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

[Mr Doe]

SIAM has launched a journal in Financial Mathematics. You can read this year (2010) issues for free. Here's the link: http://epubs.siam.org/SIFIN .

 

[Andy Nguyen]

This vol trading book is very well recommended by many people The author of this book is someone we have been talking to recently. He is coming out with a new book soon.

Volatility Trading

 

[koupparis]

What vol book Andy?

 

[Andy Nguyen]

I attached the link above. It's Volatility Trading by Euan Sinclair
Volatility Trading

 

[scintellata]

Hello. I am a MS Finance student from University of Frankfurt, Germany. I come from Engineering and technology background. I find Quantitative Finance and Programming rather easy and interesting. But I would like to know, as a part of Interview preparation for Quant/ Derivative Trading jobs, how much Corporate Finance/capital Market/Investment Fundamentals are expected.
Can someone comment on Investments (Bodie Kane Marcus).
I find the book too much detailed, and not very comprehensive...

 

[David Rappaport]

Has anyone read this:
The Options Trader's Workbook: A Problem-Solving Approach

Thanks.

 

[const451]

Can someone comment on Investments (Bodie Kane Marcus).
I find the book too much detailed, and not very comprehensive...

The textbook is great. Most of the undergrads, MBA, and Finance programs use it in the US. I'd say read it before going for Hull and Arbitrage Pricing.

 

[Andy Nguyen]

I just talked to Dr. Jeremy Bernstein, the author of Physicists on Wall Street and Other Essays on Science and Society

I read through the first 3 essays on Amazon and it was great. He is such a gifted story teller and the stories he told about how he knew Emanuel Derman when he was still a student at Columbia and how he met other great minds in quant finance provide a very interesting frame of reference.

I added his book to the must read books, along with Derman My life as a Quant

Physicists on Wall Street and Other Essays on Science and Society

 

[Steilermeier]

McNeil, Embrechts, Frey - Quantitative Risk Management

 

[Andy Nguyen]

Amazon.com: Lme Kerviel: Books
This is Trapped in a Spiral: Memoirs of a Trader, Jérôme Kerviel's book about his trading at SocGen.

Too bad it's in French.

 

[Roger Trimble]

Andy, this is a great list, but it seems to be tailored to those who are looking to get into the industry. The old list also included books on programming, volatility, credit, etc. It would be helpful to include those categories for those looking to extend their knowledge rather than break into the industry.

 

[Andy Nguyen]

Rog,
That's exactly what we are doing. I'm updating and extending the old list so you will see those categories added to this list soon.
The old list was on the top most read on our forum and we plan to do the same thing to this new list.

 

[Roger Trimble]

Andy, you're always leaps and bounds ahead....

 

[olgenue]

"The Misbehaviour of Markets: A Fractal View of Risk, Ruin and Reward" by Benoit Mandelbrot.

 

[zhoupuhan]

I think Implementing Models in Quantitative Finance: Methods and Cases

 

[atreides]

Anyone gone through this book yet? Algorithmic Trading and DMA: An introduction to direct access trading strategies

 

[alain]

I have the book but I haven't had the time to go through it. It seems informative.

 

[qchan]

Regarding newspapers, if you were to subscribe to one, would you choose the Financial Times or the WSJ?

 

[bigbadwolf]

Regarding newspapers, if you were to subscribe to one, would you choose the Financial Times or the WSJ?

FT. A more cosmopolitan and urbane outlook. Even left-wingers read the cogent analysis only to be found in the FT. No equivalent anywhere to columnists like, say, Wolfgang Munchau.

 

[Joy Pathak]

Can someone post some books/articles/etc related to Precious Metal Trading ?