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

Discussion in 'Quant Programs' started by Andy Nguyen, Jul 1, 2007.
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FREE QUANT CAREER GUIDES

Andy Nguyen
Member

What do quant do ? A guide by Mark Joshi. Download

Paul & Dominic's Guide to Quant Careers (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
Paul & Dominic's Job Hunting in Interesting Times Second Edition (see attachment)
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 (McGraw-Hill Library of Investment and
Finance)
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

Quant Job Interview Questions And Answers
Frequently Asked Questions in Quantitative Finance
Heard on The Street: Quantitative Questions from Wall Street Job Interviews by Timothy Crack
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
GOOD BOOKS TO READ BEFORE STARTING MFE PROGRAM
A Primer For The Mathematics Of Financial Engineering, Second Edition
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

https://www.quantnet.com/forum/threads/master-reading-list-for-quants-mfe-financial-engineering-students.535/[6/12/2012 11:15:26 AM]

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

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 Insiders 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
Fortunes 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++ (8th 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 Programmers 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

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

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 Jcke (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

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. Schnbucher
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

https://www.quantnet.com/forum/threads/master-reading-list-for-quants-mfe-financial-engineering-students.535/[6/12/2012 11:15:26 AM]

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

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
Attached Files:
Paul and Dominics Guide
File size:
1.7 MB
Views:
1,494

Job Hunting in Interesting T

File size:
418.3 KB
Views:
356

Peter Carr's A Practitioner'

File size:
46.6 KB
Views:
479

ErrataVolIJuly2011.pdf
File size:
141.1 KB
Views:
173

ErrataVolIIJuly2011.pdf
File size:
207.6 KB
Views:
206

maxdama.pdf
File size:
Views:

444.1 KB
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Andy Nguyen, Jul 1, 2007

#1

Like x 10 List

I'd like to see some book suggestions for structured finance, CDS, CDO, credit derivative.

Andy Nguyen, Jul 1, 2007

#2

Andy Nguyen
Member

For those beginners who are interested in structured finance

"The Securitization Markets Handbook" by Charles Stone and Anne Zissu
is the one to start with.
For general,
Bond Markets Analysis, and strategies by Frank Fabozzi is a good one too.
luso

luso, Jul 2, 2007

#3

Member

Actually to add to what Adolfo said, any Fabozzi book is great

RussianMike, Jul 2, 2007

RussianMike
Member

Thanks guys,
I will add the books to the list. John did give me a list of really good book for structured finance. I'll dig it out of my

https://www.quantnet.com/forum/threads/master-reading-list-for-quants-mfe-financial-engineering-students.535/[6/12/2012 11:15:26 AM]

#4

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

emails and add it here. Thanks, John.

Andy Nguyen, Jul 2, 2007

#5

Andy Nguyen
Member

I just added books suggested by John to the Structured Finance and Structured Credit sections.

Andy Nguyen, Jul 4, 2007

#6

Andy Nguyen
Member

Andy, I have a long list of books to recommend, should I PM it to you first?

Yuriy, Jul 5, 2007

#7

Yuriy
MFE Alum

Books about Python made this list?

alain, Jul 5, 2007

alain
Older and Wiser

#8

Funny x 1 List

Yuriy said:

Andy, I have a long list of books to recommend, should I PM it to you first?

If it's long, you can PM it to me. If you can include ISBN, it'll be great.
Andy Nguyen
Member

alain said:

Books about Python made this list?

Python must be useful since these are recommended by the guys over at Quantlib group.
Andy Nguyen, Jul 5, 2007

Andy said:

If it's long, you can PM it to me. If you can include ISBN, it'll be great.
Python must be useful since these are recommended by the guys over at Quantlib group.

alain
Older and Wiser

If books about Python made this list, we should include books about Perl and Java as well.
Also, I don't see Meyer's books in the list:
- Effective C++
- More Effective C++
- Effective STL

https://www.quantnet.com/forum/threads/master-reading-list-for-quants-mfe-financial-engineering-students.535/[6/12/2012 11:15:26 AM]

#9

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

alain, Jul 5, 2007

#10

alain said:

If books about Python made this list, we should include books about Perl and Java as well.

Andy Nguyen
Member

I don't see why not. I took the skeleton of this list off the Quantlib recommended list and add the ones we are using.
These titles are quite technical and I think the new members will benefit if we can add more books in Introduction
section. Good titles such as
My life as a Quant
Heard on the Street
Liar's poker
....
Books that you feel any quant should read.
Thanks
Andy Nguyen, Jul 5, 2007

#11

These 2 books are really useful.

Basic Black-Scholes: Option Pricing and Trading (Paperback)
by Timothy Falcon Crack (Author)

alain

Heard on the Street: Quantitative Questions from Wall Street Job Interviews (Paperback)
by Timothy Falcon Crack (Author)

Older and Wiser

alain, Jul 5, 2007

#12

What happened to basic c++ books. Andy I remember a while back you mentioned some different ones

RussianMike, Jul 6, 2007

#13

RussianMike
Member

RussianMike said:

What happened to basic c++ books. Andy I remember a while back you mentioned some different ones

Yeap, I just added 2 books by Walter Savitch.

Andy Nguyen

Andy Nguyen, Jul 13, 2007

#14

Member

I'm going to start digging into my pile of books. I have a few at home and also much more in my wishlist on Amazon.
Here are a few interesting ones.

Yuriy
MFE Alum

Author: Bernt Oksendal

Title: Stochastic Differential Equations: An Introduction with Applications
This one should probably go with Stochastic Calculus since it discusses Ito's formula and other important concepts, I
used this book in Florida.
Yuriy, Jul 27, 2007

https://www.quantnet.com/forum/threads/master-reading-list-for-quants-mfe-financial-engineering-students.535/[6/12/2012 11:15:26 AM]

#15

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

Author: Attilio Meucci

Title: Risk and Asset Allocation
This one should go with Portfolio Management. I know a couple of schools use this book.

Yuriy, Jul 27, 2007

#16

Yuriy
MFE Alum

I wonder how this list was assembled? There is for example book by Evan Tick "Structured Finance Modeling with
Object-Oriented VBA". It was published only a couple of months ago. I'm reading it now and so far it's a great book. It
teaches Excel VBA using structured finance applications. The question is why it is in the list of "Recommended Books"?
Did anyone read it?
Uncle Max, Jul 29, 2007

#17

Uncle Max
Top Of The Rock

Good question about "why recommended".

As far as I understand, this is a list of useful books. The two books I suggested above are used in Financial Math
courses, thats why I recommended them.
I don't know who recommended Structured Finance Modeling with Object-Oriented VBA but maybe they read it (or
parts of it) and found it useful. I think it is enough to have a positive opinion about a book in order to recommend it

Yuriy
MFE Alum

Earlier I mentioned that I have a long list of books. But I haven't read most of them, just read about them somewhere on
amazon. So I've decided to post only the ones I've either read myself or know that other people are using them as
textbooks.
I have a few more, but they don't quite belong to the list
Yuriy, Jul 30, 2007

#18

I updated the list with books recommended by Yuriy and also added a SAS section in which I add the SAS primer book
that i'm reading

Andy Nguyen, Aug 7, 2007

#19

Andy Nguyen
Member

Andy, you should add the following books to the list (all S/S-Plus/R related)
- Modeling Financial Time Series with S-PLUS
- Statistical Analysis of Financial Data in S-PLUS
- Modern Applied Statistics with S
alain

I still don't know why we have Python in this list.

Older and Wiser

alain, Aug 7, 2007

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