Revisions to What are the quantitative finance books that we should all have in our shelves?

Asses -> Asset

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edited Feb 7, 2022 at 20:37

Bob Jansen ♦

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Asset Pricing (Revised Edition), Cochrane, John H. Princeton University Press, 2009.
Financial Decisions and Markets: A Course in Asset Pricing, Campbell, John Y. Princeton University Press, 2017.
Asset pricing and portfolio choice theory, Back, Kerry. Oxford University Press, 2010.
Damodaran on Valuation, Damodaran, Aswath, Wiley Finance, 2006
Dynamic AssesAsset Pricing Theory (Third Edition), Duffie, Darrell. Princeton University Press, 2001.

added 103 characters in body

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edited Feb 7, 2022 at 18:35

Daneel Olivaw

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Asset Pricing (Revised Edition), Cochrane, John H. Princeton University Press, 2009.
Financial Decisions and Markets: A Course in Asset Pricing, Campbell, John Y. Princeton University Press, 2017.
Asset pricing and portfolio choice theory, Back, Kerry. Oxford University Press, 2010.
Damodaran on Valuation, Damodaran, Aswath, Wiley Finance, 2006
Dynamic Asses Pricing Theory (Third Edition), Duffie, Darrell. Princeton University Press, 2001.

added Option Volatility and Pricing, Sheldon Natenberg for its simplicity; Analysis of Financial Time Series, Ruey S. Tsay because its very hands on; An Interview primer for quantitative finance, Dirk Bester which is very helpful and freely available via github

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edit approved Apr 25, 2021 at 12:56

AKdemy

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Financial Calculus: An Introduction to Derivative Pricing, Martin Baxter and Andrew Rennie
Arbitrage Theory in Continuous Time, Tomas Björk
Stochastic Calculus for Finance I: The Binomial Asset Pricing Model, Steven Shreve
Stochastic Calculus for Finance II: Continuous-Time Models, Steven Shreve
Martingale Methods in Financial Modelling, Marek Musiela and Marek Rutkowski
Mathematical Methods for Financial Markets, Monique Jeanblanc, Marc Yor, and Marc Chesney
Financial Modelling With Jump Processes, Rama Cont and Peter Tankov
Option Volatility and Pricing, Sheldon Natenberg

Statistical Inference, George Casella and Roger Berger
Theoretical Statistics - Topics for a Core Course, Robert W. Keener
Time Series Analysis, James Hamilton
The econometrics of financial markets, Campbell, John Y., Andrew Wen-Chuan Lo, and Archie Craig MacKinlay. Vol. 2. Princeton, NJ: Princeton University Press, 1997.
The Elements of Statistical Learning, Hastie, Tibshirani and Friedman
Handbook of Markov Chain Monte Carlo, Brooks, Steve, Gelman, Andrew, Jones, Galin , and Meng, Xiao-Li.

Analysis of Financial Time Series, Ruey S. Tsay

Quant Job Interview Questions and Answers, Mark Joshi
Heard on the Street: Quantitative Questions from Wall Street Job Interviews, Timothy Crack
150 Most Frequently Asked Questions on Quant Interviews, Dan Stefanica, Radoš Radoičić, and Tai-ho Wang

An Interview primer for quantitative finance, Dirk Bester

Financial Calculus: An Introduction to Derivative Pricing, Martin Baxter and Andrew Rennie
Arbitrage Theory in Continuous Time, Tomas Björk
Stochastic Calculus for Finance I: The Binomial Asset Pricing Model, Steven Shreve
Stochastic Calculus for Finance II: Continuous-Time Models, Steven Shreve
Martingale Methods in Financial Modelling, Marek Musiela and Marek Rutkowski
Mathematical Methods for Financial Markets, Monique Jeanblanc, Marc Yor, and Marc Chesney
Financial Modelling With Jump Processes, Rama Cont and Peter Tankov

Statistical Inference, George Casella and Roger Berger
Theoretical Statistics - Topics for a Core Course, Robert W. Keener
Time Series Analysis, James Hamilton
The econometrics of financial markets, Campbell, John Y., Andrew Wen-Chuan Lo, and Archie Craig MacKinlay. Vol. 2. Princeton, NJ: Princeton University Press, 1997.
The Elements of Statistical Learning, Hastie, Tibshirani and Friedman
Handbook of Markov Chain Monte Carlo, Brooks, Steve, Gelman, Andrew, Jones, Galin , and Meng, Xiao-Li.

Quant Job Interview Questions and Answers, Mark Joshi
Heard on the Street: Quantitative Questions from Wall Street Job Interviews, Timothy Crack
150 Most Frequently Asked Questions on Quant Interviews, Dan Stefanica, Radoš Radoičić, and Tai-ho Wang

Financial Calculus: An Introduction to Derivative Pricing, Martin Baxter and Andrew Rennie
Arbitrage Theory in Continuous Time, Tomas Björk
Stochastic Calculus for Finance I: The Binomial Asset Pricing Model, Steven Shreve
Stochastic Calculus for Finance II: Continuous-Time Models, Steven Shreve
Martingale Methods in Financial Modelling, Marek Musiela and Marek Rutkowski
Mathematical Methods for Financial Markets, Monique Jeanblanc, Marc Yor, and Marc Chesney
Financial Modelling With Jump Processes, Rama Cont and Peter Tankov
Option Volatility and Pricing, Sheldon Natenberg

Statistical Inference, George Casella and Roger Berger
Theoretical Statistics - Topics for a Core Course, Robert W. Keener
Time Series Analysis, James Hamilton
The econometrics of financial markets, Campbell, John Y., Andrew Wen-Chuan Lo, and Archie Craig MacKinlay. Vol. 2. Princeton, NJ: Princeton University Press, 1997.
The Elements of Statistical Learning, Hastie, Tibshirani and Friedman
Handbook of Markov Chain Monte Carlo, Brooks, Steve, Gelman, Andrew, Jones, Galin , and Meng, Xiao-Li.

Analysis of Financial Time Series, Ruey S. Tsay

Quant Job Interview Questions and Answers, Mark Joshi
Heard on the Street: Quantitative Questions from Wall Street Job Interviews, Timothy Crack
150 Most Frequently Asked Questions on Quant Interviews, Dan Stefanica, Radoš Radoičić, and Tai-ho Wang

An Interview primer for quantitative finance, Dirk Bester

Added the Jim Simons book

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edited Jun 30, 2020 at 21:04

chrisaycock

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added Stefanica et al. 150 Most FAQ on Quant Interviews

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edit approved Jun 30, 2020 at 17:11

Community Bot

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Commonmark migration

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edited Jun 17, 2020 at 8:33

Community Bot

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Added Against the Gods

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edited Apr 4, 2020 at 19:12

RWP - Down by the Bay

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added book to Equity Derivatives section

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edited Feb 26, 2020 at 14:50

user34971

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2 additions

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edited Feb 26, 2020 at 6:52

Chris

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Add Advances in Financial Machine Learning by Marcos Lopez de Prado

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edited Apr 2, 2019 at 7:08

skoestlmeier

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Add Advances in Financial Machine Learning by Marcos Lopez de Prado

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edit approved Apr 2, 2019 at 7:08

Bhavishya Desai

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added 33 characters in body

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edited Feb 2, 2019 at 20:55

Daneel Olivaw

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suggested Diffusions, Markov Processes and Martingales by Roger and Williams

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edit approved Dec 8, 2018 at 7:02

Sebapi

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added references in machine learning and computational finance

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edit approved Dec 7, 2018 at 17:39

Antoine Savine

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added markov chain book

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edited Oct 2, 2018 at 1:04

Theodore

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added the book about applied computational economics. it is very helpful in terms of understanding many of the concepts, as well as implementation in MATLAB.

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