Master reading list for MFE

[Andy]

This is a list of books that have been proved to be useful in the education of many quants. Many of these books are used in the MFE programs. Feel free to suggest other titles in different categories and I will add to the master list.

* FREE QUANT CAREER GUIDES
1) What do quant do ? A guide by Mark Joshi. Download (http://www.markjoshi.com/downloads/advice.pdf)
2) Paul & Dominic's Guide to Quant Careers Version 2.0 Download (http://www.quantnet.org/forum/showthread.php?t=2078)
3) Career in Financial Markets - a guide by efinancialcareers. Download (http://www.efinancialcareers.com/images/fuseads/inhouse/cifm_us.pdf)
4) Interview Preparation Guide by Michael Page: Quantitative Analysis. Download (http://www.nuclearphynance.com/User%20Files/96/Interview%20Prep%20for%20Junior%20Quants.pdf)
5) Interview Preparation Guide by Michael Page: Quantitative Structuring. Download (http://www.nuclearphynance.com/User%20Files/96/Interview%20Prep%20for%20Junior%20Structurers.pdf)


* LIFE AS A QUANT
1) How I became a Quant : Stories of 25 Top Quants
2) My life as a Quant, by Emmanual Derman
3) Working the Street by Erik Banks
4) Liar's Poker by Michael Lewis
5) Fooled by Randomness by Nassim Nicholas Taleb
6) The Complete Guide to Capital markets for Quantitative Professionals

<iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0470050624&fc1=000000&IS2=1&lt1=_blank&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0471394203&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=1403963770&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0140143459&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=1587991845&fc1=000000&IS2=1&lt1=_blank&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0071468293&fc1=000000&IS2=1&lt1=_blank&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe>



* BOOKS FOR QUANT INTERVIEWS

1) Basic Black-Scholes: Option Pricing and Trading by Timothy Falcon Crack
2) Heard on the Street: Quantitative Questions from Wall Street Job Interviews by Timothy Falcon Crack
3) Frequently asked questions in Quantitative finance
4) Starting Your Career as a Wall Street Quant
5) A Practical Guide To Quantitative Finance Interviews by Xinfeng Zhou
6) Fifty Challenging Problems in Probability with Solutions by Frederick Mosteller
7) Quant Job Interview Questions and Answers by Mark Joshi

<iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0970055226&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0970055250&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0470058269&fc1=000000&IS2=1&lt1=_blank&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=1432706810&fc1=000000&IS2=1&lt1=_blank&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=1435715756&fc1=000000&IS2=1&lt1=_blank&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0486653552&fc1=000000&IS2=1&lt1=_blank&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=143821703X&fc1=000000&IS2=1&lt1=_blank&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe>


* GENERAL
1. The Concepts and Practice of Mathematical Finance (2nd Edition), by Mark S. Joshi
2. Paul Wilmott on Quantitative Finance, by Paul Wilmott
3. Options, Futures, and Other Derivatives, by John C. Hull
4. A Primer for the Mathematics of Financial Engineering by Dan Stefanica
5. Solutions Manual: A Primer for the Mathematics of Financial Engineering by Dan Stefanica
6. Principles of Financial Engineering (2nd Ed) by Salih Neftci
7. Quantitative Methods in Derivatives Pricing: An Introduction to Computational Finance by Domingo Tavella

<iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0521514088&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0470018704&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0131499084&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0979757606&fc1=000000&IS2=1&lt1=_blank&lc1=0000FF&bc1=F7F7F7&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0979757630&fc1=000000&IS2=1&lt1=_blank&m=amazon&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width:120px;height:240px;" scrolling="no" marginwidth="0" marginheight="0" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0123735742&fc1=000000&IS2=1&lt1=_blank&m=amazon&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width:120px;height:240px;" scrolling="no" marginwidth="0" marginheight="0" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0471394475&fc1=000000&IS2=1&lt1=_blank&m=amazon&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width:120px;height:240px;" scrolling="no" marginwidth="0" marginheight="0" frameborder="0"></iframe>

* PROGRAMMING
o Introduction to C++ for Financial Engineers: An Object-Oriented Approach by Daniel J. Duffy
o Financial Instrument Pricing Using C++ by Daniel J. Duffy
o Problems Solving with C++, 7th Edition, by Walter Savitch
o Absolute C++, 3rd Edition by Walter Savitch
o The C++ Programming Language, Special Edition, by Bjarne Stroustrup
Hardcover - 1040 pages Rev. Ed (11 February, 2000)
Addison Wesley; ISBN: 0201700735
o Thinking in C++: Introduction to Standard C++, Volume One, by Bruce Eckel
Available as free book from Bruce Eckel's Mindview Inc: Books & Book Support (http://www.mindview.net/Books)
o Numerical Recipes in C
also available on-line from Numerical Recipes Home Page (http://www.nr.com/)
o GNU Autoconf, Automake, and Libtool
also available as free book from GNU Autoconf, Automake and Libtool (http://sources.redhat.com/autobook/)
o Open Source Development with CVS, by Karl Fogel
also available as free book from A CVS Book (http://cvsbook.red-bean.com/)
o UML Distilled, by Martin Fowler, Kendall Scott
o Design Patterns, by E. Gamma, R. Helm, R. Johnson, J. Vlissides

o The C# Programming Language (3rd Edition)
o C# 3.0 THE COMPLETE REFERENCE
o Pro C# 2008 and the .NET 3.5 Platform, Fourth Edition by Andrew Troelsen
o C# for Financial Markets by Daniel J. Duffy and Andrea Germani
o Computational Finance Using C and C# by George Levy
o Applied C# in Financial Markets by Martin Worner

<iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0470015381&fc1=000000&IS2=1&lt1=_blank&m=amazon&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width:120px;height:240px;" scrolling="no" marginwidth="0" marginheight="0" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0470855096&fc1=000000&IS2=1&lt1=_blank&m=amazon&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width:120px;height:240px;" scrolling="no" marginwidth="0" marginheight="0" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0321531345&fc1=000000&IS2=1&lt1=_blank&m=amazon&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width:120px;height:240px;" scrolling="no" marginwidth="0" marginheight="0" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0321468937&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0201700735&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0139798099&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=020165783X&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe>


<iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0321562992&fc1=000000&IS2=1&lt1=_blank&m=amazon&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width:120px;height:240px;" scrolling="no" marginwidth="0" marginheight="0" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0071588418&fc1=000000&IS2=1&lt1=_blank&m=amazon&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width:120px;height:240px;" scrolling="no" marginwidth="0" marginheight="0" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=1590598849&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0470030089&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0750669195&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0470870613&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe>


* FINITE DIFFERENCES
1. Option Pricing: Mathematical Models and Computation, by P. Wilmott, J.N. Dewynne, S.D. Howison
2. Pricing Financial Instruments: The Finite Difference Method, by Domingo Tavella, Curt Randall
3. Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach by Daniel Duffy

<iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0952208202&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0471197602&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0470858826&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe>


* MONTE CARLO
1. Monte Carlo Methods in Finance, by Peter Jäckel
Errata available at jaeckel.org (http://www.jaeckel.org)
2. Monte Carlo, by Bruno Dupire (Editor)
3. Monte Carlo Methods in Financial Engineering, by Paul Glasserman
4. Monte Carlo Frameworks in C++: Building Customisable and High-performance Applications by Daniel J. Duffy and Joerg Kienitz

<iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0387004513&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=047149741X&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=189933291X&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0470060697&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe>

* STOCHASTIC CALCULUS
o Steven Shreve: Stochastic Calculus and Finance
o An Introduction to the Mathematics of Financial Derivatives, Second Edition, by Salih Neftci free solution manual available on-line
o Bernt Oksendal: Stochastic Differential Equations: An Introduction with Applications

<iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0387249680&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0387401016&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0125153929&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=3540047581&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe>


* VOLATILITY
1. Volatility and Correlation, by Riccardo Rebonato
2. Volatility, by Robert Jarrow (Editor)


<iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0471899984&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=1899332464&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe>


* INTEREST RATE
1. Interest Rate Models - Theory and Practice, by D. Brigo, F. Mercurio
updates available on-line Professional Area of Damiano Brigo's web site (http://www.damianobrigo.it/book.html)
2. Modern Pricing of Interest Rate Derivatives, by Riccardo Rebonato
3. Interest-Rate Option Models, by Riccardo Rebonato
4. Efficient Methods for Valuing Interest Rate Derivatives, by Antoon Pelsser
5. Interest Rate Modelling, by Nick Webber, Jessica James

<iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=3540417729&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0691089736&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0471979589&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=1852333049&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0471975230&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe>


* FX
1. Foreign Exchange Risk, by Jurgen Hakala, Uwe Wystup
2. Mathematical Methods For Foreign Exchange, by Alexander Lipton

<iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=1899332375&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=9810248237&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe>


* STRUCTURED FINANCE
1. The Analysis of Structured Securities: Precise Risk Measurement and Capital Allocation (Hardcover)
by Sylvain Raynes and Ann Rutledge
2. Salomon Smith Barney Guide to MBS & ABS , Lakhbir Hayre, Editor
3. Securitization Markets Handbook, Structures and Dynamics of Mortgage- and Asset-backed securities by Stone & Zissu
4. Securitization, by Vinod Kothari
5. Modeling Structured Finance Cash Flows with Microsoft Excel: A Step-by-Step Guide (Wiley Finance) (Paperback)
(good for understanding the basics)
6. Structured Finance Modeling with Object-Oriented VBA (Wiley Finance) (a bit more detailed and advanced than the step by step book)


<iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0195152735&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0471385875&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=1576601382&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0470821957&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=1584886471&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0470098597&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe>


* STRUCTURED CREDIT
1) Collateralized Debt Obligations, by Arturo Cifuentes (out of print but worth picking up if you find a copy)
2) An Introduction to Credit Risk Modeling by Bluhm, Overbeck and Wagner (really good read, especially on how to model correlated default events & times)
3) Credit Derivatives Pricing Models: Model, Pricing and Implementation by Philipp J. Schönbucher
4) Credit Derivatives: A Guide to Instruments and Applications by Janet M. Tavakoli
5) Structured Credit Portfolio Analysis, Baskets and CDOs (Chapman & Hall/Crc Financial Mathematics Series) by Christian Bluhm and Ludger Overbeck ( Hardcover - Sep 29, 2006)


<iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=097609830X&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=158488326X&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0470842911&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=047141266X&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=1584886471&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe>


*RISK MANAGEMENT/VAR
1. VAR, by various authors
2. Value at Risk, by Philippe Jorion
3. RiskMetrics Technical Document RiskMetrics Group (http://www.riskmetrics.com/techdoc.html)
4. Risk and Asset Allocation by Attilio Meucci

<iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=189933226X&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0071355022&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=3540222138&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0470013036&fc1=000000&IS2=1&lt1=_blank&m=amazon&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width:120px;height:240px;" scrolling="no" marginwidth="0" marginheight="0" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0121742326&fc1=000000&IS2=1&lt1=_blank&m=amazon&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width:120px;height:240px;" scrolling="no" marginwidth="0" marginheight="0" frameborder="0"></iframe>


* SAS/S/S-PLUS

The Little SAS Book: A Primer, Third Edition by Lora D. Delwiche and Susan J. Slaughter
Modeling Financial Time Series with S-PLUS
Statistical Analysis of Financial Data in S-PLUS
Modern Applied Statistics with S

<iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=1590473337&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0387279652&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0387202862&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0387954570&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe>



* SQL PROGRAMMING

<iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0201615762&fc1=000000&IS2=1&lt1=_blank&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0123693799&fc1=000000&IS2=1&lt1=_blank&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=1558609202&fc1=000000&IS2=1&lt1=_blank&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe>

* HANDS ON
1. Implementing Derivative Models, by Les Clewlow, Chris Strickland
Errata available at Error (http://www.lacimagroup.com/downloads/IDM_Corrections.pdf)
2. The Complete Guide to Option Pricing Formulas, by Espen Gaarder Haug


<iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0471966517&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0786312408&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe>


* FINANCIAL MODELING USING EXCEL AND VBA
1. Advanced modelling in finance using Excel and VBA, by Mary Jackson, Mike Staunton
2. Financial Modeling, 3rd Edition (2008), by Simon Benninga
3. Advanced Modelling in Derivatives Using Vba by Mike Staunton
4. Credit Risk Modeling using Excel and VBA by Gunter Loeffler , Peter N. Posch


<iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0471499226&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0262026287&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0470868597&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0470031573&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe>


* EXCEL
1. Definitive Guide to Excel VBA (2nd edition), by Michael Kofler
2. Excel 2007 VBA Programmer's Reference, by John Green, Stephen Bullen, Rob Bovey, Robert Rosenberg
3. Excel 2007 Power Programing with VBA, by John Walkenbach
4. Excel 2007 Formulas, by John Walkenbach
5. Excel Hacks: Tips & Tools for Streamlining Your Spreadsheets by David Hawley and Raina Hawley


<iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=1590591038&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0470046430&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0470044012&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0470044020&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0596528345&fc1=000000&IS2=1&lt1=_blank&lc1=0000FF&bc1=F7F7F7&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe>


* NOT ENOUGH YET?
o Energy Derivatives, by Les Clewlow, Chris Strickland
Hardcover (August 2000)
Lacima Group; ISBN: 0953889602
o Hull-White on Derivatives, by John Hull, Alan White
Paperback - 356 pages (June 1996)
Risk Books; ISBN: 1899332456
o Exotic Options: The State of the Art, by Les Clewlow (Editor), Chris Strickland (Editor)
Hardcover (June 1997)
International Thomson Business Press; ISBN: 0412631709
o Market Models, by C.O. Alexander
Hardcover - 514 pages (26 September, 2001)
John Wiley and Sons Ltd; ISBN: 0471899755
o Pricing, Hedging, and Trading Exotic Options, by Israel Nelken
o Modelling Fixed Income Securities and Interest Rate Options, by Robert A. Jarrow
Hardcover (October 1995)
McGraw Hill College Div; ISBN: 0070323739
o Black-Scholes and Beyond, by Neil A. Chriss
Hardcover - 500 pages (30 September, 1996)
Irwin Professional (USA); ISBN: 0786310251
o Risk Management and Analysis: Measuring and Modelling Financial Risk, by Carol Alexander (Editor)
Hardcover - 304 pages Revised Ed (12 November, 1998)
John Wiley and Sons Ltd; ISBN: 0471979570
o Mastering Risk: Volume 2 - Applications: Your Single-Source Guide to Becoming a Master of Risk, by Carol Alexander
Paperback - 264 pages 1 (24 October, 2001)
Pearson Education; ISBN: 0273654365

<iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0953889602&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=1899332456&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0412631709&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0471899755&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0070323739&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0786310251&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0471979570&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0273654365&fc1=000000&IS2=1&lt1=_top&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe>

[Andy]

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

[luso]

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.

[RussianMike]

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

[Andy]

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 emails and add it here. Thanks, John.

[Andy]

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

[Yuriy]

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

[alain]

Books about Python made this list?

[Andy]

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.
Books about Python made this list?
Python must be useful since these are recommended by the guys over at Quantlib group.

[alain]

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]

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 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

[alain]

These 2 books are really useful.

Basic Black-Scholes: Option Pricing and Trading (Paperback)
by Timothy Falcon Crack (http://www.amazon.com/exec/obidos/search-handle-url/002-6050643-0820054?%5Fencoding=UTF8&search-type=ss&index=books&field-author=Timothy%20Falcon%20Crack) (Author)

Heard on the Street: Quantitative Questions from Wall Street Job Interviews (Paperback)
by Timothy Falcon Crack (http://www.amazon.com/exec/obidos/search-handle-url/002-6050643-0820054?%5Fencoding=UTF8&search-type=ss&index=books&field-author=Timothy%20Falcon%20Crack) (Author)

[RussianMike]

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

[Andy]

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.

[Yuriy]

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 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]

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

[maxrum]

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?

[Yuriy]

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 :)

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 :)

[Andy]

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

[alain]

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.

[Andy]

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 (http://www.amazon.com/Analysis-Financial-Wiley-Probability-Statistics/dp/0471690740/ref=sr_1_1/102-7582180-4307329?ie=UTF8&s=books&qid=1186551304&sr=1-1)

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) (http://www.amazon.com/gp/reader/0071468293/ref=sib_dp_pt/102-2129619-2774557#reader-link)

[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]

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

Interview Preparation Guide: Quantitative Analysis (http://www.nuclearphynance.com/User%20Files/96/Interview%20Prep%20for%20Junior%20Quants.pdf)
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 (http://www.nuclearphynance.com/User%20Files/96/Interview%20Prep%20for%20Junior%20Structurers.pdf)
A guide on how to prepare for an interview in the world of structuring.
Includes required skills, common mistakes, sample questions, etc.

[Andy]

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

<iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0470058269&fc1=000000&IS2=1&lt1=_blank&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width:120px;height:240px;" scrolling="no" marginwidth="0" marginheight="0" frameborder="0"></iframe>

[Andy]

can anyone recommend good online resource for credit derivatives ?
I know only a few
CREDIT DERIVATIVES AND RISK MANAGEMENT (http://www.margrabe.com/CreditDerivatives.html)
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.

[Dmytro]

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

Seriously.

Dan, i'll be happy to help

[nonoah]

can anyone recommend good online resource for credit derivatives ?
I know only a few
CREDIT DERIVATIVES AND RISK MANAGEMENT (http://www.margrabe.com/CreditDerivatives.html)
Creditflux (http://www.creditflux.com/default.htm) (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?

[Andy]

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

<center><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0470050624&fc1=000000&IS2=1&lt1=_blank&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width:120px;height:240px;" scrolling="no" marginwidth="0" marginheight="0" frameborder="0"></iframe></center>

[Andy]

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]

i recommend Credit Derivatives Pricing Models: Model, Pricing and Implementation (Hardcover)<!--aoeui--> (http://www.amazon.com/dp/0470842911?tag=quantfinaneng-20) by Philipp J. Schönbucher

http://ecx.images-amazon.com/images/I/518PJ0B8F5L._BO2,204,203,200_PIsitb-dp-500-arrow,TopRight,45,-64_OU01_AA240_SH20_.jpg (http://www.amazon.com/dp/0470842911?tag=quantfinaneng-20)

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--> (http://www.amazon.com/dp/0470842911?tag=quantfinaneng-20) by Philipp J. Schönbucher



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


I used this book at CMU.

[Andy]

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

[alain]

Check this book "Active Portfolio Management" from Grinold and Khan
http://www.amazon.com/dp/0070248826
(http://www.amazon.com/Active-Portfolio-Management-Quantitative-Controlling/dp/0070248826)

[Andy]

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.
<iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0596528345&fc1=000000&IS2=1&lt1=_blank&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" frameborder="0" scrolling="no"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0201615762&fc1=000000&IS2=1&lt1=_blank&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width:120px;height:240px;" scrolling="no" marginwidth="0" marginheight="0" frameborder="0"></iframe>

[Andy]

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.

<iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=1432706810&fc1=000000&IS2=1&lt1=_blank&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" frameborder="0" scrolling="no"></iframe>
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.
<IFRAME style="WIDTH: 120px; HEIGHT: 240px" marginWidth=0 marginHeight=0 src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0596528345&fc1=000000&IS2=1&lt1=_blank&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" frameBorder=0 scrolling=no></IFRAME><IFRAME style="WIDTH: 120px; HEIGHT: 240px" marginWidth=0 marginHeight=0 src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0201615762&fc1=000000&IS2=1&lt1=_blank&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" frameBorder=0 scrolling=no></IFRAME>

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

[willyf]

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

[Andy]

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!: The Wetfeet ... - Google Book Search (http://books.google.com/books?id=CPpm4zEaKg8C&dq=wetfeet+guide)

<iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=1582076847&fc1=000000&IS2=1&lt1=_blank&lc1=0000FF&bc1=F7F7F7&bg1=F7F7F7&f=ifr" style="width:120px;height:240px;" scrolling="no" marginwidth="0" marginheight="0" frameborder="0"></iframe>

[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 (http://www.amazon.com/Analysis-Financial-Wiley-Probability-Statistics/dp/0471690740/ref=sr_1_1/102-7582180-4307329?ie=UTF8&s=books&qid=1186551304&sr=1-1)


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.

<IFRAME style="WIDTH: 120px; HEIGHT: 240px" marginWidth=0 marginHeight=0 src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=1432706810&fc1=000000&IS2=1&lt1=_blank&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" frameBorder=0 scrolling=no></IFRAME>

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).

[bigbadwolf]

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."

<iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0071468293&fc1=000000&IS2=1&lt1=_blank&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width:120px;height:240px;" scrolling="no" marginwidth="0" marginheight="0" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0970055250&fc1=000000&IS2=1&lt1=_blank&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width:120px;height:240px;" scrolling="no" marginwidth="0" marginheight="0" frameborder="0"></iframe>

[Andy]

<iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0071468293&fc1=000000&IS2=1&lt1=_blank&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" frameborder="0" scrolling="no"></iframe>

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.

[alain]

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.

??? :-k

[Andy]

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 (http://www.markjoshi.com/downloads/advice.pdf)

thanks

[Andy]

You are not downloading per se. When you click on Download (http://www.markjoshi.com/downloads/advice.pdf), 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]

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

<iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0979757606&fc1=000000&IS2=1&lt1=_blank&lc1=0000FF&bc1=F7F7F7&bg1=F7F7F7&f=ifr" style="width:120px;height:240px;" scrolling="no" marginwidth="0" marginheight="0" frameborder="0"></iframe>

[micetao]

Andy,

I couldn't get the file via Firefox or IE. Not sure whether it's the limitation in China. Could you please send a copy to my email: micetao@gmail.com. Appreciate it. :).

---------------------
The connection has timed out
The server at Mark Joshi's Home Page (www.markjoshi.com) is taking too long to respond.
* The site could be temporarily unavailable or too busy. Try again in a few moments.
* If you are unable to load any pages, check your computer's network connection.
* If your computer or network is protected by a firewall or proxy, make sure
that Firefox is permitted to access the Web.
---------------------

[micetao]

Andy,

I got a copy here: http://pkukmweb.ukm.my/~rafidah/Updated/MarkJoshi's%20Advice.pdf
Searches it in Google.com. hope this is the right one.

thanks!

[iosakwe]

For those seeking to learn more about Algo+Electronic trading. This book provides an general overview and is a bit outdated yet informative enough to empower the reader to carry sensible conversations with seasoned professionals.

http://www.elsevier.com/framework_products/images/44/711644.gif



The Complete Guide
To order this title, and for more information, click here

By
Kendall Kim, Kendall Kim consults as a Business Analyst and lives in Greenwich, CT. He has consulted and worked for firms such as UBS Investment Bank, Deutsche Bank, and Goldman Sachs.

Description
Electronic and algorithmic trading has become part of a mainstream response to buy-side traders? need to move large blocks of shares with minimum market impact in today?s complex institutional trading environment. This book illustrates an overview of key providers in the marketplace. With electronic trading platforms becoming increasingly sophisticated, more cost effective measures handling larger order flow is becoming a reality. The higher reliance on electronic trading has had profound implications for vendors and users of information and trading products. Broker dealers providing solutions through their products are facing changes in their business models such as: relationships with sellside customers, relationships with buyside customers, the importance of broker neutrality, the role of direct market access, and the relationship with prime brokers. Electronic and Algorithmic Trading Technology: The Complete Guide is the ultimate guide to managers, institutional investors, broker dealers, and software vendors to better understand innovative technologies that can cut transaction costs, eliminate human error, boost trading efficiency and supplement productivity. As economic and regulatory pressures are driving financial institutions to seek efficiency gains by improving the quality of software systems, firms are devoting increasing amounts of financial and human capital to maintaining their competitive edge. This book is written to aid the management and development of IT systems for financial institutions. Although the book focuses on the securities industry, its solution framework can be applied to satisfy complex automation requirements within very different sectors of financial services – from payments and cash management, to insurance and securities. Electronic and Algorithmic Trading: The Complete Guide is geared toward all levels of technology, investment management and the financial service professionals responsible for developing and implementing cutting-edge technology. It outlines a complete framework for successfully building a software system that provides the functionalities required by the business model. It is revolutionary as the first guide to cover everything from the technologies to how to evaluate tools to best practices for IT management.

Audience
Primary audience: CEOs, CTOs, IT professionals, investment managers as well as traders in the financial industry who desire to understand the evolving landscape of trade technology. The objective of this book is to help readers gain a competitive advantage for best price execution, understand inhouse techonology solutions or software vendor products, and to inform readers regarding the effects of regulatory intervention.

Contents
CHAPTER 1 Overview of Electronic and Algorithmic Trading CHAPTER 2 Automating Trade and Order Flow CHAPTER 3 The Growth of Program and Algorithmic Trading CHAPTER 4 Alternative Execution Venues CHAPTER 5 Algorithmic Strategies CHAPTER 6 Algorithmic Feasibility and Limitations CHAPTER 7 Electronic Trading Networks CHAPTER 8 Effective Data Management CHAPTER 9 Minimizing Execution Costs CHAPTER 10 Transaction Cost Research (TCR) CHAPTER 11 Electronic and Algorithmic Trading for Different Asset Classes CHAPTER 12 Regulation NMS and other Regulatory Challenges CHAPTER 13 Build vs. Buy CHAPTER 14 Trading Technology and Prime Brokerage CHAPTER 15 Profiling The Leading Vendors Appendix Implementation of Trading Systems

[redkitty]

I'm surprised no-one mentioned the book by Elliott & Kopp, "Mathematics of Financial Markets"
<TABLE class=productTable cellSpacing=0 cellPadding=0 border=0><TBODY><TR><TD class=noPrint></TD><TD class=productTableTd vAlign=top><!-- /shop/ppmmedia/header.jsp, GENERATED: Thu May 08 18:32:30 CEST 2008 --><!-- ppmmedia/header.jsp --><!-- Start ppmMediaHeader --><TABLE style="MARGIN-BOTTOM: 15px; BORDER-BOTTOM: #ccc 4px solid" cellSpacing=0 cellPadding=0 border=0><TBODY><TR><TD style="WIDTH: 10%" align=left></TD><TD style="WIDTH: 90%" align=left></TD></TR></TBODY></TABLE>
<TABLE cellSpacing=0 cellPadding=0 border=0><TBODY><TR><TD style="WIDTH: 103px" vAlign=top rowSpan=2>http://www.springer.com/cda/content/image/cda_displayimage.jpg?SGWID=0-0-16-164928-0

</TD><TD style="WIDTH: 386px" vAlign=top>Mathematics of Financial Markets

Series: Springer Finance (http://www.springer.com/series/3674)
Elliott, Series: Springer Finance (http://www.springer.com/series/3674)
Elliott, Robert J., Kopp, P. Ekkehard

2nd ed., 2005, XI, 352 p. 7 illus., Hardcover
ISBN: 978-0-387-21292-0

<!-- price.jsp -->
</TD></TR></TBODY></TABLE>

</TD></TR></TBODY></TABLE>

[bigbadwolf]

I'm surprised no-one mentioned the book by Elliott & Kopp, "Mathematics of Financial Markets"

I have a copy. What distinguishes it from a score of others (including Shreve)? There's no shortage of intro stochastic finance texts today.

[cstassen]

What about adding Thomas Björks "Arbitrage Theory in Continuous Time" ??? It is IMO far better than Shreve and Hull (the level is somewhere in between I think). It was the book I learned introductory stochastic calculus from, and the insights it has given me has helped me througout my time in Goldman!

[alain]

I found Bjorks' book over the weekend. How does it compare to Shreve II? From your post, being somewhere in the middle between Shreve and Hull doesn't help much because, IMHO, they are at different ends of the spectrum.

[redkitty]

I have a copy. What distinguishes it from a score of others (including Shreve)? There's no shortage of intro stochastic finance texts today.

It's co-authored by one of the leading names in the field and is better written.

[Bastian Gross]

A book for finance with Matlab:

<iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0471745030&fc1=000000&IS2=1&lt1=_blank&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width:120px;height:240px;" scrolling="no" marginwidth="0" marginheight="0" frameborder="0"></iframe>

[bigbadwolf]

A book for finance with Matlab:

<IFRAME style="WIDTH: 120px; HEIGHT: 240px" marginWidth=0 marginHeight=0 src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0471745030&fc1=000000&IS2=1&lt1=_blank&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" frameBorder=0 scrolling=no></IFRAME>

A beautiful book and one of my favorites.

[Francis]

Which one of those C++ books are best for beginners? I see that they are textbooks, would I be wasting my time trying to learn a 1000 page text book on my own or are those books reasonably straightforward?

[Pravit]

Which one of those C++ books are best for beginners? I see that they are textbooks, would I be wasting my time trying to learn a 1000 page text book on my own or are those books reasonably straightforward?

Bruce Eckel's Thinking in C++ is a good book to start learning C++ from, although it might be difficult for someone who's never programmed at all.

[Francis]

Bruce Eckel's Thinking in C++ is a good book to start learning C++ from, although it might be difficult for someone who's never programmed at all.




Thanks. Do you recommend reading more than one of those books for C++?

[Sanket Patel]

Thanks. Do you recommend reading more than one of those books for C++?

Of course. The more the merrier. 1 book isn't likely to teach you all that you need to know. After working though an introductory book, move on a more advanced one such as Joshi or Duffy.

[Andy]

I also recommend Walter Savitch book for beginner. Go to the first page and it's under C++
It worked well for me as a beginner. It's not too dumb-down or jumping around too much like most of the C++ out there. I had his first edition in 97 when i learned C++ so I figure his book covers much more ground now.
In fact, Savitch is one of the books the Baruch MFE program uses for this Fall 08 for the programming course.
I may just pick up Savitch latest book to replace my well used first edition.

[cstassen]

I found Bjorks' book over the weekend. How does it compare to Shreve II? From your post, being somewhere in the middle between Shreve and Hull doesn't help much because, IMHO, they are at different ends of the spectrum.


The level of mathematics is just a slight notch below Shreve II I guess. The main difference is, IMO, that the number of topics is lower, and the many Shreve topics on Itô, Girsanov etc. etc. is somewhat more condensed. Normally I like things to be mathematically concise and so, but in Shreve I find it somewhat disturbing.

So for me, the optimal way of learning mathematical finance would be to do Shreve I, then Björk and then Shreve II, spread out over 3 or 4 semesters, depending on the level of detail. A potential substitute for Shreve I, which was used in my first finance course at undergrad level would be lecture notes by two Copenhagen professors, David Lando and Rolf Poulsen - those are great notes, and are available free online!

[IlyaKEightSix]

Wow...what a bunch of books.

If someone were to go out and start reading these, by when do you expect that they'd actually be able to marry and enjoy their money, Andy ?:X

That said, if I can't no matter what get into stoch calc in my university, I'm going to pick up some of this stuff. Especially savitch.

[sophiacao]

Hi guys, I am a undergraduate student at Baruch majoring in Mathematics on the concentration of Finance. I hope I can get in MFE after graduation. Thanks for all the information. :dance::dance:

[Andy]

I reorganized the list with a separate section for Interview books. I will add more C# books to the programming section.

[Andy]

Anyone has any recommendations for good C# or .NET books?
I'm reading Pro C# 2008 and the .NET platform. It is a humongous book.

[bigbadwolf]

Anyone has any recommendations for good C# or .NET books?
I'm reading Pro C# 2008 and the .NET platform. It is a humongous book.

Anything published by Apress is worth looking at, e.g.,

1) Accelerated C# 2008 by Trey Nash, and

2) Pro C# 2008 and the .NET 3.5 Platform by Troelsen (4th ed.)

I also like:

3) Beginning C# 2005 by Watson, et al, pub. Wrox (there's a new edition out on C# 2008, but I haven't inspected it so won't comment)

For fundamental concepts, I like:

4) Head First C# by Stellman and Greene, pub. O'Reilly

For financial applications I like:

5) Computational Finance using C and C# by Levy, pub. Academic Press.

[Andy]

BBW, I have 1 and 2 in your list. Apress books usually have more meat than others. Most of the C# books I looked at are either dwelling much on the stuff I already know or skimpy on the stuff I like. It's hard to find a book that you can go back time and time again for reference.
A lot of books have a big problem with filling page after page with code. Who needs that if you can get the source code with the accompanying CD or from the publisher's website.

Do let me know if you come accross anything good. I'm also reading a few good LINQ 2008 books.

[evil]

should there be any books on risk management??? Not all quants here are pricing derivatives are they???

i suppose theres var and credit risk

[maxrum]

There are three books on the list on VAR and Risk Management. If you have more in mind, your suggestions are very welcomed.

[JSTAR]

Jorion, Value at Risk is a pretty good introduction to VaR.

[maxrum]

Jorion is on the list from the very beginning.

[Sanket Patel]

Does anyone know whether "Applied C# in Financial Markets" by Martin Worner is worth reading?

I couldn't find much info on the book, in terms of reviews and such - I suppose that's one indication.

<iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0470870613&fc1=000000&IS2=1&lt1=_blank&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width:120px;height:240px;" scrolling="no" marginwidth="0" marginheight="0" frameborder="0"></iframe>

[Andy]

Hi Sanket,
I looked at that book a while ago when looking for a good book for my work. First of all, it's ridiculously expensive for a mere 138 pages. Second of all, there isn't much anything useful you can learn from this book that you can't from online or a regular C# book.

[Andy]

Anyone got the 7th ed of John Hull book?
Any good reason to get it or the 6th ed is just as good?

<iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0136015867&fc1=000000&IS2=1&lt1=_blank&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width:120px;height:240px;" scrolling="no" marginwidth="0" marginheight="0" frameborder="0"></iframe>

[alain]

I like the 5th ed better than the 6th

[bob]

My dog thinks 6th ed is delicious.

Seriously, though, two of my coworkers have battered copies of 5th ed, while I have 6th, and I have never once found myself looking to the 5th ed for something 6th didn't contain.

[evil]

Anyone planning to buy this book?? It seems the first of its kind coming out December 10. It seems quant funds are the way to go than investment banking these days I think

<iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=1420081918&fc1=000000&IS2=1&lt1=_blank&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width:120px;height:240px;" scrolling="no" marginwidth="0" marginheight="0" frameborder="0"></iframe>

I apologize I didn't know how to do in the amazon format......maybe if they paid me to advertise I'd spend time figuring out how

[Andy]

Salih Neftci just released the second edition of his famous book "Principles of Financial Engineering". I added this to the master list at the first page.

<iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0123735742&fc1=000000&IS2=1&lt1=_blank&m=amazon&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width:120px;height:240px;" scrolling="no" marginwidth="0" marginheight="0" frameborder="0"></iframe>


Review
"Its focus on financial engineering and the actual use of derivative instruments makes Neftci's book an extremely useful complement to the standard introductions to derivative pricing and financial mathematics. The value of the text has been enhanced further by the addition of five chapters on structured products and credit derivatives not present in the first edition."
--Rüdiger Frey, University of Leipzig

"Since its publication in 2004, Neftci's book has become the de facto reference text for financial engineering practitioners and academics. With renewed and extended emphasis on structured products engineering, Neftci keeps the material relevant and up to date for the current state of the financial markets."
--Dan Stefanica, Baruch College

[Andy]

The master list has been updated and expanded with several additions

C# books are added to the Programming section.

2nd edition of Neftci is added. 2nd edition of Joshi added.
Interview book by Joshi is added.
New books added to Monte Carlo, Finite Difference sections.
New books by Dan Stefanica, Daniel Duffy added.
Excel/VBA books are updated with new 2007 versions from the same authors.

[Weidong]

Hi Andy,

Is it possible that you can post the required textbooks for Spring 2009 courses so we can get them before the classes. Thanks.

[alfredo]

There's two interesting books for risk management and VaR

<iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0470013036&fc1=000000&IS2=1&lt1=_blank&m=amazon&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width:120px;height:240px;" scrolling="no" marginwidth="0" marginheight="0" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0121742326&fc1=000000&IS2=1&lt1=_blank&m=amazon&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width:120px;height:240px;" scrolling="no" marginwidth="0" marginheight="0" frameborder="0"></iframe>