# General Finance Textbooks - _Options, Futures and Other Derivatives_, John Hull - _The Concepts and Practice of Mathematical Finance_, Mark Joshi ---------- # Asset Pricing - _Asset Pricing (Revised Edition)_, Cochrane, John H. Princeton University Press, 2009. - _Financial Decisions and Markets: A Course in Asset Pricing_, Campbell, John Y. Princeton University Press, 2017. - _Asset pricing and portfolio choice theory_, Back, Kerry. Oxford University Press, 2010. - _Damodaran on Valuation_, Damodaran, Aswath, Wiley Finance, 2006 ---------- # Asset Allocation - _Introduction to Risk Parity and Budgeting_, Roncalli, Thierry, 2013 - _Asset Management: A Systematic Approach to Factor Investing_, Ang, Andrew, Financial Management Association, 2014 - _Expected Returns: An Investor's Guide to Harvesting Market Rewards_, Illmanen, Anti, The Wiley Finance Series, 2011 ---------- # Option Pricing Theory and Stochastic Calculus - _Financial Calculus: An Introduction to Derivative Pricing_, Martin Baxter and Andrew Rennie - _Arbitrage Theory in Continuous Time_, Tomas Björk - _Stochastic Calculus for Finance I: The Binomial Asset Pricing Model_, Steven Shreve - _Stochastic Calculus for Finance II: Continuous-Time Models_, Steven Shreve - _Martingale Methods in Financial Modelling_, Marek Musiela and Marek Rutkowski - _Mathematical Methods for Financial Markets_, Monique Jeanblanc, Marc Yor, and Marc Chesney - _Financial Modelling With Jump Processes_, Rama Cont and Peter Tankov ---------- #Asset Classes **Equity Derivatives:** - _Equity derivatives_, Marcus Overhaus et al. - _Equity Hybrid Derivatives_, Marcus Overhaus et al. - _The Volatility Surface_, Jim Gatheral - _Stochastic Volatility Modeling_, Lorenzo Bergomi - _Dynamic Hedging: Managing Vanilla and Exotic Options_, Nassim Nicholas Taleb **FX Derivatives:** - _Foreign Exchange Option Pricing_, Iain J. Clark - _FX Options and Smile Risk_, Antonio Castagna - _FX Options and Structured Products_, Uwe Wystup **Commodity Derivatives:** - _Commodity Option Pricing_, Iain J. Clark - _Commodities and Commodity Derivatives_, Helyette Geman - _Energy and Power Risk Management: New Developments in Modeling, Pricing, and Hedging_, Alexander Eydeland, Krzysztof Wolyniec **Interest Rate Derivatives:** - _Interest Rate Option Models_, Rebonato - _Interest Rate Models – Theory and Practice (with Smile, Inflation and Credit)_, Damiano Brigo and Fabio Mercurio - _Interest Rate Modeling I, II & III_, Leif B. G. Andersen and Vladimir V. Piterbarg - _Pricing and Trading Interest Rate Derivatives_, J H M Darbyshire **Inflation Derivatives:** - _Interest Rate Models – Theory and Practice (with Smile, Inflation and Credit)_, Damiano Brigo and Fabio Mercurio **Credit Derivatives:** - _Credit Risk - Modeling, Valuation & Hedging_, Tomasz R. Bielecki and Marek Rutkowski - _Modelling Single-name and Multi-name Credit Derivatives_, Dominic O’Kane - _Interest Rate Models – Theory and Practice (with Smile, Inflation and Credit)_, Damiano Brigo and Fabio Mercurio **XVA:** - _XVA: Credit, Funding and Capital Valuation Adjustments_, Andrew Green - _Counterparty Credit Risk, Collateral and Funding_, Damiano Brigo, Massimo Morini, and Andrea Pallavicini ---------- # Quantitative Risk Management - _Quantitative Risk Management: Concepts, Techniques and Tools_, Alexander J. McNeil, Rudiger Frey, and Paul Embrechts ---------- # Mathematics **Probability and Stochastic Processes:** - _Probability_, A.N. Shiryaev - _Probability_, Leo Breiman - _Stochastic Calculus and Applications_, Samuel N. Cohen and Robert J. Elliott - _Stochastic Differential Equations_, Bernt Oksendal - _Diffusions Markov Processes and Martingales_, L. C. G. Roger and D. Williams **Statistics:** - _Statistical Inference_, George Casella and Roger Berger - _Theoretical Statistics - Topics for a Core Course_, Robert W. Keener - _Time Series Analysis_, James Hamilton - _The econometrics of financial markets_, Campbell, John Y., Andrew Wen-Chuan Lo, and Archie Craig MacKinlay. Vol. 2. Princeton, NJ: Princeton University Press, 1997. - _The Elements of Statistical Learning_, Hastie, Tibshirani and Friedman - _Handbook of Markov Chain Monte Carlo_, Brooks, Steve, Gelman, Andrew, Jones, Galin , and Meng, Xiao-Li. **Machine Learning**: - _Machine Learning: A Probabilistic Perspective_, Kevin P Murphy - _Pattern Recognition and Machine Learning_, Christopher Bishop - _Reinforcement Learning: An introduction_, Richard S. Sutton and Andrew G. Barto - _Advances in Financial Machine Learning_, Marcos Lopez de Prado ---------- # Programming - _C++ Design Patterns and Derivatives Pricing_, Mark Joshi - _Python for Data Analysis_, Wes McKinney - _Applied Computational Economics and Finance_, Mario J. Miranda and Paul L. Fackler - _Modern Computational Finance_, Antoine Savine ---------- # Interviews - _Quant Job Interview Questions and Answers_, Mark Joshi - _Heard on the Street: Quantitative Questions from Wall Street Job Interviews_, Timothy Crack ---------- # Being a Quant - _My Life as a Quant: Reflections on Physics and Finance_, Emanuel Derman - _The Quants: How a New Breed of Math Whizzes Conquered Wall Street and Nearly Destroyed It_, Scott Patterson - _A Man for All Markets: From Las Vegas to Wall Street, How I Beat the Dealer and the Market_, Edward Thorpe ----------- # Cultural Classics - _Reminiscences of a Stock Operator_, Jesse Livermore - _Liar’s Poker_, Michael Lewis ---------- # Programming - _C++ Design Patterns and Derivatives Pricing_, Mark Joshi - _Python for Data Analysis_, Wes McKinney - _Applied Computational Economics and Finance_, Mario J. Miranda and Paul L. Fackler - _Modern Computational Finance_, Antoine Savine ---------- # Interviews - _Quant Job Interview Questions and Answers_, Mark Joshi - _Heard on the Street: Quantitative Questions from Wall Street Job Interviews_, Timothy Crack ---------- # Being a Quant - _My Life as a Quant: Reflections on Physics and Finance_, Emanuel Derman - _The Quants: How a New Breed of Math Whizzes Conquered Wall Street and Nearly Destroyed It_, Scott Patterson - _A Man for All Markets: From Las Vegas to Wall Street, How I Beat the Dealer and the Market_, Edward Thorpe ----------- # Cultural Classics - _Reminiscences of a Stock Operator_, Jesse Livermore - _Liar’s Poker_, Michael Lewis