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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69
votes
4answers
43k 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 ...
44
votes
8answers
15k views

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?
24
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8answers
5k views

What are some good technical and non-technical books for a math lover to get in to quantitative analysis? [closed]

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 & ...
23
votes
7answers
12k 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 ...
20
votes
7answers
6k 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 ...
15
votes
1answer
1k views

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 ...
13
votes
2answers
865 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 ...
10
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4answers
3k 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 ...
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 ...
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 ...
8
votes
2answers
486 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 ...
7
votes
3answers
769 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 ...
7
votes
1answer
315 views

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 ...
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): ...
6
votes
1answer
433 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 ...
5
votes
2answers
812 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 ...
5
votes
1answer
830 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-...
4
votes
2answers
226 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
4
votes
1answer
673 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 ...
4
votes
1answer
549 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 ...
4
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0answers
122 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:...
3
votes
4answers
516 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 ...
3
votes
2answers
776 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 ...
3
votes
2answers
2k 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 ...
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
82 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
0answers
364 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 ...
2
votes
2answers
429 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 ...
2
votes
2answers
163 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.
2
votes
1answer
161 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
1answer
853 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 ...
2
votes
1answer
173 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 ...
2
votes
2answers
899 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 ...
2
votes
1answer
230 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
3answers
519 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 ...
2
votes
1answer
329 views

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?
2
votes
1answer
281 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
2
votes
0answers
72 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 ...
2
votes
0answers
180 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 ...
2
votes
0answers
72 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 ...
2
votes
1answer
482 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
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1answer
514 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 "...
1
vote
3answers
717 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
83 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 ...
1
vote
2answers
317 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.
1
vote
1answer
67 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
1answer
650 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?
1
vote
1answer
671 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
vote
1answer
491 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 ...
1
vote
0answers
112 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 ...