Monday Sep 06, 2010 | Education Resource from the Financial Capital

Master reading list for quants, MFE students

Last updated on 07.28.2010  13,138 views  PRINT PRINT
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This list is constantly updated from our popular master reading list for quants (over 100,000 views since 2007). If you have any book recommendation or request for a new section, please leave a comment.

Table of content

  1. General reading on Wall Street culture and history
  2. Career as a quant
  3. Free quant career guide downloads
  4. Reading list before you start an MFE program
  5. Reading list to prepare for quant interviews
  6. Programming languages: C++, C#, F#, Matlab, Excel, VBA, Python, SQL
  7. Credit derivatives
  8. Risk management

General reading on Wall Street culture and history (^top)

  1. Reminiscences of a Stock Operator (Wiley Investment Classics)
  2. Working the Street: What You Need to Know About Life on Wall Street
  3. Liar’s Poker: Rising Through the Wreckage on Wall Street
  4. Monkey Business: Swinging Through the Wall Street Jungle
  5. Fiasco: The Inside Story of a Wall Street Trader
  6. Den of Thieves
  7. When Genius Failed: The Rise and Fall of Long-Term Capital Management
  8. Traders, Guns & Money: Knowns and unknowns in the dazzling world of derivatives
  9. The Greatest Trade Ever: The Behind-the-Scenes Story of How John Paulson Defied Wall Street and Made Financial History
  10. Goldman Sachs : The Culture of Success
  11. The House of Morgan: An American Banking Dynasty and the Rise of Modern Finance
  12. Wall Street: A History: From Its Beginnings to the Fall of Enron
  13. The Murder of Lehman Brothers: An Insider’s Look at the Global Meltdown
  14. On the Brink: Inside the Race to Stop the Collapse of the Global Financial System
  15. House of Cards: A Tale of Hubris and Wretched Excess on Wall Street
  16. Too Big to Fail: The Inside Story of How Wall Street and Washington Fought to Save the Financial System-and Themselves
  17. Liquidated: An Ethnography of Wall Street
  18. Fortune’s Formula: The Untold Story of the Scientific Betting System That Beat the Casinos and Wall Street

Career as a quant (^top)

  1. My Life as a Quant: Reflections on Physics and Finance
  2. How I Became a Quant: Insights from 25 of Wall Street’s Elite
  3. The Big Short: Inside the Doomsday Machine
  4. The Quants: How a New Breed of Math Whizzes Conquered Wall Street and Nearly Destroyed It
  5. Nerds on Wall Street: Math, Machines and Wired Markets
  6. Physicists on Wall Street and Other Essays on Science and Society
  7. The Complete Guide to Capital Markets for Quantitative Professionals
  8. Starting Your Career as a Wall Street Quant: A Practical, No-BS Guide to Getting a Job in Quantitative Finance and Launching a Lucrative Career

Free quant career guide downloads (^top)

  1. What do quant do? A guide by Mark Joshi
  2. Paul & Dominic’s Guide to Quant Careers Version 1.95
  3. Career in Financial Markets 2009-2010- a guide by efinancialcareers
  4. Interview Preparation Guide by Michael Page: Quantitative Analysis
  5. Interview Preparation Guide by Michael Page: Quantitative Structuring
  6. Paul & Dominic’s Job Hunting in Interesting Times Second Edition
  7. A Practitioner’s Guide to Mathematical Finance by Peter Carr

Reading list before you start an MFE program (^top)

  1. A Primer for the Mathematics of Financial Engineering (+ Solutions Manual) by Dan Stefanica
  2. An Introduction to the Mathematics of Financial Derivatives, Second Edition by Salih Neftci
  3. Options, Futures, and Other Derivatives with Derivagem CD (7th Edition) by John Hull
  4. Paul Wilmott on Quantitative Finance 3 Volume Set (2nd Edition) by Paul Wilmott
  5. Principles of Financial Engineering, Second Edition by Salih Neftci
  6. The Concepts and Practice of Mathematical Finance by Mark Joshi
  7. Financial Options: From Theory to Practice by Stephen Figlewski
  8. Financial Calculus : An Introduction to Derivative Pricing by Martin Baxter
  9. A Course in Financial Calculus by Etheridge Alison
  10. The Mathematics of Financial Derivatives: A Student Introduction by Paul Wilmott
  11. Frequently Asked Questions in Quantitative Finance by Paul Wilmott
  12. Derivatives Markets by Robert L. McDonald

Reading list to prepare for quant interviews (^top)

  1. Heard on The Street: Quantitative Questions from Wall Street Job Interviews – by Timothy Crack
  2. Quant Job Interview Questions And Answers – by Mark Joshi
  3. Frequently Asked Questions in Quantitative Finance – by Paul Wilmott
  4. A Practical Guide To Quantitative Finance Interviews – by Xinfeng Zhou
  5. Basic Black-Scholes: Option Pricing and Trading – by Timothy Crack
  6. Fifty Challenging Problems in Probability with Solutions -by Frederick Mosteller
  7. Vault Guide to Advanced Finance & Quantitative Interviews

C++ (ordered by level of difficulty) (^top)

  1. Problem Solving with C++, 7th Edition by Walter Savitch
  2. C++ How to Program (7th Edition) by Harvey Deitel
  3. Absolute C++ (4th Edition) by Walter Savitch
  4. Thinking in C++: Introduction to Standard C++, Volume One by Bruce Eckel
  5. Thinking in C++: Practical Programming, Volume Two by Bruce Eckel
  6. The C++ Programming Language: Special Edition by Bjarne Stroustrup (C++ inventor)
  7. Effective C++: 55 Specific Ways to Improve Your Programs and Designs by Scot Myers
  8. C++ Primer (4th Edition) by Stanley Lippman
  9. C++ Design Patterns and Derivatives Pricing (2nd edition) by Mark Joshi
  10. Financial Instrument Pricing Using C++ by Daniel Duffy

C# (ordered by level of difficulty) (^top)

F# (ordered by level of difficulty) (^top)

  1. Programming F#: An introduction to functional language by Chris Smith
  2. F# for Scientists by Jon Harrops (Microsoft Researcher)
  3. Real World Functional Programming: With Examples in F# and C#
  4. Expert F# by Don Syme

Matlab (ordered by level of difficulty) (^top)

  1. Matlab: A Practical Introduction to Programming and Problem Solving
  2. Numerical Methods in Finance and Economics: A MATLAB-Based Introduction (Statistics in Practice)

Excel (^top)

  1. Excel 2007 Power Programming with VBA by John Walkenbach
  2. Excel 2007 VBA Programmer’s Reference
  3. Financial Modeling by Simon Benninga
  4. Excel Hacks: Tips & Tools for Streamlining Your Spreadsheets
  5. Excel 2007 Formulas by John Walkenbach

VBA (^top)

  1. Advanced modelling in finance using Excel and VBA by Mike Staunton
  2. Implementing Models of Financial Derivatives: Object Oriented Applications with VBA

Credit Derivatives (^top)

  1. Credit Derivatives Pricing Models: Model, Pricing and Implementation by Philipp J. Schönbucher
  2. Credit Derivatives & Synthetic Structures: A Guide to Instruments and Applications by Janet M. Tavakoli
  3. Derivatives Markets (2nd Edition)

Risk Management (^top)

  1. Market Risk Analysis (4 Volume Boxset) by Carol Alexander
  2. Value at Risk, 3rd Ed.: The New Benchmark for Managing Financial Risk by Philippe Jorion
  3. Risk Management and Financial Institutions (2nd Edition) by John Hull


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This entry was posted on Wednesday, July 28th, 2010 at 11:15 am and is filed under Article. You can follow any responses to this entry through the RSS 2.0 feed. You can leave a response, or trackback from your own site.

  • Roger Trimble

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

  • Roger Trimble

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

  • Andy

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

  • Andy

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

  • Roger Trimble

    Andy, you’re always leaps and bounds ahead….

  • Roger Trimble

    Andy, you’re always leaps and bounds ahead….

  • AG

    This is a good list. I am sure most people will not be able to read all books in a reasonable time frame. Will it be possible to list the books in order of suggested reading?

    Obviously, the reading order will depend on a person’s background. But, suggesting recommended order of reading by grouping backgrounds will be helpful in deciding where to start. Groups based on generic profile like someone with no prior finance background or away from school for decades or no mathematics background or no quant background and various combinations will help readers pick appropriate material to start.

  • AG

    This is a good list. I am sure most people will not be able to read all books in a reasonable time frame. Will it be possible to list the books in order of suggested reading?

    Obviously, the reading order will depend on a person’s background. But, suggesting recommended order of reading by grouping backgrounds will be helpful in deciding where to start. Groups based on generic profile like someone with no prior finance background or away from school for decades or no mathematics background or no quant background and various combinations will help readers pick appropriate material to start.

  • tarokh

    first of all thanks a million for such a wonderful list and then I’d love to know that is “Reading list before you start an MFE program” ordered by level of difficulty?

  • tarokh

    first of all thanks a million for such a wonderful list and then I’d love to know that is “Reading list before you start an MFE program” ordered by level of difficulty?

  • Andy

    Hi tarokh,
    That section follows a logical and natural sequence as suggested by several people studying and teaching in various MFE programs. The first books aren’t necessarily easier, they are just more important to start with.

  • Andy Nguyen

    Hi tarokh,
    That section follows a logical and natural sequence as suggested by several people studying and teaching in various MFE programs. The first books aren’t necessarily easier, they are just more important to start with.

  • JUSTIN

    This book list really helps what we should study. I would absolutely go through some of them. Thank you!

  • JUSTIN

    This book list really helps what we should study. I would absolutely go through some of them. Thank you!

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