• C++ Programming for Financial Engineering
    Highly recommended by thousands of MFE students. Covers essential C++ topics with applications to financial engineering. Learn more Join!
    Python for Finance with Intro to Data Science
    Gain practical understanding of Python to read, understand, and write professional Python code for your first day on the job. Learn more Join!
    An Intuition-Based Options Primer for FE
    Ideal for entry level positions interviews and graduate studies, specializing in options trading arbitrage and options valuation models. Learn more Join!

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

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
 
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
 
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.
 
Last edited:
Can anyone recommend any good algorithm book to prepare for quantitative analyst interview?

Currently I am reading Introduction to Algorithms by CLRS.

 
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?
 
Last edited:
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.
 
Last edited:
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
 

Attachments

  • Mark Joshis Recommended Books.pdf
    332.5 KB · Views: 475
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) :
 
Thanks. Actually I would like to know more about statistics questions that might appear during quant analyst interview.
 
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.
 
Last edited:
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?
 
Hi,

I am a newbie from a non-finance background but with experience in the banking sector. Can anyone help with books that introduce the basic concepts (like a primer) of financial engineering?
 
Hi,

I am a newbie from a non-finance background but with experience in the banking sector. Can anyone help with books that introduce the basic concepts (like a primer) of financial engineering?







 
Last edited:






I'm also a fan of this series Financial Engineering Explained | Wim Schoutens | Springer ; some titles are more specialized than others, The Greeks and Hedging Explained and Equity Derivatives Explained are good ones to start with.
 
Back
Top