardo Rebonato
• Interest-Rate Option Models, by Riccardo Rebonato
• Efficient Methods for Valuing Interest Rate Derivatives, by Antoon Pelsser
• Interest Rate Modelling, by Nick Webber, Jessica James

FX

• Foreign Exchange Risk, by Jurgen Hakala, Uwe Wystup
• Mathematical Methods For Foreign Exchange, by Alexander Lipton

STRUCTURED FINANCE

• The Analysis of Structured Securities: Precise Risk Measurement and Capital Allocation (Hardcover) by Sylvain Raynes and Ann Rutledge
• Salomon Smith Barney Guide to MBS & ABS, Lakhbir Hayre, Editor
• Securitization Markets Handbook, Structures and Dynamics of Mortgage- and Asset-backed securities by Stone & Zissu
• Securitization, by Vinod Kothari
• Modeling Structured Finance Cash Flows with Microsoft Excel: A Step-by-Step Guide (good for understanding the basics)
• Structured Finance Modeling with Object-Oriented VBA (a bit more detailed and advanced than the step by step book)

STRUCTURED CREDIT

• Collateralized Debt Obligations, by Arturo Cifuentes
• An Introduction to Credit Risk Modeling by Bluhm, Overbeck and Wagner (really good read, especially on how to model correlated default events & times)
• Credit Derivatives Pricing Models: Model, Pricing and Implementation by Philipp J. Schönbucher
• Credit Derivatives: A Guide to Instruments and Applications by Janet M. Tavakoli
• Structured Credit Portfolio Analysis, Baskets and CDOs by Christian Bluhm and Ludger Overbeck

RISK MANAGEMENT/VAR

• VAR Understanding and Applying Value at Risk, by various authors
• Value at Risk, by Philippe Jorion
• RiskMetrics Technical Document RiskMetrics Group
• Risk and Asset Allocation by Attilio Meucci

SAS/S/S-PLUS

• The Little SAS Book: A Primer, Fourth Edition by Lora D. Delwiche and Susan J. Slaughter
• Modeling Financial Time Series with S-PLUS
• Statistical Analysis of Financial Data in S-PLUS
• Modern Applied Statistics with S

HANDS ON

• Implementing Derivative Models, by Les Clewlow, Chris Strickland
• The Complete Guide to Option Pricing Formulas, by Espen Gaarder Haug

NOT ENOUGH YET?

• Energy Derivatives: Pricing and Risk Management, by Les Clewlow, Chris Strickland
• Hull-White on Derivatives, by John Hull, Alan White 1899332456
• Exotic Options: The State of the Art, by Les Clewlow (Editor), Chris Strickland (Editor)
• Market Models, by C.O. Alexander
• Pricing, Hedging, and Trading Exotic Options, by Israel Nelken
• Modelling Fixed Income Securities and Interest Rate Options, by Robert A. Jarrow
• Black-Scholes and Beyond, by Neil A. Chriss
• Risk Management and Analysis: Measuring and Modelling Financial Risk, by Carol Alexander
• Mastering Risk: Volume 2 - Applications: Your Single-Source Guide to Becoming a Master of Risk, by Carol Alexander

This list is getting long in the tooth. i.e. it is outdated.

I have at least six of my modern books for an updated list.
And a section on Machine Learning is needed.

 

[bigbadwolf]

This list is getting long in the tooth. i.e. it is outdated.

The list was initially made when Fred Flintstone was alive and Tyrannosaurus Rex roamed the earth. It probably needs to be redone from the ground up.

 

[Daniel Duffy]

The list was initially made when Fred Flintstone was alive and Tyrannosaurus Rex roamed the earth. It probably needs to be redone from the ground up.

Excel 2007 and VBA.... Barny Rubble.

 

[Jacko]

The list was initially made when Fred Flintstone was alive and Tyrannosaurus Rex roamed the earth. It probably needs to be redone from the ground up.

Indeed, I would also appreciate an updated version or if anyone else has posted on on the forum please feel free to share with me.