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


We should also add a book on R as it is more widely used in finance than matlab.. place where I used to work everyone except me was a R guru..

I saw the R in a Nutshell book in Barnes and Noble the other day. I was tempted to purchase it, but would appreciate anybody else opinions on whether this is a good text to start with?
Lets us not forget Security Analysis or The Rockefeller Syndrome. Extrapolate 1 billion from 1900 and what do you get today. 945,000,000 tax allowance in Depression = ???? today. Let us remember the Colorado Iron and Mining Incident in 1914. Let us remember who sits on the Directorate of the CIA and the Who. Let us remember whom Sheldon Prescott Busch brought to America and what happened to JFK, RFK, and MLK. Engineered economic plan. Ernest Chan is right on the money, as he quotes Einstein 'Keep it Simple'.
I ordered the following book last week:

Statistic and Data Analysis for Financial Engineering - David Ruppert

It looks very good. Every chapter has exercises and Lab problems to do in R. All the code is in R and the data sets are available on the author's web site.

There appears to be substantial overlap between his earlier "Statistics and Finance" (2004). One difference is he uses SAS and MatLab in the earlier text. The overlap is such it could have been published as a new edition of the earlier title.