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

[Andy Nguyen]

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

Interview Preparation Guide: Quantitative Analysis
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
A guide on how to prepare for an interview in the world of structuring.
Includes required skills, common mistakes, sample questions, etc.

[Andy Nguyen]

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

[Andy Nguyen]

can anyone recommend good online resource for credit derivatives ?
I know only a few
CREDIT DERIVATIVES AND RISK MANAGEMENT
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]

Originally Posted by dstefan I will need someone with a car to help me bring them in though Seriously.

Dan, i'll be happy to help

[nonoah]

Originally Posted by Andy can anyone recommend good online resource for credit derivatives ? I know only a few CREDIT DERIVATIVES AND RISK MANAGEMENT Creditflux (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 Nguyen]

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

[Andy Nguyen]

Originally Posted by nonoah 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 Nguyen]

i recommend Credit Derivatives Pricing Models: Model, Pricing and Implementation (Hardcover) by Philipp J. Schönbucher



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

[Yuriy]

Originally Posted by Andy i recommend Credit Derivatives Pricing Models: Model, Pricing and Implementation (Hardcover) by Philipp J. Schönbucher By the way, the author Philipp J. Schönbucher works in our group.

I used this book at CMU.

[Andy Nguyen]

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

[alain]

Check this book "Active Portfolio Management" from Grinold and Khan
Amazon.com: Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk

[Andy Nguyen]

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.

[Andy Nguyen]

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

Starting Your Career as a Wall Street Quant 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]

Originally Posted by 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.

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 Nguyen]

This book by Wetfeet is available on Google book library. Wetfeet seems to have a whole bunch of inside guides about every company
Networking Works!: The Wetfeet ... - Google Book Search

[bigbadwolf]

Originally Posted by Andy 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]

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

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

[cw202]

Originally Posted by bigbadwolf 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]

Originally Posted by cw202 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]

Originally Posted by bigbadwolf 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.

Originally Posted by 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. 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!)