Columbia MFE Columbia MFE suggested reading list

[Andy Nguyen]

The following is a list of books suggested to every incoming MFE student at Columbia University.

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

QUANTITATIVE BACKGROUND

• 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

A VARIETY OF MORE SPECIALIZED REFERENCE BOOKS ON QUANTITATIVE METHODS

• 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/

 

[Moksha]

The list is long, obviously cant read it before the session..Any suggestions/ preferences for the books to be read first.

 

[Andy Nguyen]

What area of preparation do you need to fill?

 

[Moksha]

Thanks Andy for coming to my rescue.
I have done CFA L1 books for finance and currently reading Hull, since I am not from core finance background. I am also reading " A demon of our own design".
I need to cover quantitative methods importantly now.
Any other suggestions for finance books?

 

[Andy Nguyen]

The Complete Guide to Capital Markets for Quantitative Professionals by Alex Kuznetsov is what I would suggest every incoming student to read. This helps tremendously when you start narrowing down your internship choices.
C++ and stochastic calculus will surely be among the first semester courses so pick an appropriate book for each subject, from this list above or http://www.quantnet.com/master-reading-list-for-quants/

 

[dstefan]

I agree, Andy - Kuznetsov's book is very good to figure out where quants fit in the landscape.

 

[Devdeep]

The Complete Guide to Capital Markets for Quantitative Professionals by Alex Kuznetsov is what I would suggest every incoming student to read. This helps tremendously when you start narrowing down your internship choices.

Thanks, Andy!

 

[ishant]

Please suggest a beginners book for excel VBA financial modelling

 

[Andy Nguyen]

If you like a "beginner" book, I would suggest John Walkenbach's books on VBA/Excel programming. The financial modeling bit is not that hard once you get the "VBA/Excel" part.
Both these books are under VBA/Excel section in this list
http://www.quantnet.com/forum/threa...uants-mfe-financial-engineering-students.535/

 

[bigbadwolf]

Please suggest a beginners book for excel VBA financial modelling

Benninga's "Financial Modeling" (3rd edition).

 

[Tsotne]

Bodie - Kane - Markus's Investments seems to be very similar with Sharp's book. Sheldon Ross's stochastic processes is good for beginners I believe, at least it is looks easier than Steven Shreve's stochastic calculus. (not sure if it is though)