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

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

  1. bigbadwolf

    bigbadwolf Well-Known Member

    Anything published by Apress is worth looking at, e.g.,

    1) Accelerated C# 2008 by Trey Nash, and

    2) Pro C# 2008 and the .NET 3.5 Platform by Troelsen (4th ed.)

    I also like:

    3) Beginning C# 2005 by Watson, et al, pub. Wrox (there's a new edition out on C# 2008, but I haven't inspected it so won't comment)

    For fundamental concepts, I like:

    4) Head First C# by Stellman and Greene, pub. O'Reilly

    For financial applications I like:

    5) Computational Finance using C and C# by Levy, pub. Academic Press.
     
  2. Andy Nguyen

    Andy Nguyen Member

    BBW, I have 1 and 2 in your list. Apress books usually have more meat than others. Most of the C# books I looked at are either dwelling much on the stuff I already know or skimpy on the stuff I like. It's hard to find a book that you can go back time and time again for reference.
    A lot of books have a big problem with filling page after page with code. Who needs that if you can get the source code with the accompanying CD or from the publisher's website.

    Do let me know if you come accross anything good. I'm also reading a few good LINQ 2008 books.
     
  3. evil

    evil MQF Student

    should there be any books on risk management??? Not all quants here are pricing derivatives are they???

    i suppose theres var and credit risk
     
  4. Uncle Max

    Uncle Max Member

    There are three books on the list on VAR and Risk Management. If you have more in mind, your suggestions are very welcomed.
     
  5. JSTAR

    JSTAR New Member

    Jorion, Value at Risk is a pretty good introduction to VaR.
     
  6. Uncle Max

    Uncle Max Member

    Jorion is on the list from the very beginning.
     
  7. Sanket Patel

    Sanket Patel i do stuff

    Does anyone know whether "Applied C# in Financial Markets" by Martin Worner is worth reading?

    I couldn't find much info on the book, in terms of reviews and such - I suppose that's one indication.

    <iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0470870613&fc1=000000&IS2=1&lt1=_blank&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width:120px;height:240px;" scrolling="no" marginwidth="0" marginheight="0" frameborder="0"></iframe>
     
  8. Andy Nguyen

    Andy Nguyen Member

    Hi Sanket,
    I looked at that book a while ago when looking for a good book for my work. First of all, it's ridiculously expensive for a mere 138 pages. Second of all, there isn't much anything useful you can learn from this book that you can't from online or a regular C# book.
     
  9. Andy Nguyen

    Andy Nguyen Member

    Anyone got the 7th ed of John Hull book?
    Any good reason to get it or the 6th ed is just as good?

    <iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0136015867&fc1=000000&IS2=1&lt1=_blank&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width:120px;height:240px;" scrolling="no" marginwidth="0" marginheight="0" frameborder="0"></iframe>
     
  10. alain

    alain Older and Wiser

    I like the 5th ed better than the 6th
     
  11. bob

    bob Faculty (Undercover)

    My dog thinks 6th ed is delicious.

    Seriously, though, two of my coworkers have battered copies of 5th ed, while I have 6th, and I have never once found myself looking to the 5th ed for something 6th didn't contain.
     
  12. evil

    evil MQF Student

    Anyone planning to buy this book?? It seems the first of its kind coming out December 10. It seems quant funds are the way to go than investment banking these days I think

    <iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=1420081918&fc1=000000&IS2=1&lt1=_blank&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width:120px;height:240px;" scrolling="no" marginwidth="0" marginheight="0" frameborder="0"></iframe>

    I apologize I didn't know how to do in the amazon format......maybe if they paid me to advertise I'd spend time figuring out how
     
  13. Andy Nguyen

    Andy Nguyen Member

    Salih Neftci just released the second edition of his famous book "Principles of Financial Engineering". I added this to the master list at the first page.

    <iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0123735742&fc1=000000&IS2=1&lt1=_blank&m=amazon&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width:120px;height:240px;" scrolling="no" marginwidth="0" marginheight="0" frameborder="0"></iframe>


    Review
    "Its focus on financial engineering and the actual use of derivative instruments makes Neftci's book an extremely useful complement to the standard introductions to derivative pricing and financial mathematics. The value of the text has been enhanced further by the addition of five chapters on structured products and credit derivatives not present in the first edition."
    --RĂ¼diger Frey, University of Leipzig

    "Since its publication in 2004, Neftci's book has become the de facto reference text for financial engineering practitioners and academics. With renewed and extended emphasis on structured products engineering, Neftci keeps the material relevant and up to date for the current state of the financial markets."
    --Dan Stefanica, Baruch College
     
  14. Andy Nguyen

    Andy Nguyen Member

    The master list has been updated and expanded with several additions

    C# books are added to the Programming section.

    2nd edition of Neftci is added. 2nd edition of Joshi added.
    Interview book by Joshi is added.
    New books added to Monte Carlo, Finite Difference sections.
    New books by Dan Stefanica, Daniel Duffy added.
    Excel/VBA books are updated with new 2007 versions from the same authors.
     
  15. Weidong

    Weidong New Member

    Hi Andy,

    Is it possible that you can post the required textbooks for Spring 2009 courses so we can get them before the classes. Thanks.
     
  16. alfredo

    alfredo New Member

    There's two interesting books for risk management and VaR

    <iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0470013036&fc1=000000&IS2=1&lt1=_blank&m=amazon&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width:120px;height:240px;" scrolling="no" marginwidth="0" marginheight="0" frameborder="0"></iframe><iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0121742326&fc1=000000&IS2=1&lt1=_blank&m=amazon&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width:120px;height:240px;" scrolling="no" marginwidth="0" marginheight="0" frameborder="0"></iframe>
     
  17. Andy Nguyen

    Andy Nguyen Member

    5/2/09
    Added: A Python section with links to book, free guides to the master list
     
  18. Bastian Gross

    Bastian Gross German Mathquant

    A extremely interesting book about Monte Carlo methods by Duffy and Kienitz:


    <iframe src="http://rcm.amazon.com/e/cm?t=quantfinaneng-20&o=1&p=8&l=as1&asins=0470060697&fc1=000000&IS2=1&lt1=_blank&lc1=0000FF&bc1=FFFFFF&bg1=F7F7F7&f=ifr" style="width: 120px; height: 240px;" marginwidth="0" marginheight="0" scrolling="no" frameborder="0"></iframe>
     
  19. Daniel Duffy

    Daniel Duffy C++ author, trainer
      C++ Level 1

  20. dstefan

    dstefan Baruch MFE Director
    • Adv C++ Level 1

    We pre-ordered the MC/C++ book for the Baruch MFE library.