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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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96 votes
4 answers
94k 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 ...
45 votes
8 answers
17k 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?
30 votes
7 answers
17k 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 ...
Cory Walker's user avatar
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 & ...
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 ...
Bick's user avatar
  • 613
15 votes
1 answer
2k 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 ...
Jeff Burdges's user avatar
14 votes
2 answers
989 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 ...
james42's user avatar
  • 676
11 votes
4 answers
5k 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 ...
user860374's user avatar
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 ...
athos's user avatar
  • 2,231
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 ...
MinaThuma's user avatar
  • 459
7 votes
3 answers
1k 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 ...
Oscar's user avatar
  • 902
7 votes
1 answer
334 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 ...
James Davidoff's user avatar
7 votes
2 answers
738 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 ...
Mboaeo's user avatar
  • 71
7 votes
1 answer
520 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 ...
InnocentR's user avatar
  • 702
6 votes
2 answers
1k 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 ...
zesy's user avatar
  • 161
6 votes
2 answers
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): ...
user avatar
5 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 ...
elemenope's user avatar
5 votes
1 answer
559 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 ...
Botnakov N.'s user avatar
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-...
TryingHardToBecomeAGoodPrSlvr's user avatar
4 votes
2 answers
296 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
stackoverflower's user avatar
4 votes
2 answers
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 ...
Victor123's user avatar
  • 1,404
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 ...
AShortSqueeze's user avatar
4 votes
2 answers
1k 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 ...
Arturo's user avatar
  • 41
4 votes
0 answers
188 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:...
Alex C's user avatar
  • 9,382
3 votes
4 answers
966 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 ...
KingOfOil's user avatar
3 votes
1 answer
840 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 ...
Deb's user avatar
  • 353
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?
TraderJenny's user avatar
3 votes
0 answers
77 views

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 ...
JakcieJnr's user avatar
  • 131
3 votes
0 answers
437 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 ...
user61490's user avatar
3 votes
0 answers
104 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
0 answers
411 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 ...
spaceman_spiff's user avatar
2 votes
1 answer
173 views

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&...
JakcieJnr's user avatar
  • 131
2 votes
1 answer
144 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 ...
Johhn White's user avatar
2 votes
2 answers
224 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.
ensabahnur's user avatar
2 votes
1 answer
188 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 ...
Flux's user avatar
  • 531
2 votes
1 answer
485 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 ...
Philipp's user avatar
  • 183
2 votes
1 answer
631 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 ...
EhBabay's user avatar
  • 123
2 votes
1 answer
1k 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 ...
nkhuyu's user avatar
  • 605
2 votes
2 answers
791 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 ...
Mr. N's user avatar
  • 106
2 votes
2 answers
2k 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 ...
user avatar
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 ...
Sameer Lal's user avatar
2 votes
1 answer
356 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 ...
Thimonjulie's user avatar
2 votes
3 answers
871 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 ...
Nikita's user avatar
  • 21
2 votes
1 answer
343 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?
notorckstar's user avatar
2 votes
1 answer
438 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
User's user avatar
  • 93
2 votes
1 answer
649 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 ...
capm's user avatar
  • 143
2 votes
0 answers
140 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 ...
Quoc Nguyen's user avatar
2 votes
0 answers
356 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 ...
alexbougias's user avatar
  • 1,426
2 votes
0 answers
93 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 ...
Maeu's user avatar
  • 21
1 vote
1 answer
978 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 "...
TryingHardToBecomeAGoodPrSlvr's user avatar