83
votes
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 ...
14
votes
Accepted
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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11
votes
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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10
votes
Accepted
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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9
votes
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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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8
votes
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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8
votes
Accepted
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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7
votes
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
6
votes
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 ...
- 5,123
6
votes
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 ...
5
votes
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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5
votes
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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5
votes
Accepted
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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5
votes
Accepted
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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4
votes
Recommended readings for VaR
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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4
votes
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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4
votes
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 ...
- 27.2k
4
votes
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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4
votes
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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4
votes
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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4
votes
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 ...
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3
votes
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!
3
votes
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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3
votes
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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3
votes
Arbitrage-free prices in incomplete markets
Chapter 15 in Arbitrage Theory in Continuous Time by Tomas Björk.
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3
votes
2
votes
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
- 27.2k
2
votes
Book on market microstructure
I'm reading "Trades, Quotes and Prices: Financial Markets Under the Microscope" and it's fine for me.
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2
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Self study references for a Mathematician
As you don't have any background in finance. I would recommend you following book :
Investment by Bodie
Options, Futures, and Other Derivatives by Hull
An Introduction to the Mathematics of ...
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