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

[Andy Nguyen]

Agreed.
I added the S/S-Plus books you suggested together with SAS

I also removed the Python list. I don't think any of us will buy a Python book. It's too IT.

We need more general, intro books, career guides.

 

[Yuriy]

We might as well add Tsay's book.

Amazon.com: Analysis of Financial Time Series 2nd edition: Ruey S. Tsay

I used this book in Florida for my Time Series project.

 

[iosakwe]

As anyone read Alex Kuznetsov's book "The complete guide to capital markets for Quantitative Professionals"? A colleague mentioned it to me. The author is a director of proprietary trading technology at CSFB, which developed AES, an award winning algorithmic engine.

Amazon:
Amazon Online Reader : The Complete Guide to Capital Markets for Quantitative Professionals (Mcgraw-Hill Library Investment and Finance)

 

[Yuriy]

Might be a good book to read. Here is a question for everybody. What do you think about books written by industry professionals (as opposed to people from academia)?

 

[iosakwe]

Might be a good book to read. Here is a question for everybody. What do you think about books written by industry professionals (as opposed to people from academia)?

I think its all relative to what interests one has. Being a student of financial technology, I would certainly gravitate to literature that's written by industry professionals such as Alex Kuznetsov or Emanuel Derman solely because of their experience within the financial realm. Alex's purported reason for authoring this book is to provide practical finance/business awareness to new entrants in the industry, a common trait that most applicants in his opinion lacked, ( I will let you know how its once I am done reading it ).

On the other hand, in my humble opinion, Academia published works I've read seemed to focus more on theory but suffered in practicality. Then again, I have probably only covered a fraction in comparison to folks on this forum, so i may be shooting in the dark. BUT that's my .02 cents

 

[Andy Nguyen]

I'm adding two pdf guides from Michael Page to the very first post

Interview Preparation Guide: Quantitative Analysis
A guide on how to prepare for a junior position interview in the quantitative field.
Includes required skills, common mistakes, sample questions, etc.

Interview Preparation Guide: Quantitative Structuring
A guide on how to prepare for an interview in the world of structuring.
Includes required skills, common mistakes, sample questions, etc.

 

[Andy Nguyen]

This book seems to be a popular one now that everyone knows about Heard on the Street. I add this one to the first post in case you get ready for a job interview

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[Andy Nguyen]

can anyone recommend good online resource for credit derivatives ?
I know only a few
CREDIT DERIVATIVES AND RISK MANAGEMENT
http://www.creditflux.com/default.htm (but this is a paid member site)

thanks

 

[dstefan]

The GREAT news is that I expect to buy all the books listed here for the Baruch MFE Library. They should all be there by the end of October - I will need someone with a car to help me bring them in though

Seriously.

 

[luso]

What a great news.
Can't wait to see that happen.
Thank you Dan.

 

[Daniel Duffy]

I will need someone with a car to help me bring them in though

Seriously.

Dan, i'll be happy to help

 

[Daniel Duffy]

creditflux.

can anyone recommend good online resource for credit derivatives ?
I know only a few
CREDIT DERIVATIVES AND RISK MANAGEMENT
Creditflux (but this is a paid member site)

thanks

Hi, Andy, I happen to have some printed copy of creditflux, do you want me to bring them to you at the seminar?

 

[Daniel Duffy]

Added a new book to the list. A very light and enjoyable read.

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[Daniel Duffy]

Hi, Andy, I happen to have some printed copy of creditflux, do you want me to bring them to you at the seminar?

I assume you mean Timothy's talk this Friday. That would be tremendous. Thank you !

 

[dstefan]

We now have about 40 books in the library! Enjoy!

 

[Andy Nguyen]

i recommend Credit Derivatives Pricing Models: Model, Pricing and Implementation (Hardcover)<!--aoeui--> by Philipp J. Schönbucher



By the way, the author Philipp J. Schönbucher works in our group.

 

[Yuriy]

i recommend Credit Derivatives Pricing Models: Model, Pricing and Implementation (Hardcover)<!--aoeui--> by Philipp J. Schönbucher



By the way, the author Philipp J. Schönbucher works in our group.

I used this book at CMU.

 

[Andy Nguyen]

Added Dominic Guide V2.0 and Fooled by Randomness to the list

 

[alain]

Check this book "Active Portfolio Management" from Grinold and Khan
Amazon.com: Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk

 

[Andy Nguyen]

I got this book today and can't recommend this highly enough. It has lot of useful tips and I can use almost all of the tip/trick right away. Saves plenty of time if you work with Excel all day long.

for $16, it's a bargain. I'm adding this and other SQL books to the master list.
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