Questions tagged [books]
Most questions about books are off topic. Please see past questions and read the FAQ before posting with this tag.
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book for (investment banking) market risk overview
what is a good intro book / course / source of knowledge on the topic of Market Risk for investment banking? I'm IT person cooperating with quants market risk team, and found myself either missing ...
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Books on Finite Differences by Duffy
There is a well-known book from 2006 by Daniel Duffy, which is Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach. You may find it here on Wiley's:
https://...
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How to find interesting open math problems in quantitative finance that I could publish articles about?
Which books on financial mathematics would you recommend for people with good background in probability, statistics and stochastic processes but without any background in financial mathematics?
The ...
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Book Recommendations on Options Derivatives [duplicate]
I want to learn about Options Derivatives and am looking for an introductory (as much as possible) book to start with. Any recommendations?
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AFML (by Lopez De Prado) Vs ESL by Trevor Hastie
The books "The Elements of Statistical Learning" by Trevor Hastie, and "Advances in Financial Machine Learning" by Lopez De Prado are highly recommended books for ML. They both ...
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What are good resources on Operating Systems and Networking as they relate to high frequency trading? [closed]
I am submitting applications to entry level Quantitative Developer positions. I come from the mathematical finance side but can code in C++ with simple concurrency. Many of the job postings I see ...
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2
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Kelly Criterion applied to portfolios vs Markowitz MVA
I have recently watched two videos about Kelly Criterion for portfolio optimization, however one seem not to deduce it correctly (as people commented) and the another just don't show any deductions at ...
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Book recommendation on portfolio theory [duplicate]
I am searching for books to self-study on undergraduate level on introduction to portfolio theory that has more math rigor than Modern Portfolio Theory and Investment Analysis and exercise with ...
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Making a beeline to statistical arbitrage
This question is somewhat related to my previous question here but has not been addressed in any other thread. The answer in that thread hit the nail right on the head with that one line "...
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Regression analysis in finance - book recommendation
Hey I am looking for a good book about regression analysis in finance (e.g. credit risk). Could you recommend something? It would be great if this book will be connected with some programmic language ...
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Quantum Field Theory for Economics and Finance
Amazon suggested me this book with a very catchy title, especially to the ones, like me, who have a background in physics. Do you think it's worth reading? I haven't found any reviews yet, which makes ...
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what does the cover page of Guyon and Labordere's Nonlinear Option Pricing represent?
It could be a bit offtopic, but I don't see the link between the contents of the book and the cover page.
Thanks
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Best bibliography on the classic Merton portfolio problem
I am writing a small section on my thesis about the classic Merton portfolio problem.
I was wondering what are the best books on the subject.
I am looking for something from the beginner to the ...
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Arbitrage-free prices in incomplete markets
Hey where I could find theory of option pricing in incomplete markets? I know that there we have not one price, but interval of arbitrage-free prices and I would like to read more about it and I need ...
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What does this absolute return distribution chart show?
I was reading some pages in Professional Automated Trading by Eugene Durenard when I came across this chart:
The caption says: "S&P Absolute Return Distribution: Log-Log Scale".
The ...
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Writing an HFT (and not only HFT) options trading book
After finishing my PhD I came to work at one of the top market-maker in options world wide. Reason is: my master program was a lot of options pricing, but zero info on options trading, and I wondered ...
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What are some of the more Math-oriented professional certificates in Finance? (more math-oriented than CFA) [closed]
What are some of the more Math-oriented professional certificates in Finance? In particular, I'm interested in learning about professional certificates that are more Math/Statistics-oriented than the ...
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Textbook about methodologies for computing margins (TIMS and SPAN)
I'm reading and trying to understand TIMS and SPAN methodologies for margin calculations. In the internet I found these 2 great resources and that's what I'm using to get familiar with things:
TIMS
...
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Entry points to finance for Applied Mathematics (Numerical Analysis/High Performance Scientific Computing) PhD Student [duplicate]
I'm looking to go into quantitative finance after my phd in around 2 years. With a background in pdes/numerics/heterogenous and distributed computing, I think my skill set is applicable in this area, ...
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Pre-requisite math books, to the pre-requisite math needed to become a front desk quant
This question is about the pre-requisites to the pre-requisite math needed to become a front desk quant. I have done research online and I found that there are a lot of recommended books as a pre-...
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Fama Foundations of Finance today
Which could be a recent equivalent of Fama's book Foundations of Finance?
By "equivalent" I mean a book which is rigorous, but without being a book on stochastic calculus; which is focused on stock ...
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What are the biggest new advancements in the field of quantitative finance in the last 10 years?
Examples like new research or findings but also older research or findings actually starting to get implemented. Is machine learning starting to get a foothold in finance? Are there any new practical ...
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Book recommendation
I am currently a student of a "normal" Finance program and would like to know some more things about quantitative finance in general and especially risk management.
When we derived formulas, such as ...
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Books on options trading with a practical bent?
just curious to see if anyone here has come across a book or books on options trading with the practitioner in mind? My lecture slides for instance, go through black scholes and the ins and outs of ...
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What is a good follow up book to Anatoly Schmidt's "Quantitative Finance for Physicists: An Introduction"?
Title pretty much says all.
I read the titular book, and found it lacking. I think it is nothing more than the notes that Schmidt took while learning the subject. Is there a list of follow up books ...
user44970
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Security Analysis By Benjamin Graham Example Doubt [closed]
So I was reading (trying to read) Security Analysis by Graham and I came across this example ("Example 1" in the image attached below) Being the noob at finance and quant that I am, I was unable to ...
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Books on banking by Moorad Choudry
What do you think about books on banking written by Moorad Choudhry?
Someone recently recommended them to me as a good general introduction to modern banking, for example:
An Introduction to Banking:...
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Kingdom of Denmark Nikkei put warrants [closed]
I have read in a book from Emanuel Derman that Goldman Sachs manufactured a derivative in the early 90's that consisted of buying cheap puts on the Nikkei index (and paid in Yen) and combining them ...
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How exactly are corporate bonds priced at issue
I am interested in Debt Capital Markets but I am struggling to understand how bonds, particularly corporate bonds, are priced initially. I know that a company will tap an investment bank as book ...
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Quantitative Finance books for Practitioners [duplicate]
Currently searching for some books on real options and option pricing. However, the vast majority of the books are quite theoretical, and if someone has been taught these subject in class, half of it ...
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What should I learn/know before reading Investments by Bodie Kane Marcus?
I hope this is the appropriate place to post this. If not, I would really appreciate if someone could redirect me to the right site.
I've been seeing a lot of recommendations for the book, ...
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Errata for Mark Joshi's Concepts and practice of mathematical finance
I am wondering if anyone has a PDF copy of the errata for Mark Joshi's book "Concepts and practice of mathematical finance"? It seems that Mark's website markjoshi.com is not accessible anymore. I ...
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Basic book on stochastic calculus, Itô and jump processes and Brownian Motion
I was looking for a good book that explains at beginner-level the basic of stochastic calculus, probability and random variables, Itô and jump processes as well as Brownian Motion.
At university we ...
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Book recommendation on portfolio managment
I have a BSc degree in pure mathematics and i am graduate student in Operations research. I will have a course on "portfolio management". I am looking for some book/lecture notes/online course ...
user38605
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Free E-books for students on Volatility Models
Some e-books are free for students when they are on the university IP.
So can anyone provide a list of free e-books for students and free e-books in general about (stochastic) volatility modelling?
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Order books theoretical price
Suppose we have the following bid/ask spread for a particular stock:
What is the theoretical value of the stock?
Now suppose we have:
What is the theoretical value of the stock?
Now suppose a ...
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What are some good books to read to get an intuitive understanding of relevant financial topics?
Studying to become a quant involves lots of maths and lots of theoretical models. Sometimes I feel like I have zero intuition regarding the things I am studying and how/when/why they may be applied in ...
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What are the quantitative finance books that we should all have in our shelves?
Which books/papers should we all have in our shelves?
There are a couple that I use regularly such as:
An Introduction to Financial Option Valuation: Mathematics, Stochastics and Computation
Asset ...
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What topics come after continuous finance a la Bjork?
Ok so I've understood stochastic calculus and continuous finance. Basically, all of Bjork's "Arbitrage Theory in Continuous Time".
What books/topics come next? I was thinking of taking a more ...
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Book recommendation for Prepayment model of Mortgage Backed Securities
Can you please suggest me some good reference for Prepayment model of Mortgage Backed Securities. I am looking for a basic book from more of mathematical point of view.
P.S.- I am new to finance.
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Interest rate risk. Books recommendation
Can anyone suggest me some good books for Interest Rate risk and Credit Spread, credit spread duration?
I am new to finance so a book focussed on basics will be more helpful.
Thanks
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Recommended readings for VaR
I am new to finance.I was trying to learn VaR.
Can someone please suggest me some good readings/book to know about VaR from the basics.
Thanks in advance.
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Books about Monte Carlo Simulation on derivatives with Python
I am looking for a good reference for Monte Carlo simulation applied to derivatives with Python. Most books I found until now deal with C++... I have found "Derivatives Analytics with Python" by Yves ...
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What are good risk management books or docs? [duplicate]
I have an unusual request/question. I was wondering if anyone here could recommend me some books about risk management and equity derivatives.
I am about to do an internship as a risk analyst on an ...
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Which book would you recommend for beginners in Quantitative Finance? [closed]
I have a normal high school level of mathematics including some statistics and find the world of Quantitative Finance both alien and invigorating at the same time so, would like to learn more.
What ...
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Step by Step Guide to Learn Quantitative Finance [closed]
Can some one help in creating step by step guide to learn Quantitative Finance?
The suggestions should be in the lines of
1- Which Maths topics needs to be learn 1st
2- Which Maths Books or ...
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Self study references for a Mathematician
I just finished my undergraduate (BSc) degree in Pure Mathematics & Applied Mathematics. I am starting my postgraduate degree in Pure Mathematics in a month's time.
I am considering pursuing a ...
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What are the canonical books on optimization methods?
I am looking for some literature devoted to optimization methods in finance (portfolio optimization, asset pricing etc).
Could you please recommend some books (perhaps, essentially non elementary: I ...
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The greeks: where do they come from?
I’m studying the BSM model and having a look at the greeks. I was reading Derivatives, by Paul Wilmott, and he gives the closed form solutions without making the reader see where these solutions come ...
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What are your list of concept or model in standard textbooks that are always reliable to used in working?
What are your list of concept or model in standard textbooks that are always reliable to used in working?
As opposed back to this: What concepts are the most dangerous ones in quantitative finance ...