General Finance Textbooks
- Options, Futures and Other Derivatives, John Hull
- The Concepts and Practice of Mathematical Finance, Mark Joshi
- Paul Wilmott on Quantitative Finance, Paul Wilmott
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
- Option Volatility & Pricing, Sheldon Natenberg
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
