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

Something really confuses me here. Is this reading list for Quant Developer or Quant Researcher? Because the two job profiles are actually different.

Also, how in this world are Derivatives Markets - McDonald and Options, Futures and Other Derivatives - Hull in MFE in pre-reading list? These two books are actually used in the graduate courses of ORFE Princeton.
 
Last edited:

Daniel Duffy

C++ author, trainer
Some book updates from my own pen

// PDE/FDM 2022
  • eBooks will publish on March 11, 2022.
  • In store date (the date books are available at retail) is March 17, 2022.


// C++11 for finance 2018

Maybe they (and other authors) could be added to an updated QN master list?
 
Last edited:

Daniel Duffy

C++ author, trainer
QuantNet International Guide to Financial Engineering Programs

FREE QUANT CAREER GUIDES
  • What do quant do ? A guide by Mark Joshi. (see attachment)
  • Paul & Dominic's Guide to Quant Careers (see attachment)
  • Paul & Dominic's Guide to Getting a Quant Job (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
  • 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?
This list is getting long in the tooth. i.e. it is outdated.

I have at least six of my modern books for an updated list.
And a section on Machine Learning is needed.
 
The list was initially made when Fred Flintstone was alive and Tyrannosaurus Rex roamed the earth. It probably needs to be redone from the ground up.
Indeed, I would also appreciate an updated version or if anyone else has posted on on the forum please feel free to share with me.
 
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