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The following is a list of books suggested to every incoming MFE student at Columbia University.
GENERAL BACKGROUND (Good to have read)
GENERAL BACKGROUND (Good to have read)
- Capital Ideas by Peter L. Bernstein
- A Demon of Our Own Design: Markets, Hedge Funds, and the Perils of Financial Innovation by Richard Bookstaber
- My Life as a Quant by Emanuel Derman
- The Complete Guide to Capital Markets for Quantitative Professionals by Alex Kuznetsov
- When Genius Failed: The Rise and Fall of LTCM by Roger Lowenstein
- The Mathematics of Derivatives: Tools for Designing Numerical Algorithms by Robert L. Navin
- A Primer for the Mathematics of Financial Engineering by Dan Stefanica
- Investments by W. F. Sharpe, G. J. Alexander, and J. V. Bailey
- The Econometrics of Financial Markets by John Y. Campbell, Andrew W. Lo, A. Craig MacKinlay
- A First Course in Stochastic Processes by Karlin and Taylor
- Introduction to Probability Models by Sheldon Ross
- Monte Carlo Methods in Financial Engineering by Paul Glasserman
- Modern Applied Statistics with S-Plus by W. N. Venables, Brian D. Ripley
- Simulation by Sheldon M. Ross
- Stochastic Calculus and Financial Applications by J. Michael Steele
- Stochastic Processes by Sheldon Ross
- Advanced Modeling in Finance Using Excel and VBA by Mary Jackson and Mike Staunton
- C++ Language Tutorial, http://www.cplusplus.com/doc/tutorial/