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

[Andy Nguyen]

Starting Your Career as a Wall Street Quant: A Practical, No-BS Guide to Getting a Job in Quantitati

This book just seems to write specially for MFE graduates. I haven't read the book but I read the reviews, went to check out the author's blog and I think it's a very interesting book to have. For less than $17, it's worth checking out.

Starting Your Career as a Wall Street Quant: A Practical, No-BS Guide to Getting a Job in Quantitative Finance and Launching a Lucrative Career​

Starting Your Career as a Wall Street Quant is the first and only career guide specifically written for readers who want to get into quantitative finance and launch a lucrative career. It covers everything you wanted to know about getting a quant job, from writing an effective resume to acing job interviews to negotiating the job offer. Written by a practicing senior quant and packed with practical, useful tips (and devoid of BS that would get you nowhere), this book will help you get the quant job you want.
Want to know what the single most critical element of your resume is? Want to know how to impress any interviewer as well as what to say and what not to say at a job interview? Want to know which books to study to acquire the right kind of quantitative education, the kind relevant to finance, and to gain an edge over your competitors? You'll find the answers to these questions, and many more, in this insider's guide.
From the Author
As a working quant, I've been to both sides of the job search process: I've been to many job interviews where I found my palms sweating wet all day long, and I've also been on the other side of the desk interviewing candidates whose palms were probably sweating wet. In writing this book, my goal is to offer you practical information and advice that can prove valuable in your quest to get a quant job on Wall Street. I call this book a "practical, no-BS guide" because that's what it is: lots of practical information you can use right away. I don't BS. I won't be selling you anything, and I don't have a hidden agenda like someone who is a professional headhunter might. I simply want to help you and others who are looking to start a quant career. It's that simple. (BTW, BS here does not stand for Black-Scholes!)

 

[alain]

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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Transact-SQL is useless unless you are working with SQL Server or Sybase. Even there are major differences between those two.

 

[willyf]

Great book

I've read some of those books, they are great.

 

[Andy Nguyen]

This book by Wetfeet is available on Google book library. Wetfeet seems to have a whole bunch of inside guides about every company

Networking Works

 

[bigbadwolf]

Starting Your Career as a Wall Street Quant

It's no good. Stick with "Heard on the Street," the book by Wilmott, and the Kuznetsov book.

 

[bigbadwolf]

We might as well add Tsay's book.
Amazon.com: Analysis of Financial Time Series 2nd edition: Ruey S. Tsay

Excellent book. The book by Meucci -- Risk and Asset Allocation -- is a piece of rubbish. Meucci can't write to save his life.

 

[cw202]

Excellent book. The book by Meucci -- Risk and Asset Allocation -- is a piece of rubbish. Meucci can't write to save his life.

The author does know how to write and lecture.
If you took Meucci's course and used the book and the technical appendices (a separate but free digital book) for his assignments, you would appreciate the book. There is no hand waving like the Wilmott books. His treatment of the black-litterman model is well written and lucid.

 

[bigbadwolf]

The author does know how to write and lecture.
If you took Meucci's course and used the book and the technical appendices (a separate but free digital book) for his assignments, you would appreciate the book. There is no hand waving like the Wilmott books. His treatment of the black-litterman model is well written and lucid.

I'm curious about how many MFE programs have adopted the text other than NYU and perhaps Columbia. If it's a monograph, maybe he can be let off the hook, but if it's designed as a text, texts aren't meant to be written this way. There have to be clear worked examples. And these examples shouldn't be relegated to some digital appendix (if indeed they exist there). I've had to find clearer treatments of Black-Litterman. Other than clear worked examples, there has to be a knack for explaining things -- sort of like the way Feynman does in his three-volume lectures. Meucci hasn't got it. Shreve does. Wilmott does. Umpteen others do. And the person writing this is a pure mathematician who knows what clarity and rigor mean.

 

[cw202]

I'm curious about how many MFE programs have adopted the text other than NYU and perhaps Columbia. If it's a monograph, maybe he can be let off the hook, but if it's designed as a text, texts aren't meant to be written this way. There have to be clear worked examples. And these examples shouldn't be relegated to some digital appendix (if indeed they exist there). I've had to find clearer treatments of Black-Litterman. Other than clear worked examples, there has to be a knack for explaining things -- sort of like the way Feynman does in his three-volume lectures. Meucci hasn't got it. Shreve does. Wilmott does. Umpteen others do. And the person writing this is a pure mathematician who knows what clarity and rigor mean.

Robert Frey (former RenTech quant) uses the book at SB. The book may be mentioned as a reference at Stanford. The examples and homework problems are in a separate exercise book (ebook and free) . I strongly disagree with you on the use of a digital appendix. I think it's brilliant on his part to exclude all the fluff and verbose proofs - found in so many math finance texts - from the main book. You would have to take the class and complete the HW assignments to appreciate the book.

 

[Don]

I just read this book. The author is not very encouraging. He claims that a quant job is boring and has no social value. What do you all think about that? Those of you already working as quants find your jobs "boring?"

Thanks.

This book just seems to write specially for MFE graduates. I haven't read the book but I read the reviews, went to check out the author's blog and I think it's a very interesting book to have. For less than $17, it's worth checking out.

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Starting Your Career as a Wall Street Quant is the first and only career guide specifically written for readers who want to get into quantitative finance and launch a lucrative career. It covers everything you wanted to know about getting a quant job, from writing an effective resume to acing job interviews to negotiating the job offer. Written by a practicing senior quant and packed with practical, useful tips (and devoid of BS that would get you nowhere), this book will help you get the quant job you want.​

Want to know what the single most critical element of your resume is? Want to know how to impress any interviewer as well as what to say and what not to say at a job interview? Want to know which books to study to acquire the right kind of quantitative education, the kind relevant to finance, and to gain an edge over your competitors? You'll find the answers to these questions, and many more, in this insider's guide.​

From the Author​

As a working quant, I've been to both sides of the job search process: I've been to many job interviews where I found my palms sweating wet all day long, and I've also been on the other side of the desk interviewing candidates whose palms were probably sweating wet. In writing this book, my goal is to offer you practical information and advice that can prove valuable in your quest to get a quant job on Wall Street. I call this book a "practical, no-BS guide" because that's what it is: lots of practical information you can use right away. I don't BS. I won't be selling you anything, and I don't have a hidden agenda like someone who is a professional headhunter might. I simply want to help you and others who are looking to start a quant career. It's that simple. (BTW, BS here does not stand for Black-Scholes!)​

 

[bigbadwolf]

His treatment of the black-litterman model is well written and lucid.

For a clear and intelligible treatment of Black-Litterman, take a look at the 3rd edition of Simon Benninga's "Financial Modeling," just published by MIT Press (got my own copy only a few days ago). Now Benninga is a man who does know how to write and explain, and how to turn abstract concepts into computational tools. I recommend this book unequivocally (note that the author uses Excel throughout).

 

[Daniel Duffy]

I just read this book. The author is not very encouraging. He claims that a quant job is boring and has no social value. What do you all think about that? Those of you already working as quants find your jobs "boring?"

Don't know about the "boring" part: all office jobs fall into that category (to differing extents, admittedly). With regard to social value, a quant from a good school is often starting out at three times the wages of a mechanical or industrial engineer (if indeed the latter can find a job at all these days). One can make the argument that these engineers do more for the long-term prosperity and wealth of a society than quants hunting for differentially higher returns. But this is the topsy-turvy world we live in and have to make our peace with.

I didn't find the book very useful. Better would be Crack's "Heard on the Street." And to learn what quants do, try Kuznetsov's "Capital Markets for Quantitative Professionals."

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[Andy Nguyen]

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Received the book on Monday. Read about 20 pages and it was a very informative book so far.
It should had been the very first book I read prior to my MFE. I should had read it before Hull, before Derman's book, before Liar poker and that stuff.

I added it to the master list at the first page.

 

[Isom]

Hi Quant Community,

I got the mail that contains the "must read" books few days back. I found it very rich but later I tried to access the mail to save the list of "must books" but I couldn't see the list again. Can somebody help me out please.

Isom.

 

[Andy Nguyen]

The list of must read books is on the first post of this thread. I believe you refer to the Michael Pages guide which is also one of the many downloads on the first post.

 

[Peace]

Hello, a very BIG thank you for all those who have contributed to this book list. It is indeed very useful for anyone interested in quantitative finance, especially beginners.

Can I just ask whether the books listed under general are also introductory books? To understand the books, do we need a lot of theoretical knowledge or difficult mathematical concepts?

Thanks!

 

[alain]

Some of them are hard some of them are easy but it all depends on your background.

 

[micetao]

Andy, why I could not download this book:
1) What do quant do ? A guide by Mark Joshi. Download

thanks

 

[Andy Nguyen]

You are not downloading per se. When you click on Download, a browser will open with the pdf file in it which you can Save a Copy to your computer.
I'm using Firefox and that's how it goes.

 

[Andy Nguyen]

I'm adding Dan Stefanica's Primer to the list on the first post under General section

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