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

Beep Boop

New Member
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.
I'd recommend reading through the free guides first, particularly "What do quant do ? A guide by Mark Joshi" and "Paul & Dominic's Guide to Quant Careers" to get a flavor of what you would want to do, then you can draw out a picture of what you want to explore more before purchasing books on those topics. You can preview the first few pages of most of those books on Amazon (usually the Prefaces) to get an idea about the subject matter of a book before buying.
Also, there's this: 'P' Versus 'Q': Differences and Commonalities between the Two Areas of Quantitative Finance (there's a QuantNet thread for it but the link has bitten the dust).
 

rohitr

New Member
Hi
I'd recommend reading through the free guides first, particularly "What do quant do ? A guide by Mark Joshi" and "Paul & Dominic's Guide to Quant Careers" to get a flavor of what you would want to do, then you can draw out a picture of what you want to explore more before purchasing books on those topics. You can preview the first few pages of most of those books on Amazon (usually the Prefaces) to get an idea about the subject matter of a book before buying.
Also, there's this: 'P' Versus 'Q': Differences and Commonalities between the Two Areas of Quantitative Finance (there's a QuantNet thread for it but the link has bitten the dust).
Hi,
I've already finished the two free guides.
I'm starting the book by Walter savitch(Problem Solving in c++). I've also ordered the book Primer for math by dan stefanica.
In how many months should I aim to finish these two books with 3-4 hours daily??
 

rohitr

New Member
The best way to learn C++ is by programming.

The QN C++ course does it all in 16 weeks (and learn good programming habits).
I checked the course. There are 2 courses.

How much time will both of them take me?!
It takes 4 months for 1st course. What about the 2nd one?

If I'll do these two courses,then it'll be more than enough knowledge of c++ to enter any mfe program,right?

The rest should be taught in class!
 

Beep Boop

New Member
Hi

Hi,
I've already finished the two free guides.
I'm starting the book by Walter savitch(Problem Solving in c++). I've also ordered the book Primer for math by dan stefanica.
In how many months should I aim to finish these two books with 3-4 hours daily??
On the basis of covering everything, I wager it'd take about 3 months if you diligently invest 5 hours daily into the Primer, which can vary based on your familiarity with calculus and linear algebra? The book is pretty dense and it seems to assume prior knowledge of those 2 areas.
 

rohitr

New Member
On the basis of covering everything, I wager it'd take about 3 months if you diligently invest 5 hours daily into the Primer, which can vary based on your familiarity with calculus and linear algebra? The book is pretty dense and it seems to assume prior knowledge of those 2 areas.
I've read basic integration and differentiation and also algebra in school?
Let's see if I can recall everything or not.
 

edgerr

New Member
What specialisation should I consider for getting into algotrading?

NLP,deep learning,time series,network analysis,biostatistics,economics or social science?
 

edgerr

New Member
My ques:
I've completed 2 chapters from Problem Solving with C++. I've solved all the practice exercises of these 2 chapters(answers are already given at the back;when I get stuck,I turn over the page).

I've not touched the PROGRAMMING PROJECTS as solving them with my present level of knowledge seemed like a daunting task.

I've understood(from my present level of knowledge by going through the C++ list in the masters list and also checking on AmazonDOTcom)that until and unless I'll not solve the two volumes of the book "THINKING IN C++",I'll not be able to solve the PROGRAMMING PROJECTS from Problem Solving with C++ book and be ready to solve REAL WORLD projects as well(afterwards;before joining any MFE program OR maybe after joining an office)!
I've an engg degree but my concepts were not clear and I didn't develop any, let's say, Analytical thinking regarding a programming language.

Is my thinking correct?!

I want to learn everything again in detail. I'm mature now(to have developed an analytical brain rather than a brain that crams everything in the book and pas,which I did in B.E) at the age of 29 and have left my job in a service based industry as I want to pursue higher studies.

Kindly advice!
 

Daniel Duffy

C++ author, trainer
The QN C++ course is a bit of an investment in $ (but very reasonable) and time but it is time and money well spent. Disclaimer: I'm its originator>
 

rohitr

New Member
Hi,

The book 'Financial options:Theory to Practice' has been listed 2 times in the 'Good books to read before the MFE program' section.

It's listed at position no. 2 as well as 9.

Which one is the actual order?
 

rohitr

New Member
There are now courses in that track offered by various programs. You may as well look into Data Science Master program since MFE is a short program so you won't learn much by taking a course or two.
Can I move into the financial domain after completing MS Data Science?

Is there any site like quantnet for DS?

Since data is very vast,I was told by some to go for MFE instead of MS DS because of job safety net.

What should I do?

If after completing my MS DS,I get a job in a Fintech company and if the job requires me to do the work of a quant,then can't I learn about it on the job itself?
I'm flummoxed. :)

If you'd want me to go for MS DS,then please tell me whether Roosevelt University is any good for job prospects thereafter?

Also,as far as I know if I'll pursue STEM related degree,then I'll get 3 years OPT visa.
After I pursue the MS or MFE(whichever one it is that I finally decide),I can easily go to some other foreign country which has demand for data scientist jobs considering the fact that most US universities have global recognition.
 

XIYU LI

Member
C++ Student
wow, startling list of materials :)
but it is of great help!
Many thanks for the sharing!
 

Nth Root of N

New Member
I have yet to see a book (not written for MBA students, or stylized/popular) that actually tries to describe the institutional side for MFE students in a rigorous/reasonably comprehensive way. Why become expert in C++ in a vacuum without also developing perspective on why you're studying it (model validation, regulatory regimes, what are the considerations depending on what you're doing and where, etc.).

Nobody's going to write a book on this, though.

Edit: I see the point, that the technical stuff is supposed to get you a job, from which you'll get a sense of these institutional factors over a period of years. Just playing devil's advocate.
 
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