# Tag Info

### What are the quantitative finance books that we should all have in our shelves?

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 ...
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### How exactly are corporate bonds priced at issue

I am not an investment banker, but usually the procedure is something like this: (0) The IB knows the yield of existing bonds with the same maturity and credit rating, so it is not too difficult for ...
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### Self study references for a Mathematician

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 ...
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### Pre-requisite math books, to the pre-requisite math needed to become a front desk quant

Really you need a degree Reading any one book from the above will not set you up. Furthermore, you will find yourself trapped in a cycle, where really none of the books you suggested can be read in ...
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### Making a beeline to statistical arbitrage

I get this question frequently from academic types, and happily for you, the path does not involve any of those books. The major gaps in your knowledge, from the point of view of statistical arbitrage,...
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### The greeks: where do they come from?

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, $\delta$...
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### what does the cover page of Guyon and Labordere's Nonlinear Option Pricing represent?

Julien Guyon was so kind as to explain the story behind the cover and gave me permission to share it with the rest of the community: There's no direct link between the contents of the book and the ...
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### What are the quantitative finance books that we should all have in our shelves?

For equities specifically: Quantitative Equity Portfolio Management: Modern Techniques and Applications, Qian, Hua, Sorensen Active Portfolio Management, Grinold and Kahn

### Book recommendation: math toolkit for quantitative finance and statistics

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 ...
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### What are the quantitative finance books that we should all have in our shelves?

« Stochastic differential equations » by Oksendal is my best reference on SDE for practionners who want a rigorous statement of all important results in the topic while maintaining a decent size for ...

### What are some good books to read to get an intuitive understanding of relevant financial topics?

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: ...
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### Step by Step Guide to Learn Quantitative Finance

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 ...
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### Books on options trading with a practical bent?

In my opinion there is one modern author on the subject of practical options trading who stands head and shoulders above the rest, and that is Euan Sinclair. His most recent book is Volatility ...
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### Book recommendation

First, a word of caution One of the problem with mathematical finance, as well as the related field of financial economics is that there is more than enough to learn to fill your schedule several ...
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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 ...
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### Book recommendation: math toolkit for quantitative finance and statistics

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/...
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### The greeks: where do they come from?

The following paper gives a simple derivation of the BSM (via a simple integration approach instead of the classical PDE approach) and the Greeks plus some intuition for each: Derivation and ...
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### Basic book on stochastic calculus, Itô and jump processes and Brownian Motion

The book Stochastic calculus for finance by Steven Shreve gives a good introduction to stochastic calculus applied to finance. A whole chapter is dedicated to the Itô Integral for example. It covers a ...
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### Basic book on stochastic calculus, Itô and jump processes and Brownian Motion

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 ...
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### How exactly are corporate bonds priced at issue

In addition to @AlexC answer there are 2 additional key points. 1) if the issue is oversubscribed the IB / syndicate team will choose the allocation to each client usually based on their relative ...
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### What are the biggest new advancements in the field of quantitative finance in the last 10 years?

So to answer your point about ML, I would say yes, it is starting to get a foothold in finance. However, this is in the sense that it starting to be more applied in a particular context. What I mean ...

### What are the quantitative finance books that we should all have in our shelves?

Simon Benninga (2014) "Financial Modelling" Fourth edition - The MIT Press Highly recommended!

### Self study references for a Mathematician

For general mathematical finance, you may start with the book Stochastic Calculus for Finance, and then the books Martingale Methods in Financial Modelling and Mathematical Methods for Financial ...
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### What does this absolute return distribution chart show?

at closer inspection of the axes I think that this is a plot of tail frequencies in basis 10. I think they sort the absolute normalized returns from low (0.0) to high ($31\approx 10^{1. 5...}$) and ...
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### Arbitrage-free prices in incomplete markets

Chapter 15 in Arbitrage Theory in Continuous Time by Tomas Björk.

### Book Recommendations on Options Derivatives

John C. Hull: Options, Futures and Other Derivatives

### Anybody knows the answer to this exercise found in PWIQF?

You can find the solution here: http://www.wiley.com/legacy/wileychi/pwiqf2/supp/c02.pdf For all solutions see my answer here: https://quant.stackexchange.com/a/16061/12
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