C++ Programing for Financial Engineering Online Certificate. Approved for 15 CPE credit hours by GARP

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

Discussion in 'Books' started by Andy Nguyen, 7/1/07.

  1. Andy Nguyen

    Andy Nguyen
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    Member

    2013-2014 QuantNet International Guide to Financial Engineering Programs

    FREE QUANT CAREER GUIDES
    • What do quant do ? A guide by Mark Joshi. Download
    • Paul & Dominic's Guide to Quant Careers (see attachment)
    • Career in Financial Markets 2011- a guide by efinancialcareers. Download
    • Interview Preparation Guide by Michael Page: Quantitative Analysis. Download
    • Interview Preparation Guide by Michael Page: Quantitative Structuring. Download
    • Paul & Dominic's Job Hunting in Interesting Times Second Edition (see attachment)
    • Peter Carr's A Practitioner's Guide to Mathematical Finance (see attachment)
    • Max Dama's Guide to Automated Trading (see attachment)
    CAREER AS A QUANT
    BOOKS FOR QUANT INTERVIEWS
    GOOD BOOKS TO READ BEFORE STARTING MFE PROGRAM
    GENERAL READING ON WALL STREET
    PROGRAMMING
    C++ (ordered by level of difficulty)
    C# (ordered by level of difficulty)
    F# (ordered by level of difficulty)
    Matlab (ordered by level of difficulty)
    Excel
    VBA
    Python
    FINITE DIFFERENCES
    MONTE CARLO
    STOCHASTIC CALCULUS
    VOLATILITY
    INTEREST RATE
    FX
    STRUCTURED FINANCE
    STRUCTURED CREDIT
    RISK MANAGEMENT/VAR
    SAS/S/S-PLUS
    HANDS ON
    NOT ENOUGH YET?
     

    Attached Files:

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    #1 Andy Nguyen, 7/1/07
    Last edited: 10/29/13
    Arman, MarekSabata, linwang and 36 others like this.
  2. Daniel Duffy

    Daniel Duffy
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    C++ author, trainer

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

    luso
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    Member

    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.
     
  4. Daniel Duffy

    Daniel Duffy
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    C++ author, trainer

    Actually to add to what Adolfo said, any Fabozzi book is great
     
  5. Andy Nguyen

    Andy Nguyen
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    Member

    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.
     
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  6. Daniel Duffy

    Daniel Duffy
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    C++ author, trainer

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

    Yuriy
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    MFE Alum

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

    alain
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    Older and Wiser

    Books about Python made this list?
     
    MRoss likes this.
  9. Andy Nguyen

    Andy Nguyen
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    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.
     
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  10. alain

    alain
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    Older and Wiser

    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
     
  11. Andy Nguyen

    Andy Nguyen
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    Member

    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
     
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  12. alain

    alain
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    Older and Wiser

    These 2 books are really useful.

    Basic Black-Scholes: Option Pricing and Trading (Paperback)

    by Timothy Falcon Crack (Author)

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

    RussianMike
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    Member

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

    Andy Nguyen
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    Member

    Yeap, I just added 2 books by Walter Savitch.
     
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  15. Yuriy

    Yuriy
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    MFE Alum

    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.
     
    Brendan Hamm likes this.
  16. Yuriy

    Yuriy
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    MFE Alum

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

    Uncle Max
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    Member

    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?
     
  18. Yuriy

    Yuriy
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    MFE Alum

    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 :)
     
  19. Andy Nguyen

    Andy Nguyen
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    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
     
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  20. alain

    alain
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    Older and Wiser

    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.