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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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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Recommendations for books to understand the math in quantitative finance papers?
Can anyone recommend books that explain the math used in quantitative finance academic papers?
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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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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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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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Any recommendations for textbooks for an undergraduate course in mathematical finance? [closed]
I'll teach an introductory course on mathematical finance in the near future. The course is intended to entertain and broaden some well-prepared advanced undergrad mathematics majors, some physics ...
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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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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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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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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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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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Did farmers really buy options on the CBOE? [closed]
I recently become interested in finance. Many books discuss options as simple examples of derivatives. I also read some "popular books". I read in "The Poker Face of Wall Street" that almost no ...
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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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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 ...
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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 ...
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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):
...
user2936
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1
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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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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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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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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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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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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 ...
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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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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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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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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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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 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 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 ...
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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 ...
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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.
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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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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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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 ...
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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 ...
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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 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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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 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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3
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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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Reading recommendation on using statistical analysis in online fraud prevention [closed]
Can you please recommend good reads on statistical analysis related to online fraud detection and prevention of account abuse?
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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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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 ...
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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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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 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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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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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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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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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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