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

AppliedMath

Active Member
Just wanted to drop a recommendation for a specific course/topic. For stochastic calculus, there are two books by Steven Shreve. Any edition is pretty good. First volume is discrete-time processes. Second is continuous-time processes.

Stochastic Calculus for Finance I - The Binomial Asset Pricing Model
Stochastic Calculus for Finance II - Continuous-Time Models
 

tradertanny

Active Member
Just wanted to drop a recommendation for a specific course/topic. For stochastic calculus, there are two books by Steven Shreve. Any edition is pretty good. First volume is discrete-time processes. Second is continuous-time processes.

Stochastic Calculus for Finance I - The Binomial Asset Pricing Model
Stochastic Calculus for Finance II - Continuous-Time Models
Yeah, I agree with you
 

quantsmodelsbottles

Well-Known Member
The Elements of Statistical Learning. Seems like finance and machine learning don't always mix but still good to have a rigorous knowledge of the basics.
 
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Can anyone recommend any good algorithm book to prepare for quantitative analyst interview?

Currently I am reading Introduction to Algorithms by CLRS.

 

Beep Boop

Member
Can anyone recommend any good algorithm book to prepare for quantitative analyst interview?

Currently I am reading Introduction to Algorithms by CLRS.

I'd recommend ditching that and grab a book more focused on financial models like Clewlow & Strickland. CLRS would be more relevant for something like software engineering.
 
Thanks for your recommendation.
Just to confirm, are you referring to implementing derivative models by Clewlow and Strickland?
Do you think the book contains relevant interview questions for algorithm parts?
Do you also have other recommendation?

Also, as you mentioned that CLRS is more relevant for software engineering, wouldn't this mean that it covers more ground and has a better chance to answer interview questions at quantitative analyst?
 
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Yeah, I agree with you
How about Mark Joshi's Concepts and Practice in Mathematical Finance? I am also reading Shreve books and no doubt that they are good books for stochastic calculus.

But it seems that Joshi's books are not mentioned anywhere in this thread.
 
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Quasar Chunawala

Well-Known Member
Hi all,

Mark Joshi had a nice sequence of books to be read for an aspiring quant. Although his website is down, I still have a copy of the PDF saved. Here, you go.

Regards,
Quasar
 

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  • Mark Joshis Recommended Books.pdf
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Aber

Active Member
Can anyone recommend any good statistics book used in financial engineering?
(Based on personal opinions)

1) I have read some of the chapters here. They introduce the statistics as well as the financial interpretations Statistics and Data Analysis for Financial Engineering - with R examples | David Ruppert | Springer

2) This is by far my favorite book on time series analysis. However there is a lot mathematical derivation and theory, which is not necessary .
(A quick google search and you find a free version🤫;);) )

3) This is a really good book but not too technical (I should probably say theoretical). You get a presentation for Time Series Analysis and then a lot chapters with application to finance. If number 2 is too theoretical and you want something to the point then you can easily read the first chapters in this book.

PDF link (not sure if this is the latest version) :
 
We ought to redo this master reading list soon since it was first created years ago and there are many updated versions of books. Some may already be outdated.
I agree. Please do not hesitate to inform me if you need any help in organizing the master reading list.
 
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cihigne

Member
We ought to redo this master reading list soon since it was first created years ago and there are many updated versions of books. Some may already be outdated.
Hi Andy. I am a rising senior who planning on graduate schools next year. Do you have an updated list of books?
Is it okay if I just read outdated books in the meantime?
 
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