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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Resources to understand derivative pricing and simulation models and aggregation of risk measures
I am looking for a book or set of videos which explains theorems and models of quantitative finance and stochastic calculus required for understanding derivative pricing and simulation in a very ...
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What is the difference between Brigo and Mercurio's book and Andersen and Piterbarg's book?
I'm referring to Interest Rate Models by Brigo and Mercurio and Interest Rate Modelling Volume 1-3 by Andersen and Piterbarg.
Both are around 1000 pages, and are frequently recommended as "bibles&...
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Corporate finance for mathematicians
Most corporate finance textbooks tend to be quite a bit verbose, like Brealey/Myers/Allen is around 900 pages. Quite a bit of the book teaches you how to calculate percentages (discounting). The ...
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Best Book - Understanding Investment Bank Operations
Could you please recommend Books to read for understanding Investment bank operations in Information Technology ( IT ) Point of view? like develop/support all system involved in FO/MO/BO systems in ...
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Best introductory books to get a feel for the theory of quantitative finance (with exercises)
I am currently a physics & math undergraduate interested in quantitative finance. I have taken computational math up to PDEs, proofs-based math up to linear algebra, and am currently taking ...
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Hope you can recommend me some books about building mechanical options trading systems
I have some basic understanding of CTA and am quite familiar with options pricing theory. I am interested in learning about books that discuss the use of options tools to construct mechanical trading ...
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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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Book on IR products in 2024?
After the Libor->RFR transition, I am a bit worried about reading books like Andersen&Piterbarg or Mercurio/Brigo.
They're still highly useful of course since its mostly models being studied ...
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book for (investment banking) market risk overview [duplicate]
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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What are some good technical and non-technical books for a math lover to get in to quantitative analysis?
To get the ball rolling... I will answer this question this evening
For people aware & unaware I think it would be a great way to introduce the group, resources for fundamental knowledge & ...
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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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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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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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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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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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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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Looking for a recommendation for a real life volatily trading book.
Recently I started working in an algotrading company as a programmer.
After I studied that subject a little in the university and read a book or two in that field I gained a little knowledge in that ...
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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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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 ...
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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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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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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 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?
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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 ...
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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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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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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 ...
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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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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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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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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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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 ...
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