Questions tagged [books]
Most questions about books are off topic. Please see past questions and read the FAQ before posting with this tag.
67
questions
1
vote
0
answers
94
views
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://...
- 588
5
votes
1
answer
409
views
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 ...
26
votes
8
answers
6k
views
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 & ...
- 8,438
2
votes
1
answer
418
views
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 ...
- 1,026
-2
votes
2
answers
188
views
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?
- 43
2
votes
2
answers
614
views
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 ...
0
votes
1
answer
283
views
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 ...
- 11.9k
3
votes
0
answers
323
views
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 ...
- 31
93
votes
4
answers
78k
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 ...
- 8,438
2
votes
0
answers
128
views
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 ...
- 21
20
votes
7
answers
7k
views
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 ...
- 1,490
1
vote
1
answer
842
views
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 "...
- 14.7k
0
votes
1
answer
186
views
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 ...
- 186
1
vote
0
answers
298
views
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 ...
4
votes
2
answers
273
views
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
- 8,438
1
vote
0
answers
48
views
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 ...
- 53
1
vote
1
answer
132
views
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 ...
- 96
2
votes
1
answer
184
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 ...
- 6,425
0
votes
0
answers
210
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 ...
- 2,613
4
votes
1
answer
992
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 ...
- 346
-1
votes
1
answer
329
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 ...
- 5,662
1
vote
1
answer
142
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
...
- 116
0
votes
0
answers
127
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, ...
28
votes
7
answers
16k
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 ...
- 221
4
votes
2
answers
2k
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 ...
CommunityBot
- 1
4
votes
1
answer
2k
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-...
- 1,389
0
votes
0
answers
46
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 ...
- 253
7
votes
3
answers
950
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 ...
- 958
4
votes
2
answers
1k
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 ...
- 14.7k
3
votes
1
answer
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?
0
votes
0
answers
60
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 ...
CommunityBot
- 1
0
votes
1
answer
87
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 ...
- 9,195
4
votes
0
answers
175
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:...
- 9,332
7
votes
2
answers
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
2
answers
1k
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 ...
- 241
2
votes
0
answers
317
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 ...
- 1,396
1
vote
0
answers
199
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, ...
- 11
3
votes
4
answers
764
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 ...
- 1,172
1
vote
1
answer
1k
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?
- 78
2
votes
2
answers
1k
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 ...
CommunityBot
- 1
14
votes
2
answers
970
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 ...
- 6,204
9
votes
2
answers
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 ...
- 411
7
votes
2
answers
645
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 ...
- 8,002
2
votes
0
answers
90
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 ...
- 21
1
vote
3
answers
1k
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.
- 735
1
vote
1
answer
816
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 ...
- 1,627
1
vote
2
answers
449
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.
- 9,332
2
votes
1
answer
382
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
- 464
2
votes
1
answer
310
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 ...
- 11.1k
-2
votes
1
answer
951
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 ...
- 11.1k