QuantNet.com suggests these books to get into the highly lucrative Quant career

(Last Updated On: August 17, 2010)

QuantNet.com suggests these books to get into the highly lucrative Quant career
This is a list of books that have been proved to be useful in the education of many quants. Many of these books are used in the MFE programs. Feel free to suggest other titles in different categories and I will add to the master list.
1) What do quant do ? A guide by Mark Joshi. Download
2) Paul & Dominic’s Guide to Quant Careers Version 1.95 Download (hosted by Columbia University)
3) Career in Financial Markets 2009-2010- a guide by efinancialcareers. Download or Download
4) Interview Preparation Guide by Michael Page: Quantitative Analysis. Download
5) Interview Preparation Guide by Michael Page: Quantitative Structuring. Download
6) Paul & Dominic’s Job Hunting in Interesting Times Second Edition Download
7) Peter Carr’s A Practitioner’s Guide to Mathematical Finance Download

1) How I became a Quant : Stories of 25 Top Quants
2) My life as a Quant, by Emmanual Derman
3) Working the Street by Erik Banks
4) Liar’s Poker by Michael Lewis
5) Fooled by Randomness by Nassim Nicholas Taleb
6) The Complete Guide to Capital markets for Quantitative Professionals
7) Nerds on Wall Street: Math, Machines and Wired Markets by David J. Leinweber
8) Physicists on Wall Street and Other Essays on Science and Society by Jeremy Bernstein


1) Basic Black-Scholes: Option Pricing and Trading by Timothy Falcon Crack
2) Heard on the Street: Quantitative Questions from Wall Street Job Interviews by Timothy Falcon Crack
3) Frequently asked questions in Quantitative finance
4) Starting Your Career as a Wall Street Quant
5) A Practical Guide To Quantitative Finance Interviews by Xinfeng Zhou
6) Fifty Challenging Problems in Probability with Solutions by Frederick Mosteller
7) Quant Job Interview Questions and Answers by Mark Joshi

1. The Concepts and Practice of Mathematical Finance (2nd Edition), by Mark S. Joshi
2. Paul Wilmott on Quantitative Finance, by Paul Wilmott
3. Options, Futures, and Other Derivatives, by John C. Hull
4. A Primer for the Mathematics of Financial Engineering by Dan Stefanica
5. Solutions Manual: A Primer for the Mathematics of Financial Engineering by Dan Stefanica
6. Principles of Financial Engineering (2nd Ed) by Salih Neftci
7. Quantitative Methods in Derivatives Pricing: An Introduction to Computational Finance by Domingo Tavella
8. Introduction to the Mathematics of Financial Derivatives by Salih Neftci
9. How to Solve It: A New Aspect of Mathematical Method

o Introduction to C++ for Financial Engineers: An Object-Oriented Approach by Daniel J. Duffy
o Financial Instrument Pricing Using C++ by Daniel J. Duffy
o Problems Solving with C++, 7th Edition, by Walter Savitch
o Absolute C++, 3rd Edition by Walter Savitch
o The C++ Programming Language, Special Edition, by Bjarne Stroustrup
Hardcover – 1040 pages Rev. Ed (11 February, 2000)
Addison Wesley; ISBN: 0201700735
o Thinking in C++: Introduction to Standard C++, Volume One, by Bruce Eckel
Available as free book from Bruce Eckel’s Mindview Inc: Books & Book Support
o Numerical Recipes in C
also available on-line from Numerical Recipes Home Page
o GNU Autoconf, Automake, and Libtool
also available as free book from GNU Autoconf, Automake and Libtool
o Open Source Development with CVS, by Karl Fogel
also available as free book from A CVS Book
o UML Distilled, by Martin Fowler, Kendall Scott
o Design Patterns, by E. Gamma, R. Helm, R. Johnson, J. Vlissides

o The C# Programming Language (3rd Edition)
o Pro C# 2008 and the .NET 3.5 Platform, Fourth Edition by Andrew Troelsen
o C# for Financial Markets by Daniel J. Duffy and Andrea Germani
o Computational Finance Using C and C# by George Levy
o Applied C# in Financial Markets by Martin Worner

1. Option Pricing: Mathematical Models and Computation, by P. Wilmott, J.N. Dewynne, S.D. Howison
2. Pricing Financial Instruments: The Finite Difference Method, by Domingo Tavella, Curt Randall
3. Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach by Daniel Duffy

1. Monte Carlo Methods in Finance, by Peter Jäckel
Errata available at jaeckel.org
2. Monte Carlo, by Bruno Dupire (Editor)
3. Monte Carlo Methods in Financial Engineering, by Paul Glasserman
4. Monte Carlo Frameworks in C++: Building Customisable and High-performance Applications by Daniel J. Duffy and Joerg Kienitz

o Steven Shreve: Stochastic Calculus and Finance
o Bernt Oksendal: Stochastic Differential Equations: An Introduction with Applications

1. Volatility and Correlation, by Riccardo Rebonato
2. Volatility, by Robert Jarrow (Editor)
3. Volatility Trading by Euan Sinclair

1. Interest Rate Models – Theory and Practice, by D. Brigo, F. Mercurio
updates available on-line Professional Area of Damiano Brigo’s web site
2. Modern Pricing of Interest Rate Derivatives, by Riccardo Rebonato
3. Interest-Rate Option Models, by Riccardo Rebonato
4. Efficient Methods for Valuing Interest Rate Derivatives, by Antoon Pelsser
5. Interest Rate Modelling, by Nick Webber, Jessica James

* FX
1. Foreign Exchange Risk, by Jurgen Hakala, Uwe Wystup
2. Mathematical Methods For Foreign Exchange, by Alexander Lipton

1. The Analysis of Structured Securities: Precise Risk Measurement and Capital Allocation (Hardcover)
by Sylvain Raynes and Ann Rutledge
2. Salomon Smith Barney Guide to MBS & ABS , Lakhbir Hayre, Editor
3. Securitization Markets Handbook, Structures and Dynamics of Mortgage- and Asset-backed securities by Stone & Zissu
4. Securitization, by Vinod Kothari
5. Modeling Structured Finance Cash Flows with Microsoft Excel: A Step-by-Step Guide (Wiley Finance) (Paperback)
(good for understanding the basics)
6. Structured Finance Modeling with Object-Oriented VBA (Wiley Finance) (a bit more detailed and advanced than the step by step book)

1) Collateralized Debt Obligations, by Arturo Cifuentes (out of print but worth picking up if you find a copy)
2) An Introduction to Credit Risk Modeling by Bluhm, Overbeck and Wagner (really good read, especially on how to model correlated default events & times)
3) Credit Derivatives Pricing Models: Model, Pricing and Implementation by Philipp J. Schönbucher
4) Credit Derivatives: A Guide to Instruments and Applications by Janet M. Tavakoli
5) Structured Credit Portfolio Analysis, Baskets and CDOs (Chapman & Hall/Crc Financial Mathematics Series) by Christian Bluhm and Ludger Overbeck ( Hardcover – Sep 29, 2006)

1. VAR, by various authors
2. Value at Risk, by Philippe Jorion
3. RiskMetrics Technical Document RiskMetrics Group
4. Risk and Asset Allocation by Attilio Meucci


The Little SAS Book: A Primer, Third Edition by Lora D. Delwiche and Susan J. Slaughter
Modeling Financial Time Series with S-PLUS
Statistical Analysis of Financial Data in S-PLUS
Modern Applied Statistics with S


1. Implementing Derivative Models, by Les Clewlow, Chris Strickland
Errata available at Error
2. The Complete Guide to Option Pricing Formulas, by Espen Gaarder Haug

1. Advanced modelling in finance using Excel and VBA, by Mary Jackson, Mike Staunton
2. Financial Modeling, 3rd Edition (2008), by Simon Benninga
3. Advanced Modelling in Derivatives Using Vba by Mike Staunton
4. Credit Risk Modeling using Excel and VBA by Gunter Loeffler , Peter N. Posch

1. Definitive Guide to Excel VBA (2nd edition), by Michael Kofler
2. Excel 2007 VBA Programmer’s Reference, by John Green, Stephen Bullen, Rob Bovey, Robert Rosenberg
3. Excel 2007 Power Programing with VBA, by John Walkenbach
4. Excel 2007 Formulas, by John Walkenbach
5. Excel Hacks: Tips & Tools for Streamlining Your Spreadsheets by David Hawley and Raina Hawley

Free Python book http://www.diveintopython.org/

o Energy Derivatives, by Les Clewlow, Chris Strickland
Hardcover (August 2000)
Lacima Group; ISBN: 0953889602
o Hull-White on Derivatives, by John Hull, Alan White
Paperback – 356 pages (June 1996)
Risk Books; ISBN: 1899332456
o Exotic Options: The State of the Art, by Les Clewlow (Editor), Chris Strickland (Editor)
Hardcover (June 1997)
International Thomson Business Press; ISBN: 0412631709
o Market Models, by C.O. Alexander
Hardcover – 514 pages (26 September, 2001)
John Wiley and Sons Ltd; ISBN: 0471899755
o Pricing, Hedging, and Trading Exotic Options, by Israel Nelken
o Modelling Fixed Income Securities and Interest Rate Options, by Robert A. Jarrow
Hardcover (October 1995)
McGraw Hill College Div; ISBN: 0070323739
o Black-Scholes and Beyond, by Neil A. Chriss
Hardcover – 500 pages (30 September, 1996)
Irwin Professional (USA); ISBN: 0786310251
o Risk Management and Analysis: Measuring and Modelling Financial Risk, by Carol Alexander (Editor)
Hardcover – 304 pages Revised Ed (12 November, 1998)
John Wiley and Sons Ltd; ISBN: 0471979570
o Mastering Risk: Volume 2 – Applications: Your Single-Source Guide to Becoming a Master of Risk, by Carol Alexander
Paperback – 264 pages 1 (24 October, 2001)
Pearson Education; ISBN: 0273654365

Master reading list in Quantitative Finance

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