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QuantNet International Guide to Financial Engineering Programs

DOWNLOAD GUIDE

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 2024-2025, a guide by efinancialcareers.
• 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

• The Complete Guide to Capital Markets for Quantitative Professionals
• Financial Engineering: The Evolution of a Profession
• My Life as a Quant: Reflections on Physics and Finance
• The Quants: How a New Breed of Math Whizzes Conquered Wall Street and Nearly Destroyed It
• How I Became a Quant: Insights from 25 of Wall Street's Elite
• The Big Short: Inside the Doomsday Machine
• Nerds on Wall Street: Math, Machines and Wired Markets
• Physicists on Wall Street and Other Essays on Science and Society

BOOKS FOR QUANT INTERVIEWS

• 150 Most Frequently Asked Questions on Quant Interviews by Dan Stefanica, Rados Radoicic, Tai-Ho Wang
• Quant Job Interview Questions And Answers by Mark Joshi
• Frequently Asked Questions in Quantitative Finance by Wilmott
• Heard on The Street: Quantitative Questions from Wall Street Job Interviews by Timothy Crack
• Cracking the Coding Interview: 150 Programming Questions and Solutions by Gayle Laakmann McDowell
• A Practical Guide To Quantitative Finance Interviews by Xinfeng Zhou
• Basic Black-Scholes: Option Pricing and Trading by Timothy Crack
• Fifty Challenging Problems in Probability with Solutions by Frederick Mosteller
• Vault Guide to Advanced Finance & Quantitative Interviews
• Probability and Stochastic Calculus Quant Interview Questions by Ivan Matic, Dan Stefanica, Rados Radoicic

GOOD BOOKS TO READ BEFORE STARTING MFE PROGRAM

• A Primer For The Mathematics Of Financial Engineering, Second Edition
• Financial Options: From Theory to Practice by Stephen Figlewski
• Paul Wilmott on Quantitative Finance 3 Volume Set (2nd Edition)
• An Introduction to the Mathematics of Financial Derivatives, Second Edition by Salih Neftci
• Options, Futures, and Other Derivatives (8th Edition) by John Hull
• Principles of Financial Engineering, Second Edition by Salih Neftci
• Elementary Stochastic Calculus With Finance in View by Thomas Mikosch
• The Concepts and Practice of Mathematical Finance by Mark Joshi
• Financial Calculus : An Introduction to Derivative Pricing by Martin Baxter
• A Course in Financial Calculus by Etheridge Alison
• The Mathematics of Financial Derivatives: A Student Introduction by Paul Wilmott
• Frequently Asked Questions in Quantitative Finance by Paul Wilmott
• Derivatives Markets by Robert L. McDonald
• An Undergraduate Introduction to Financial Mathematics by Robert Buchanan

GENERAL READING ON WALL STREET

• Liar's Poker: Rising Through the Wreckage on Wall Street
• Monkey Business: Swinging Through the Wall Street Jungle
• Reminiscences of a Stock Operator
• Working the Street: What You Need to Know About Life on Wall Street
• Fiasco: The Inside Story of a Wall Street Trader
• Den of Thieves
• When Genius Failed: The Rise and Fall of Long-Term Capital Management
• Traders, Guns & Money: Knowns and unknowns in the dazzling world of derivatives
• The Greatest Trade Ever: The Behind-the-Scenes Story of How John Paulson Defied Wall Street and Made Financial History
• Goldman Sachs : The Culture of Success
• The House of Morgan: An American Banking Dynasty and the Rise of Modern Finance
• Wall Street: A History: From Its Beginnings to the Fall of Enron
• The Murder of Lehman Brothers: An Insider’s Look at the Global Meltdown
• On the Brink: Inside the Race to Stop the Collapse of the Global Financial System
• House of Cards: A Tale of Hubris and Wretched Excess on Wall Street
• Too Big to Fail: The Inside Story of How Wall Street and Washington Fought to Save the Financial System-and Themselves
• Liquidated: An Ethnography of Wall Street
• Fortune’s Formula: The Untold Story of the Scientific Betting System That Beat the Casinos and Wall Street

PROGRAMMING

C++ (ordered by level of difficulty)

• Problem Solving with C++ (9th Edition) by Walter Savitch
• C++ How to Program (8th Edition) by Harvey Deitel
• Absolute C++ (5th Edition) by Walter Savitch
• Thinking in C++: Introduction to Standard C++, Volume One by Bruce Eckel
• Thinking in C++: Practical Programming, Volume Two by Bruce Eckel
• The C++ Programming Language: Special Edition by Bjarne Stroustrup (C++ inventor)
• Effective C++: 55 Specific Ways to Improve Your Programs and Designs by Scot Myers
• C++ Primer (4th Edition) by Stanley Lippman
• C++ Design Patterns and Derivatives Pricing (2nd edition) by Mark Joshi
• Financial Instrument Pricing Using C++ by Daniel Duffy

C# (ordered by level of difficulty)

• C# 2010 for Programmers (4th Edition)
• Computational Finance Using C and C# by George Levy
• C# in Depth, Second Edition by Jon Skeet

F# (ordered by level of difficulty)

• Programming F#: An introduction to functional language by Chris Smith
• F# for Scientists by Jon Harrops (Microsoft Researcher)
• Real World Functional Programming: With Examples in F# and C#
• Expert F# 2.0 by Don Syme
• Beginning F# by Robert Pickering

Matlab (ordered by level of difficulty)

• Matlab: A Practical Introduction to Programming and Problem Solving
• Numerical Methods in Finance and Economics: A MATLAB-Based Introduction (Statistics in Practice)

Excel

• Excel 2007 Power Programming with VBA by John Walkenbach
• Excel 2007 VBA Programmer’s Reference
• Financial Modeling by Simon Benninga
• Excel Hacks: Tips & Tools for Streamlining Your Spreadsheets
• Excel 2007 Formulas by John Walkenbach

VBA

• Advanced modelling in finance using Excel and VBA by Mike Staunton
• Implementing Models of Financial Derivatives: Object Oriented Applications with VBA

Python

• Learning Python: Powerful Object-Oriented Programming
• Python Cookbook

FINITE DIFFERENCES

• Option Pricing: Mathematical Models and Computation, by P. Wilmott, J.N. Dewynne, S.D. Howison
• Pricing Financial Instruments: The Finite Difference Method, by Domingo Tavella, Curt Randall
• Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach by Daniel Duffy

MONTE CARLO

• Monte Carlo Methods in Finance, by Peter Jäcke (errata available at jaeckel.org)
• Monte Carlo Methodologies and Applications for Pricing and Risk Management , by Bruno Dupire (Editor)
• Monte Carlo Methods in Financial Engineering, by Paul Glasserman
• Monte Carlo Frameworks in C++: Building Customisable and High-performance Applications by Daniel J. Duffy and Joerg Kienitz
• Risk Management and Simulation by Aparna Gupta

STOCHASTIC CALCULUS

• Stochastic Calculus and Finance by Steven Shreve (errata attached)
• Stochastic Differential Equations: An Introduction with Applications by Bernt Oksendal

VOLATILITY

• Volatility and Correlation, by Riccardo Rebonato
• Volatility, by Robert Jarrow (Editor)
• Volatility Trading by Euan Sinclair

INTEREST RATE

• Interest Rate Models - Theory and Practice, by D. Brigo, F. Mercurio updates available on-line Professional Area of Damiano Brigo's web site
• Modern Pricing of Interest Rate Derivatives, by Riccardo Rebonato
• Interest-Rate Option Models, by Riccardo Rebonato
• Efficient Methods for Valuing Interest Rate Derivatives, by Antoon Pelsser
• Interest Rate Modelling, by Nick Webber, Jessica James

FX

• Foreign Exchange Risk, by Jurgen Hakala, Uwe Wystup
• Mathematical Methods For Foreign Exchange, by Alexander Lipton

STRUCTURED FINANCE

• The Analysis of Structured Securities: Precise Risk Measurement and Capital Allocation (Hardcover) by Sylvain Raynes and Ann Rutledge
• Salomon Smith Barney Guide to MBS & ABS, Lakhbir Hayre, Editor
• Securitization Markets Handbook, Structures and Dynamics of Mortgage- and Asset-backed securities by Stone & Zissu
• Securitization, by Vinod Kothari
• Modeling Structured Finance Cash Flows with Microsoft Excel: A Step-by-Step Guide (good for understanding the basics)
• Structured Finance Modeling with Object-Oriented VBA (a bit more detailed and advanced than the step by step book)

STRUCTURED CREDIT

• Collateralized Debt Obligations, by Arturo Cifuentes
• An Introduction to Credit Risk Modeling by Bluhm, Overbeck and Wagner (really good read, especially on how to model correlated default events & times)
• Credit Derivatives Pricing Models: Model, Pricing and Implementation by Philipp J. Schönbucher
• Credit Derivatives: A Guide to Instruments and Applications by Janet M. Tavakoli
• Structured Credit Portfolio Analysis, Baskets and CDOs by Christian Bluhm and Ludger Overbeck

RISK MANAGEMENT/VAR

• VAR Understanding and Applying Value at Risk, by various authors
• Value at Risk, by Philippe Jorion
• RiskMetrics Technical Document RiskMetrics Group
• Risk and Asset Allocation by Attilio Meucci

SAS/S/S-PLUS

• The Little SAS Book: A Primer, Fourth Edition by Lora D. Delwiche and Susan J. Slaughter
• Modeling Financial Time Series with S-PLUS
• Statistical Analysis of Financial Data in S-PLUS
• Modern Applied Statistics with S

HANDS ON

• Implementing Derivative Models, by Les Clewlow, Chris Strickland
• The Complete Guide to Option Pricing Formulas, by Espen Gaarder Haug

NOT ENOUGH YET?

• Energy Derivatives: Pricing and Risk Management, by Les Clewlow, Chris Strickland
• Hull-White on Derivatives, by John Hull, Alan White 1899332456
• Exotic Options: The State of the Art, by Les Clewlow (Editor), Chris Strickland (Editor)
• Market Models, by C.O. Alexander
• Pricing, Hedging, and Trading Exotic Options, by Israel Nelken
• Modelling Fixed Income Securities and Interest Rate Options, by Robert A. Jarrow
• Black-Scholes and Beyond, by Neil A. Chriss
• Risk Management and Analysis: Measuring and Modelling Financial Risk, by Carol Alexander
• Mastering Risk: Volume 2 - Applications: Your Single-Source Guide to Becoming a Master of Risk, by Carol Alexander