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

vixiyu

Active Member
C++
Hi, as I am reading through a MFE interview book, I become more nad more aware of my lack of knowledge in derivatives and pricing. Among all of these books listed that are related to derivatives, which one do you think will be a good start for me? Thanks so much.
 

Manish Gupta

New Member
Can anyone provide guidance on when to expect results from Courant. I applied for MS in Math Fin part time. Classes start on 2nd sep..
 

MichaelLewis

Well-Known Member
C++
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?
When you say the books are listed in order of difficulty, do you mean easiest to hardest or hardest to easiest? Also, do you know of any good books to read for FX trading?
 

rohitr

Member
In how many months/years does the OP suggest anyone to complete this entire list?!

My background: I'm from Math stream. I read calculus(diff and integration)till school.
 

Beep Boop

Member
@Andy Nguyen Hi Andy, I cannot download the attachments, can you double-check? Thank you.

And thank you for compiling the list. :)

Edit: I can only download the maxdama.pdf. The others pointed me to a page saying "This attachment cannot be shown at this time. Please try back later."
 
Last edited:

rohitr

Member
@rohitr
you are not supposed to complete the entire list. Just pick any section of interest and go as deep as you need or want.
@Beep Boop
i have fixed a few files. there are other attachments that have gone missing after 11 years so I will fix if i can or remove them.
I dunno the A of programming. I want to start reading the Problem Solving in c++ by Mr Savitch and want to complete the entire list of c++ books.
After that I want to complete atleast the "Good books to read before Mfe section".

I want to apply in some college after 2 years. I'm 29 years old. Was working in service based companies until recently.
I just need a tentative date to complete the 2 sections that I mentioned above.
I want to plan accordingly!
 

rohitr

Member
I dunno the A of programming. I want to start reading the Problem Solving in c++ by Mr Savitch and want to complete the entire list of c++ books.
After that I want to complete atleast the "Good books to read before Mfe section".

I want to apply in some college after 2 years. I'm 29 years old. Was working in service based companies until recently.

Plz handpick those books from each section and paste it in sequence so that I can start asap.
I just need a tentative date to complete the 2 sections that I mentioned above.
I want to plan accordingly!
Kindly write the names of the books that I should start reading from scratch IN ORDER so that I can get the most out of those books in minimum time about MFE programs.
 
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