What quant books to read before Financial Engineering for Computer Science Engineering students?

(Last Updated On: June 13, 2012)

What quant books to read before Financial Engineering for Computer Science Engineering students?

m doing my CS Engg currently. I have applied for Financial Engineering for Fall 2012. Is there any prior preparation that I can do, any books I can read, so I can be better prepared for the course ?



Stochastic calculus for Finance I and II by Steven Shreve.


You should focus on financial derivatives( John Hull).Since, you already have required computer skills with you from your Bachelor’s degree.All you need is more finance side knowledge: corporate finance, fixed income investments etc. In case you need more guidance, you can drop me a message on my profile.Good Luck!


A very useful book for preparation for an MFE program is “A Primer for the Mathematics of Financial Engineering” by Dan Stefanica and the associated solutions manual. Prof. Stefanica is the director of the Baruch MFE program and the book is based on his popular math refresher course that has been running for a few years. Having a good basis of the maths and programming is the required foundation for most of the coursework which includes Hull and Shreve in the first semester.


Here are some useful article from Joy Pathak, a blogger on Quantnet.com


Any one has the link of soft copy of “A Primer for the Mathematics of Financial Engineering” ?


You can review the topics of probability, differential equations and numerical analysis.

For probability, the books written by Sheldon Ross are written for the entry level and are pretty good (there is one called ‘First Course in Probability’ and another called ‘Probability Models’). Try to master the definitions and theorems in this book and it will be helpful when you go on to Shreve or another derivatives mathematics book. If you’ve mastered the basics, reading Shreve as Murat suggested would give you a leg up.

For differential equations, there are many books with the title ‘Advanced Engineering Mathematics’ and these are appropriate. Maybe you’ve used one already in your undergraduate studies. The one I used is by Dennis Zill, but there might be a better option. Even if you’ve gone through a book like this before, it’s good to review so everything’s closer in memory.

For numerical analysis there is a book by Kendall Atkinson called ‘An Introduction to Numerical Analysis’ and there is a lot of material on numerical analysis on the web as well.

Also, if you haven’t coded in C++ during your undergraduate, you should learn the syntax of C++ which I’m sure you will have no problem doing as a CS grad.

Good luck with you studies!


i guess there are many copies of “A Primer for the Mathematics of Financial Engineering” available at amazon.com or the like.


here is the link to the book http://www.amazon.com/gp/product/0979757622?tag=quantfinaneng-20&creativeASIN=0979757622

If by “soft copy”, you mean PDF, then there is none in existence.


You should learn some mathematical or statistical software packages like R, Matlab, and SAS


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