Master reading list for quants, MFE students

1. 

   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, 1 year ago
2. 

   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, 1 year ago
3. 

   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, 1 year ago
4. 

   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, 1 year ago
5. 

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

   Roger Trimble, 1 year ago
6. 

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

   Roger Trimble, 1 year ago
7. 

   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, 1 year ago
8. 

   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, 1 year ago
9. 

   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, 1 year ago
10. 

    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, 1 year ago
11. 

    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, 1 year ago
12. 

    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, 1 year ago
13. 

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

    JUSTIN, 1 year ago
14. 

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

    JUSTIN, 1 year ago
15. 

    Expert F# 2.0 by Don Syme was recently released. It probably should replace the title you list.

    Rodney King, 1 year ago
16. 

    Rodney,
    Thank you for the heads up. I’ve updated the list.

    Andy Nguyen, 1 year ago
17. 

    What the value of this list…can’t I go to amazon and get a list of books by topics and at least I can see some reviews (even if some posted reviews are by friends of the author).

    If there were a comment on each about why it was selected then there would be some value added to this list. But all I see is simple mindlest list i.e raw data not information. I don’t now how anyone could comment the making a simple list of book is “great job”.

    There is even a books (Implementing Models of Financial Derivatives: Object Oriented Applications with VBA ) on this list that not even published yet! Great Job!

    BuggsthebadBunny246, 1 year ago
18. 

    hey i thought you might like to add “modeling and hedging” by victor goodman and joseph stampfli. its a pretty good book for preparation prior to MFE program if it is used in conjunction with Dr. Dan’s book

    raj, 1 year ago
19. 

    High Frequency Trading, by Irene Aldridge – this book was quite good. It is kind of a technical how-to book about most all aspects of how to set up a serious professional high frequency trading system. It is a fairly technical discussion about a lot of topics ranging from simple things like how to calculate returns to correlation and autocorrelation techniques and risk management models, how to handle tick data, etc. I would recommend this book to people that have decent math skills and who already know a bit about trading…this probably isn’t the best book if you know nothing about trading or how the stock markets function.

    The Option Traders Workbook by Jeff Augen is also pretty good for learning how options work and how they are valued as well as how to structure different kind of options positions. Each chapter explains the principles it is based around, and then gives questions for the reader to work out, as well as answers to the questions.

    Ryan Rigby, 1 year ago
20. 

    Regarding Irene’s book, shall I recommend reading the reviews on Amazon and the comments left by the author herself before you decide to buy the book or not.

    http://www.amazon.com/exec/obidos/ASIN/0470563761/ref=nosim/quantfinaneng-20

    Andy Nguyen, 1 year ago
21. 

    Thank you for the list. It’s just what I was looking for.

    Walter Strauhal, 1 year ago
22. 

    Lets us not forget Security Analysis or The Rockefeller Syndrome. Extrapolate 1 billion from 1900 and what do you get today. 945,000,000 tax allowance in Depression = ???? today. Let us remember the Colorado Iron and Mining Incident in 1914. Let us remember who sits on the Directorate of the CIA and the Who. Let us remember whom Sheldon Prescott Busch brought to America and what happened to JFK, RFK, and MLK. Engineered economic plan. Ernest Chan is right on the money, as he quotes Einstein ‘Keep it Simple’.

    Komodo, 1 year ago

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24. 

    If you read and understood all of the books in the “Reading list before you start an MFE progam” section, then you probably wouldn’t need the MFE at all.

    Guy, 11 months ago
25. 

    Dear Ant,

    Could you check some of the links in the “Career as a quant” section? Some of them seem to be disfunctional now. Thanks!

    Bcaz6, 9 months ago
26. 

    Thanks. Let me know if they are working for you now.

    Andy Nguyen, 9 months ago

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28. 

    More Money Than God by Sebastian Mallaby 

    Very
    interesting history about hedge funds. Details the strategies used
    from macro trading to quantitative trading as well as providing interesting
    insights into the minds of some of the most influential money managers in the
    world.

    http://www.amazon.com/More-Money-Than-God-Relations/dp/0143119419/

    Josh, 7 months ago

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