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11

I've read N. Taleb. Dynamic hedging for exactly the same reason and found it quite helpful. You can find a preview at Google Books to examine the content - the greatest thing about this book that N. Taleb tries to show how things work in pracice not just how to derive another formula (what is a subjsect for other great books on quantitative finance).


10

I've not yet read it, but Lehalle's recent book is bound to be a goldmine of good micro-structure bits and pieces. Market Microstructure in Practice EDIT: I'm reading the book now, so far it's quite good.


6

Farmers (usually referred to as hedgers) typically buy Futures, not options. The CBOE does not transact in agricultural commodities The CME, and other exchanges, transact in agricultural commodities. These exchanges grew, for the most part, directly from the trading interactions of farmers(hedgers/producers) and middle-men(speculators), in the area where ...


6

My two favorites books on microstructure are: Barry Johnson's Algorithmic Trading and DMA - very good on technological aspects and for an overview of needed implementations; L and Laruelle's Market Microstructure in Practice - for common knowledge and understanding of market microstructure and its mechanisms. On the theoretical (economical) aspect, you ...


5

Classical book on market microstructure is: Market Microstructure for Practitioners by Larry Harris. It's a bit outdated (2002) and missing few recent market developments like dark pools etc. but the way it currently is it's already highly recommended reading. Personally I'm waiting for the next edition of the same book, and surely many others waiting as ...


4

I have honestly not come across a good book (or good enough review to make me buy the book) on Fund Transfer Pricing. While it is not my career focus, I had to familiarize myself a bit with the topic because of certain requirements involving funding trading operations and the performance of funding specific operations. Personally I would recommend the ...


3

The companion website to the book here has a PDF download ("Monte Carlo Permutation Evaluation of Trading Systems") on pages 18-20 of which there is C++ code for the permutation routine. Code for White's Reality Check test is available from the ttrTests package for R.


3

I like Zapatero & Cvitanic, "Introduction to the Economics and Mathematics of Financial Markets";Steele, "Stochastic Calculus and Financial Applications" and also Mikosh, "Elementary Stochastic Calculus with Fincial View". Shreeve is always a good choice too. If you are working with physicists, SCHMIDT, "QUANTITATIVE FINANCE FOR PHYSICISTS: AN ...


3

One that I found via google that seems promising (for beginners though) is. Numerical methods in finance and Economics


3

Options, Futures, and Other Derivatives Analysis of Financial Time Series Inside the Black Box: The Simple Truth About Quantitative Trading Trading and Exchanges: Market Microstructure for Practitioners


3

Jim Gatherals Book deals with the models you mention and gives an intuitive understanding about calibration and issues that arise. Mostly basic stuff, but very useful if you're just starting out. Also very understandable without an extensive math background.


3

There is a lot of papers on the subject that tend to stay more up to date than the books (since there's new papers coming out all of the time)... of course no 1 paper will give you the depth of concepts you can take from a book like Harris' but, after reading that book, they can be very helpful for updating the concepts. :) arxiv is IMHO the best source ...


2

You can start to understand Brigo and Mercurio from the standard Shreve material but it does not look at things from the perspective of semimartingales which will possibly be confusing at some point. You're probably going to want to understand $d[X,Y]_t$ quadratic variation notion vs just the whole "$(dW(t))^2 = dt$" concept from the Shreve book that I'm ...


2

The Automated Trading System-blog has a few posts about the book with a helpful tool at the end: http://www.automated-trading-system.com/evidence-based-technical-analysis-aronson-book/ http://www.automated-trading-system.com/bootstrap-test/ and here the conclusion with the free tool for the bootstrap-test: ...


2

I like the following book (though have only very briefly skimmed it): Optimization methods in finance


2

This may be too basic a book for what you're hungering for. In preparation for the Financial Engineering actuarial exam, I'm studying from Derivative Markets by McDonald. It's very technical, but gives a great introduction to the mathematics behind pricing options and even goes into depth on Brownian motion. Check it out here: http://amzn.to/g3QOES.


2

Technically, this isn't fraud, but it should be. It's definitely account abuse. http://articles.latimes.com/2011/apr/03/business/la-fi-amateur-currency-trading-20110403 http://ftalphaville.ft.com/blog/2009/11/02/80866/the-100bn-fx-hustle/ The sad part is, even after being shown this kind of information, I have watched several retail "traders" lose their ...


2

I have struggled to find such a book. I got enthusiastic when I first heard about Taleb's Dynamic Hedging, but I found it really disappointing. Doesn't give any market insight into vol trading at all. I just remember something about him saying that digitals are scary to risk manage so you should always price them as a call spread - but we all know that! I ...


1

"Buying and Selling Volatility" by Kevin Connolly. This book has an amazing property: it explains options at an intuitive level, without any math. Incredible. Once you have gone through the first few chapters, you get to the point of being able to roughly value options in your head with some simple arithmetic, and intuitively understand the relationships ...



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