This is the situation someone I know is in:

She has good understandings of stochastic calculus and the very basics about black-scholes and binomial model, but nothing more.

Her background is in statistics and she has a lot of experiences in time series modelling.

what would be good books to look at for a job as a quant in a fund or an investment bank?

I think the section in 'Heard on the street' is a nice for interviewing but it is written more like a 'crash course' for interview rather than a proper financial mathematical treatise.

(Though this may be off topic: some general advice is also nice, but I am mainly looking for a book)

  • 1
    $\begingroup$ I disagree that this is a duplicate, OP specifically asked for books that highlight the practical aspect. I would recommend Taleb's "Dynamic Hedging", imho THE best book on options valuation and trading. $\endgroup$
    – Matt
    Jan 20 '14 at 17:26
  • $\begingroup$ I agree with @MattWolf. The person in question needs a book on applied stochastic calculus. I recommend this book: amazon.co.uk/…. $\endgroup$
    – user7897
    Apr 27 '14 at 11:11

I would recommmend her An introduction to the mathematics of financial derivatives by Neftci and some programming books(Numerical Recipes. The Art of Scientific Computing by william H press, C++ Design Patterns and Derivatives Pricing by Joshi).


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