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

A Course in Financial Calculus
-the book that saved my education in quant
 
I think your list of C# books is a bit 'off' in terms of what people actually use. I think the books worth mentioning are:

C# in a Nutshell would IMHO be the best book for a quant. C# in Depth and CLR via C# are industry standard texts that C# developers should all be familiar with, but they are overkill for a quant. The Troelsen book is considered a good introductory text.
 
Andrew Burns said:
Can you guys recommend a good book on probability as a preamble to an MSFE program?
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I would strongly recommend Jacod and Protter Probability Essentials. Shreve is excellent but is more geared towards finance. J&P is an excellent preperation for stochastic.
 
Hi，
Andy Nguyen said:
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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Hi, Andy:
Thanks again for what you have done!~
These resources are very helpful~
But could you recommend a book appropriate for interview in Probability? Is could be a textbook, since I could view the knowledge at the meantime. I used to plan to use <a first course in Probability>, while the interview for MSC in Finance of Chineses University of Hong Kong might be at the mid or the end of Dec. With such a limited time, I hope the book could be concise.
 
Hi Andy, I'm a senior college students majoring in finance. I've seen your list and have a question for you, I'm preparing my MFE program interview right now, which books do you think would be necessary for me to read for the interview? Book list under the part, books for quant interviews? What else do you think is necessary for me to review or to prepare? Really appreciate your help!
 
At the level of MFE admission interview, it will be mostly basic calculus/probability/bond math questions. Anything that you list on your resume is fair game.
For calculus problems http://www.math.ucdavis.edu/~kouba/ProblemsList.html
For simple brain teasers http://www.quantnet.com/forum/threads/quantitative-interview-questions-and-answers.437/

Keep in mind that an important objective of the interview is to assess your English skills so don't get too tangled up in the technicality and forget to explain yourself in clear English.
 
Andy Nguyen said:
At the level of MFE admission interview, it will be mostly basic calculus/probability/bond math questions. Anything that you list on your resume is fair game.
For calculus problems http://www.math.ucdavis.edu/~kouba/ProblemsList.html
For simple brain teasers http://www.quantnet.com/forum/threads/quantitative-interview-questions-and-answers.437/

Keep in mind that an important objective of the interview is to assess your English skills so don't get too tangled up in the technicality and forget to explain yourself in clear English.
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thanks:)
 
Hello, I am applying to MFE programs for 2012 and I would like to know if there are any books you guys recommend on Statistical Arbitrage and Algorithmic Trading.
 
hi guys
im after the R code for statistics and data analysis for financial engineering
, does anyone know how to do the questions using R
 
C++ Primer (4th edition) ranks level 8:eek:~~
No strange I feel hard to go on when learning it myself as a new programmer.
So just turn to C++ Primer plus 5th Edition:D
 
romi said:
heyy
actually im after R code for statistics and data analysis for financial engineering
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Hi Romi,

I am also working on the book. Emailed Prof. Ruppert myself and it turns out that the solution manual is only available for instructors. Perhaps we can start a thread and post solutions for those we have completed

V
 
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