Questions tagged [books]
Most questions about books are off topic. Please see past questions and read the FAQ before posting with this tag.
56
questions
0
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33 views
Books about financial modelling with jumps
Hey which books about financial modelling with jump processes do you recommend? I know Harrison and Pliska article (1981) and Cont and Tankov book. Are there any other good books worth reading? I care ...
2
votes
1answer
154 views
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 ...
2
votes
0answers
97 views
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 ...
-1
votes
1answer
98 views
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 ...
0
votes
0answers
16 views
Call options data from 18 April 2002 (Schoutens 2003)
Hey I would like to calibrate different models to call options prices from 18 April 2002. Schoutens used this data for calibration but unfortunately he write only months (screen). What can i do in ...
0
votes
1answer
46 views
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
...
1
vote
0answers
44 views
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, ...
2
votes
1answer
587 views
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-...
0
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0answers
24 views
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 ...
7
votes
3answers
673 views
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 ...
2
votes
2answers
403 views
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 ...
0
votes
0answers
25 views
a list of books to learn this subject from the foundation [duplicate]
what are some books that could one use to develop a solid knowledge of finances from both a qualitative and quantitative perspective, also books from another branches, like accounting and other useful ...
2
votes
2answers
177 views
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 ...
0
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0answers
41 views
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 ...
0
votes
1answer
48 views
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 ...
4
votes
0answers
106 views
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:...
8
votes
2answers
1k views
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 ...
2
votes
0answers
145 views
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 ...
1
vote
0answers
64 views
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, ...
3
votes
1answer
373 views
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 ...
3
votes
4answers
394 views
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 ...
2
votes
2answers
504 views
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 ...
1
vote
1answer
431 views
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?
0
votes
2answers
264 views
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 ...
8
votes
2answers
398 views
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 ...
53
votes
4answers
31k views
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 ...
2
votes
0answers
71 views
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 ...
1
vote
2answers
269 views
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.
2
votes
1answer
246 views
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
1
vote
3answers
543 views
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.
1
vote
1answer
597 views
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 ...
2
votes
1answer
193 views
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 ...
-2
votes
1answer
758 views
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 ...
4
votes
1answer
605 views
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 ...
10
votes
4answers
2k views
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 ...
2
votes
3answers
432 views
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 ...
13
votes
2answers
827 views
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 ...
3
votes
0answers
78 views
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 ...
3
votes
2answers
1k views
Book recommendation for credit risk management for banking
What is a good beginner book on the topic of Credit Risk management for banking? I am a credit risk systems developer and most of my knowledge is in IT systems and programs that support the credit ...
5
votes
2answers
721 views
Book recommendation: math toolkit for quantitative finance and statistics
I am looking for a book which teaches mathematical topics which are relevant to master quantitative finance and statistics.
Please note, I do not mean a book which would explain how math is applied ...
2
votes
1answer
432 views
Book recommendation on robust optimization
I have a bachelors degree in economics and I took undergrad courses on mathematical optimization methods for economics and dynamic optimization in economics and econometrics. Now I'm taking an ...
1
vote
1answer
444 views
Information on books about mathematical finance
In the past at my school the subject of "Mathematics of Derivative securities" has been taught out of two books.
"Quantitative Finance" by T. Wake Epps and "Options, Futures and Other Derivatives" by ...
2
votes
2answers
148 views
Anybody knows the answer to this exercise found in PWIQF?
I got this question from the last exercise of chapter 2 from "paul wilmott introduces quantitative finance" book. Appreciate your help.
3
votes
1answer
2k views
What literature (books, articles, etc.) should someone hoping to learn basic HFT / arbitrage strategies read first? [closed]
I am not looking for your winning strategies. Just the basic stuff from where to start. Can anyone share their opinions about what should I read to hit the ground running?
3
votes
0answers
346 views
Reference for Algorithmic Trading [closed]
I have recently started to look up algorithmic trading but I am finding it hard to find references related to this field.I am math major with a sound knowledge in Statistics, various programming ...
6
votes
1answer
420 views
Background required for the book by Brigo and Mercurio
My aim is to be able to read and understand almost all of the book by Brigo and Mercurio including HJM, LMM and the Local Vol models. So that I am able to implement these models on my own. My ...
20
votes
7answers
10k views
Book on market microstructure
Can I get some recommendations for a book on market microstructure? I'm not looking for some author's questionable methods for trading, I'm just looking for a book that provides me with facts about ...
2
votes
1answer
790 views
Good Model Calibration Books/Papers for Common Option Pricing Models
I am trying to find a good book which focuses on the model calibration. I just want to know generally, what are the most common methods of model calibration(such as Black-Scholes Model, Stochastic ...
9
votes
2answers
3k views
Looking for a recommendation for a Fund Transfer Pricing modelling book
Recently I started working in a bank as a modeler, one of the possible topic is FTP - Fund Transfer Pricing.
After I studied that subject a little on wiki and read a website or two in that field I ...
6
votes
2answers
2k views
Code for Evidence Based Technical Analysis
I recently purchased http://www.amazon.com/Evidence-Based-Technical-Analysis-Scientific-Statistical/dp/0470008741
Is there an open source repository that contains (or contains as close as possible):
...
