Quant Reference for Pricing Models

[nakuls]

I am looking for some reference books for pricing models. Something which technologists and junior quants can use to code pricers in Equity and Fixed Income space.

thanks!

 

[yetanotherquant]

Hi,
the best way is IMO to get a solid understanding of general theory (no-arbitrage, risk-neutral world) e.g. with Shreve's textbook and then quickly get your hands dirty with QuantLib and/or OpenGamma.

It is pretty hard to get started with QuantLib but my notes should help to make the [most difficult] first steps:
http://www.yetanotherquant.com/QuantLib/book/BookQuantLib.pdf
http://www.yetanotherquant.com/QuantLib/book/sourceCodeAndDiagramms.zip

 

[Daniel Duffy]

The Complete Guide to Option Pricing Formulas: Espen Gaarder Haug: 9780071389976: Amazon.com: Books

Formulae + VBA code.

+ errata list

 

[Tom Maloney]

Principles of Financial Engineering