quantitative finance self-study reading book list suggestions

Hi, guys, I am new here and I am genuinely interested in quantitative finance; my situation is kind of complicated.

I was graduated as a Marketing bachelor in UK, with a good GPA (converted to be around 3.90); as a graduate I have got no experience in finance industry, neither academic background obviously. I know it is very hard to self study quantitative finance, which includes knowledge relating to computing, mathematics and pure finance, but is there any chance to self-study quantitative finance? I am currently working for a retailing company for living and applied several Msc of finance programs already, which will start September this year.

I want to prepare myself with necessary knowledge of quantitative finance therefore I won't fall behind when I start my Msc study. However, I really need to know how to start from the scratch.

I actually downloaded a considerable number of computing, mathematics and finance books, but I find it hard to figure out what books are suitable for learning and where to start in every aspect.

I am desperately seeking for advices on my situation and I am more than happy to explain more about myself, as I know the information posed here is far too little.

Genuine thanks for your helps, guys.
 

DominiConnor

Quant Headhunter
A reading list has been prepared by Paul Wilmott and myself at http://quantjob.blogspot.com/2011/02/reading-list-for-quants.html

However...
You are going to find this hard, any decent program would have questioned very strongly your ability to survive the course much less get a job afterwards. If you had presented yourself at a CQF open evening I rather suspect you'd have ended up in front of me, and I would have questioned it more sharply than that.

I know that marketing can involve hardcore stats but frankly I'd be quite surprised if you'd got that far, and even if you had, that's at most 25% of the maths you need. I'd be shocked if you'd done PDEs, any useful amount of linear algebra or numerical methods. Have you done any probability beyond A level ?

Can you program, at all ?
By program I mean loops, pointers, recursion, basic data structures as an absolute minimum, and before you ask R, Matlab et al don't count. You can wing your way through a finance course without it since most don't do enough programming which makes it worse, not better since quants need to be able to code. They have told you that, right ? If you'd been to a CQF info session, you'd have heard me tell the multitude that quants average 60% of their time in some sort of programming.

The very first book you need to read is Dan Stefanica's primer on financial mathematics...
I would emphasise that it's a primer ie, it sets a minimum standard for what you need to know to start a math finance course.

So if you struggle with it then you really need to choose a different direction.

On a positive note my call is that you should be considering an MBA, possibly in finance at maybe the LBS, which fits your experience and skills rather well.
 
"The Cross-Section of Expected Stock Returns," Journal of Finance (1992), with Eugene Fama. Winner of the Smith-Breeden prize for the best paper in the Journal of Finance in 1992.
http://www.bengrahaminvesting.ca/Re...e_Cross-Section_of_Expected_Stock_Returns.pdf

a good book...
http://www.amazon.com/International-Financial-Management-Abridged-Madura/dp/0538482214/

Sorry for the delay and thanks, The Nazerith, but the paper for me now is still a bit struggling, I am trying to understand

and actually I am doing a lot of reading and preparation for further understanding both mathematical and theoretical parts of Finance.
 
Hi, guys, I am new here and I am genuinely interested in quantitative finance; my situation is kind of complicated.

I was graduated as a Marketing bachelor in UK, with a good GPA (converted to be around 3.90); as a graduate I have got no experience in finance industry, neither academic background obviously. I know it is very hard to self study quantitative finance, which includes knowledge relating to computing, mathematics and pure finance, but is there any chance to self-study quantitative finance? I am currently working for a retailing company for living and applied several Msc of finance programs already, which will start September this year.

I want to prepare myself with necessary knowledge of quantitative finance therefore I won't fall behind when I start my Msc study. However, I really need to know how to start from the scratch.

I actually downloaded a considerable number of computing, mathematics and finance books, but I find it hard to figure out what books are suitable for learning and where to start in every aspect.

I am desperately seeking for advices on my situation and I am more than happy to explain more about myself, as I know the information posed here is far too little.

Genuine thanks for your helps, guys.
What books have you downloaded and where did you download them from?
 
A reading list has been prepared by Paul Wilmott and myself at http://quantjob.blogspot.com/2011/02/reading-list-for-quants.html

However...
You are going to find this hard, any decent program would have questioned very strongly your ability to survive the course much less get a job afterwards. If you had presented yourself at a CQF open evening I rather suspect you'd have ended up in front of me, and I would have questioned it more sharply than that.

I know that marketing can involve hardcore stats but frankly I'd be quite surprised if you'd got that far, and even if you had, that's at most 25% of the maths you need. I'd be shocked if you'd done PDEs, any useful amount of linear algebra or numerical methods. Have you done any probability beyond A level ?

Can you program, at all ?
By program I mean loops, pointers, recursion, basic data structures as an absolute minimum, and before you ask R, Matlab et al don't count. You can wing your way through a finance course without it since most don't do enough programming which makes it worse, not better since quants need to be able to code. They have told you that, right ? If you'd been to a CQF info session, you'd have heard me tell the multitude that quants average 60% of their time in some sort of programming.

The very first book you need to read is Dan Stefanica's primer on financial mathematics...
I would emphasise that it's a primer ie, it sets a minimum standard for what you need to know to start a math finance course.

So if you struggle with it then you really need to choose a different direction.

On a positive note my call is that you should be considering an MBA, possibly in finance at maybe the LBS, which fits your experience and skills rather well.


Sorry for the delay, Dominic. I deeply appreciate your detailed and honest reply with sound suggestions.
You are right in every detail; there is anyway just a small amount of mathematics involved in Marketing.

If just according to the mathematics Primer on CQF website, which I am using to guide myself for the mathematics needed in FE, for probability and statistics I have done expectation algebra, normal distribution and some of discrete and continuous distribution, regression analysis and correlation; however, I did all these in the first year of my uni, I have to remind myself of them.

Moreover, I have done calculus (first year of my uni as well), including functions and limits, differentiation and integration, differential equations and functions of several variables, apart from much of complex numbers.

However, I need a decent course, such as CQF mathematical primer to refresh myself and to extend my mathematics to other fields, including linear algebra, and mathematical analysis.

And I know nothing about programming. this may be the biggest deal.

As you said, if I do find this struggle, I may need to divert to another course, a MBA in Finance in LBS; first of all it costs 53,000 pounds to me a very big number; and second my question is, I am a bit not sure about the career orientation after I finish the programme. I tried LSE they rejected me, as you said, they questioned strongly about my ability to survive.

I am considering to refresh my math first by joining the course of CQF mathematics Primer and later to complete the entire CQF course, plus attending a Master programme in university; if I luckily finish all these programmes, will them however fuel my career as a quant?

To be honest, initially I wanted to be a trader; I found out later my personality directed to quant, however; by finishing half of Ermanual Derman's My life as a quant, I'm more sure about my decision. what i need is professional knowledge.

I don't know if the maths I've got is enough to help me smoothly start off this tough road. therefore Dominic, would you mind giving me some suggestions based on these my current mathematic background?
 
What books have you downloaded and where did you download them from?

Actually it's quite random, just by googling the name of book plus th word download and you got loads of websites to choose from. Sorry I didn't keep those working website, but if you do want the books, tell me what you want I'll see if I got them and
I can just send them to you by email or whatever.
 
Actually it's quite random, just by googling the name of book plus th word download and you got loads of websites to choose from. Sorry I didn't keep those working website, but if you do want the books, tell me what you want I'll see if I got them and
I can just send them to you by email or whatever.

Hey Stucash, I can see that it's been almost 4 years since this post. I feel in the same situation as you were by then. What are you doing now? How did it ended up?

I have just gotten my degree on Marketing - it's called Marketing Engineering actually where I had it. And I feel the need of pursuing something else on the "quant" direction.
 
Hi everybody, I'm a new member, just joined. I'm in 3rd Year Undergrad, studying Mathematical Finance, and I plan on moving into Quantitative Finance. I think I'm too young here.
I do have some experience in Actuarial Mathematics, I gave the SOA Exam P and plan on giving the Financial Mathematics Exam(FM), the Modelling for Financial Economics Exam(MFE) and the Risk and Ruin Exam(C). I have courses which are pretty similar so just planned on giving these exams. I also plan on giving the FRM exam, again most of the stuff I already have studied. It's very exciting to be here and look forward to learning from here.
 
Sorry for the delay, Dominic. I deeply appreciate your detailed and honest reply with sound suggestions.
You are right in every detail; there is anyway just a small amount of mathematics involved in Marketing.

If just according to the mathematics Primer on CQF website, which I am using to guide myself for the mathematics needed in FE, for probability and statistics I have done expectation algebra, normal distribution and some of discrete and continuous distribution, regression analysis and correlation; however, I did all these in the first year of my uni, I have to remind myself of them.

Moreover, I have done calculus (first year of my uni as well), including functions and limits, differentiation and integration, differential equations and functions of several variables, apart from much of complex numbers.

However, I need a decent course, such as CQF mathematical primer to refresh myself and to extend my mathematics to other fields, including linear algebra, and mathematical analysis.

And I know nothing about programming. this may be the biggest deal.

As you said, if I do find this struggle, I may need to divert to another course, a MBA in Finance in LBS; first of all it costs 53,000 pounds to me a very big number; and second my question is, I am a bit not sure about the career orientation after I finish the programme. I tried LSE they rejected me, as you said, they questioned strongly about my ability to survive.

I am considering to refresh my math first by joining the course of CQF mathematics Primer and later to complete the entire CQF course, plus attending a Master programme in university; if I luckily finish all these programmes, will them however fuel my career as a quant?

To be honest, initially I wanted to be a trader; I found out later my personality directed to quant, however; by finishing half of Ermanual Derman's My life as a quant, I'm more sure about my decision. what i need is professional knowledge.

I don't know if the maths I've got is enough to help me smoothly start off this tough road. therefore Dominic, would you mind giving me some suggestions based on these my current mathematic background?

Hey, I know Dominic is a recruiter and everything, but I wouldn't let anyone tell me I'm not fit for a program. You may be weak at math… so what!? Study your a$$ off and put in work just like the people who are good at it did to get to where they are in their math skills, they are no different than you. I would recommend using Khan academy voraciously and to supplement use some of the FE math prep books mentioned earlier by others, if you still have time on top of that join some MOOCs FE or Calc classes; keep doing this for a few months and even the stuff that was difficult for you will eventually start to make since.

I'm saying this as a guy in a similar boat, I was told by a guy who recently finished an MFE program that my math skills are too weak and that I should reconsider the program. Obviously, I have ignored his advice and just put more time into learning the concepts and fundamentals i'm missing.

I hope this helps ;)
 
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