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

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

Discussion in 'Quant Programs' started by Andy Nguyen, Jul 1, 2007.

FREE QUANT CAREER GUIDES

What do quant do ? A guide by Mark Joshi. DownloadPaul & Dominic's Guide to Quant Careers (see attachment)Career in Financial Markets 2011- a guide by efinancialcareers. DownloadInterview Preparation Guide by Michael Page: Quantitative Analysis. DownloadInterview Preparation Guide by Michael Page: Quantitative Structuring. DownloadPaul & 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 andFinance)My Life as a Quant: Reflections on Physics and FinanceThe Quants: How a New Breed of Math Whizzes Conquered Wall Street and Nearly Destroyed ItHow I Became a Quant: Insights from 25 of Wall Street's EliteThe Big Short: Inside the Doomsday MachineNerds on Wall Street: Math, Machines and Wired MarketsPhysicists on Wall Street and Other Essays on Science and Society

BOOKS FOR QUANT INTERVIEWS

Quant Job Interview Questions And AnswersFrequently Asked Questions in Quantitative FinanceHeard on The Street: Quantitative Questions from Wall Street Job Interviews by Timothy CrackA Practical Guide To Quantitative Finance Interviews by Xinfeng ZhouBasic Black-Scholes: Option Pricing and Trading by Timothy CrackFifty Challenging Problems in Probability with Solutions by Frederick MostellerVault Guide to Advanced Finance & Quantitative Interviews

GOOD BOOKS TO READ BEFORE STARTING MFE PROGRAM

A Primer For The Mathematics Of Financial Engineering, Second EditionPaul Wilmott on Quantitative Finance 3 Volume Set (2nd Edition)An Introduction to the Mathematics of Financial Derivatives, Second Edition by Salih NeftciOptions, Futures, and Other Derivatives (8th Edition) by John HullPrinciples of Financial Engineering, Second Edition by Salih NeftciElementary Stochastic Calculus With Finance in View by Thomas MikoschThe Concepts and Practice of Mathematical Finance by Mark JoshiFinancial Options: From Theory to Practice by Stephen FiglewskiFinancial Calculus : An Introduction to Derivative Pricing by Martin BaxterA Course in Financial Calculus by Etheridge AlisonThe Mathematics of Financial Derivatives: A Student Introduction by Paul WilmottFrequently Asked Questions in Quantitative Finance by Paul WilmottDerivatives Markets by Robert L. McDonaldAn Undergraduate Introduction to Financial Mathematics by Robert Buchanan

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

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

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

GENERAL READING ON WALL STREET

Liar's Poker: Rising Through the Wreckage on Wall StreetMonkey Business: Swinging Through the Wall Street JungleReminiscences of a Stock OperatorWorking the Street: What You Need to Know About Life on Wall StreetFiasco: The Inside Story of a Wall Street TraderDen of ThievesWhen Genius Failed: The Rise and Fall of Long-Term Capital ManagementTraders, Guns & Money: Knowns and unknowns in the dazzling world of derivativesThe Greatest Trade Ever: The Behind-the-Scenes Story of How John Paulson Defied Wall Street and MadeFinancial HistoryGoldman Sachs : The Culture of SuccessThe House of Morgan: An American Banking Dynasty and the Rise of Modern FinanceWall Street: A History: From Its Beginnings to the Fall of EnronThe Murder of Lehman Brothers: An Insider’s Look at the Global MeltdownOn the Brink: Inside the Race to Stop the Collapse of the Global Financial SystemHouse of Cards: A Tale of Hubris and Wretched Excess on Wall StreetToo Big to Fail: The Inside Story of How Wall Street and Washington Fought to Save the Financial System-andThemselvesLiquidated: An Ethnography of Wall StreetFortune’s Formula: The Untold Story of the Scientific Betting System That Beat the Casinos and Wall Street

PROGRAMMINGC++ (ordered by level of difficulty)

Problem Solving with C++ (8th Edition) by Walter SavitchC++ How to Program (8th Edition) by Harvey DeitelAbsolute C++ (5th Edition) by Walter SavitchThinking in C++: Introduction to Standard C++, Volume One by Bruce EckelThinking in C++: Practical Programming, Volume Two by Bruce EckelThe C++ Programming Language: Special Edition by Bjarne Stroustrup (C++ inventor)Effective C++: 55 Specific Ways to Improve Your Programs and Designs by Scot MyersC++ Primer (4th Edition) by Stanley LippmanC++ Design Patterns and Derivatives Pricing (2nd edition) by Mark JoshiFinancial 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 LevyC# in Depth, Second Edition by Jon Skeet

F# (ordered by level of difficulty)

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

Matlab (ordered by level of difficulty)

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

Excel

Excel 2007 Power Programming with VBA by John WalkenbachExcel 2007 VBA Programmer’s ReferenceFinancial Modeling by Simon BenningaExcel Hacks: Tips & Tools for Streamlining Your SpreadsheetsExcel 2007 Formulas by John Walkenbach

VBA

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

Python

Learning Python: Powerful Object-Oriented Programming

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

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

Python Cookbook

FINITE DIFFERENCES

Option Pricing: Mathematical Models and Computation, by P. Wilmott, J.N. Dewynne, S.D. HowisonPricing Financial Instruments: The Finite Difference Method, by Domingo Tavella, Curt RandallFinite 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 GlassermanMonte Carlo Frameworks in C++: Building Customisable and High-performance Applications by Daniel J. Duffyand 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 RebonatoVolatility, 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 ofDamiano Brigo's web siteModern Pricing of Interest Rate Derivatives, by Riccardo RebonatoInterest-Rate Option Models, by Riccardo RebonatoEfficient Methods for Valuing Interest Rate Derivatives, by Antoon PelsserInterest Rate Modelling, by Nick Webber, Jessica James

FX

Foreign Exchange Risk, by Jurgen Hakala, Uwe WystupMathematical Methods For Foreign Exchange, by Alexander Lipton

STRUCTURED FINANCE

The Analysis of Structured Securities: Precise Risk Measurement and Capital Allocation (Hardcover) by SylvainRaynes and Ann RutledgeSalomon Smith Barney Guide to MBS & ABS, Lakhbir Hayre, EditorSecuritization Markets Handbook, Structures and Dynamics of Mortgage- and Asset-backed securities by Stone &ZissuSecuritization, by Vinod KothariModeling Structured Finance Cash Flows with Microsoft Excel: A Step-by-Step Guide (good for understanding thebasics)Structured Finance Modeling with Object-Oriented VBA (a bit more detailed and advanced than the step by stepbook)

STRUCTURED CREDIT

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

RISK MANAGEMENT/VAR

VAR Understanding and Applying Value at Risk, by various authorsValue at Risk, by Philippe JorionRiskMetrics Technical Document RiskMetrics GroupRisk 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

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

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

Like x 10 List

Modeling Financial Time Series with S-PLUSStatistical Analysis of Financial Data in S-PLUSModern Applied Statistics with S

HANDS ON

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

NOT ENOUGH YET?

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

Attached Files:

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

For those beginners who are interested in structured finance"The Securitization Markets Handbook" by Charles Stone and Anne Zissuis the one to start with.

For general, Bond Markets Analysis, and strategies by Frank Fabozzi is a good one too.

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

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

Paul and Dominics Guide File size: 1.7 MBViews: 1,494

Job Hunting in Interesting T File size: 418.3 KBViews: 356

Peter Carr's A Practitioner' File size: 46.6 KBViews: 479

ErrataVolIJuly2011.pdfFile size: 141.1 KBViews: 173

ErrataVolIIJuly2011.pdfFile size: 207.6 KBViews: 206

maxdama.pdfFile size: 444.1 KBViews: 124

Andy Nguyen, Jul 1, 2007 #1

Andy Nguyen, Jul 1, 2007 #2

luso, Jul 2, 2007 #3

RussianMike, Jul 2, 2007 #4

MemberAndy Nguyen

Memberluso

MemberRussianMike

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

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

Funny x 1 List

emails and add it here. Thanks, John.

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

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

Books about Python made this 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.

alain said: ↑

Books about Python made this list?

Python must be useful since these are recommended by the guys over at Quantlib group.

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.

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

Andy Nguyen, Jul 2, 2007 #5

Andy Nguyen, Jul 4, 2007 #6

Yuriy, Jul 5, 2007 #7

alain, Jul 5, 2007 #8

Andy Nguyen, Jul 5, 2007 #9

MemberAndy Nguyen

MemberAndy Nguyen

MFE AlumYuriy

Older and Wiseralain

MemberAndy Nguyen

Older and Wiseralain

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

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

alain said: ↑

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

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 Introductionsection. Good titles such asMy life as a QuantHeard on the StreetLiar's poker....

Books that you feel any quant should read.Thanks

These 2 books are really useful.

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

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

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

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.

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.

Author: Bernt OksendalTitle: Stochastic Differential Equations: An Introduction with ApplicationsThis one should probably go with Stochastic Calculus since it discusses Ito's formula and other important concepts, Iused this book in Florida.

alain, Jul 5, 2007 #10

Andy Nguyen, Jul 5, 2007 #11

alain, Jul 5, 2007 #12

RussianMike, Jul 6, 2007 #13

Andy Nguyen, Jul 13, 2007 #14

Yuriy, Jul 27, 2007 #15

MemberAndy Nguyen

Older and Wiseralain

MemberRussianMike

MemberAndy Nguyen

MFE AlumYuriy

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

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

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

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 Mathcourses, thats why I recommended them.

I don't know who recommended Structured Finance Modeling with Object-Oriented VBA but maybe they read it (orparts of it) and found it useful. I think it is enough to have a positive opinion about a book in order to recommend it

Earlier I mentioned that I have a long list of books. But I haven't read most of them, just read about them somewhere onamazon. So I've decided to post only the ones I've either read myself or know that other people are using them astextbooks.

I have a few more, but they don't quite belong to the list

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

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

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

Yuriy, Jul 27, 2007 #16

Uncle Max, Jul 29, 2007 #17

Yuriy, Jul 30, 2007 #18

Andy Nguyen, Aug 7, 2007 #19

alain, Aug 7, 2007 #20

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