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31

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 ...


25

If you need a primer covering various domains of math then Dan Stefanica's text will do the job. The text covers multivariable calculus, lagrange multipliers, black scholes PDF, greeks & hedging, newton's method, bootstrapping, taylor series, numerical integration, and risk neutral valuation. It also includes a mathematical appendix. If you want an ...


19

My two favorites books on microstructure are: Barry Johnson's Algorithmic Trading and DMA - very good on technological aspects and for an overview of needed implementations; L and Laruelle's Market Microstructure in Practice - for common knowledge and understanding of market microstructure and its mechanisms. Recently, three new books have been published: ...


16

I doubt you will find one book that covers everything you need, but here are a few that I continually come back to whenever I have some questions on the mathematics. Analysis of Financial Time Series by Ruey Tsay An Introduction to High-Frequency Finance by Dacorogna et al Probability and Statistics by DeGroot and Schervish Statistical Inference by Casella ...


12

I've read N. Taleb. Dynamic hedging for exactly the same reason and found it quite helpful. You can find a preview at Google Books to examine the content - the greatest thing about this book that N. Taleb tries to show how things work in pracice not just how to derive another formula (what is a subjsect for other great books on quantitative finance).


12

If you asked me for a single book as a starting point I'd probably go for: Frequently Asked Questions in Quantitative Finance by Paul Wilmott


11

I've not yet read it, but Lehalle's recent book is bound to be a goldmine of good micro-structure bits and pieces. Market Microstructure in Practice EDIT: I'm reading the book now, so far it's quite good.


9

Classical book on market microstructure is: Trading and Exchanges: Market Microstructure for Practitioners by Larry Harris. It's a bit outdated (2002) and missing few recent market developments like dark pools etc. but the way it currently is it's already highly recommended reading. Personally I'm waiting for the next edition of the same book, and surely ...


9

In general, quantitative finance requires mathematics, finance, and numerical programming. The mix of the three and the areas of focus within the three will depend on the particular area you intend to work in. For example, option pricing, risk, and asset management are all related but derivative modeling would draw more on stochastic processes and ...


8

I'd say to read Prof. Shreve's well-known two-volume textbook Stochastic Calculus for Finance I and II.


6

I like Zapatero & Cvitanic, "Introduction to the Economics and Mathematics of Financial Markets";Steele, "Stochastic Calculus and Financial Applications" and also Mikosh, "Elementary Stochastic Calculus with Fincial View". Shreeve is always a good choice too. If you are working with physicists, SCHMIDT, "QUANTITATIVE FINANCE FOR PHYSICISTS: AN ...


6

Check out Volatility Trading by Euan Sinclair. There are previews available on both Amazon and Google Books.


6

I have honestly not come across a good book (or good enough review to make me buy the book) on Fund Transfer Pricing. While it is not my career focus, I had to familiarize myself a bit with the topic because of certain requirements involving funding trading operations and the performance of funding specific operations. Personally I would recommend the ...


6

First, my notation. $K$ is the strike price, $S$ is the stock price, $r$ is the continuously compounded risk-free rate, $T$ is time at expiration, $t$ is time at issue, $\sigma$ is volatility, $\delta$ is continuously compounded dividend rate. The Black-Scholes formula for a European call is $C = Se^{-\delta (T-t)} N(d_1) - Ke^{-r(T-t)} N(d_2)$ $d_1 = \...


5

There is a lot of papers on the subject that tend to stay more up to date than the books (since there's new papers coming out all of the time)... of course no 1 paper will give you the depth of concepts you can take from a book like Harris' but, after reading that book, they can be very helpful for updating the concepts. :) arxiv is IMHO the best source ...


5

Natenberg's Options Volatility and Pricing is an excellent resource, and goes into pretty solid detail about why you should be trading volatility rather than direction.


5

All the topics you've mentioned are wonderful and shouldn't be eschewed by reading some finance-oriented review book. I recommend these instead. Linear algebra: Hoffman and Kunze and Halmos Set theory: Halmos Measure theory: Rudin and Tao


4

All books recommended in previous posts are splendid :-) I would like to add one more book for continuous time financial mathematics: Arbitrage Theory in Continuous Time by Tomas Bjork.


4

Many of the strategies are motivated by objective functions (contour integrals) in the complex plane and the elements of complex linear spaces, so I'd recommend at least for an applied understanding: Saff, E. B., and Snider, A. D. Fundamentals of Complex Analysis with Applications to Engineering, Science and Mathematics. In addition to Saff and Snider, I ...


4

I would recommend the books from Steven Shreve. Here is a link to some one of his older online pdf's (1997 but nevertheless true) so you can check if that fits the bill. http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.137.6951&rep=rep1&type=pdf


4

This thread will inevitably close because it doesn't meet community guidelines, but I respect your passion in this field and my best suggestion for you is that if you're trying to emulate a MFE education, go look up the course listings of any reputable MFE program, and then look into the sites for those (past) classes and see the recommended readings and ...


4

Jorion's book on VAR is a good introduction. Also, if you search this community, there are some very good posts for practical implementation of VAR. For example, in this question, there is a very good step by step description of how to calculate Monte Carlo VAR: Is there a step-by-step guide for calculating portfolio VaR using monte carlo simulations


4

Finance is a big field. If you have anything specific in mind (corporate finance, asset pricing, risk management) I can give you some more specific references. Some references for basic finance: Investments and Portfolio Management (Bodie, Kanie and Marcus) Modern Portfolio Theory and Investment Analysis (Elton, Gruber, Brown, Goetzmann) Fundamentals of ...


4

Elementary Stochastic Calculus by Thomas Mikosch is an excellent introduction to the topic in a very compact way. Alternatively, Stochastic Calculus for Finance II: Continuous-Time Models by Steven Shreve is a more comprehensive reference which is very much oriented to applications in finance.


3

You can start to understand Brigo and Mercurio from the standard Shreve material but it does not look at things from the perspective of semimartingales which will possibly be confusing at some point. You're probably going to want to understand $d[X,Y]_t$ quadratic variation notion vs just the whole "$(dW(t))^2 = dt$" concept from the Shreve book that I'm ...


3

I'd go with either Anatoly Schmidt's Financial Markets and Trading or Joel Hasbrouck's Empirical Market Microstructure. Both have plenty of math, and that's pretty much required when talking about market microstructure.


3

Jim Gatherals Book deals with the models you mention and gives an intuitive understanding about calibration and issues that arise. Mostly basic stuff, but very useful if you're just starting out. Also very understandable without an extensive math background.


3

Another good book is Option Market Making by Allen Jan Baird.


3

The companion website to the book here has a PDF download ("Monte Carlo Permutation Evaluation of Trading Systems") on pages 18-20 of which there is C++ code for the permutation routine. Code for White's Reality Check test is available from the ttrTests package for R.


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