本文在Creative Commons许可证下发布。
FRM Handbook, 不深入的话这是一本神书..
Optimization (Linear Programming, Quadratic Programming, Stochastic Programming
etc.):
Optimization Methods in Finance
Stochastic Calculus: Stochastic Calculus for Finance II Shreve
General Knowledge: (Martingale什么的缺了点)
Investment Science
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FREE QUANT CAREER GUIDES
- What do quant do ? A guide by Mark Joshi. Download
CAREER AS A QUANT
- The Complete Guide to Capital Markets for Quantitative Professionals
- Financial Engineering: The Evolution of a Profession
- My Life as a Quant: Reflections on Physics and Finance
- The Quants: How a New Breed of Math Whizzes Conquered Wall Street and Nearly Destroyed It
- How I Became a Quant: Insights from 25 of Wall Street's Elite
- The Big Short: Inside the Doomsday Machine
- Nerds on Wall Street: Math, Machines and Wired Markets
- Physicists on Wall Street and Other Essays on Science and Society
GOOD BOOKS TO READ BEFORE STARTING MFE PROGRAM
- A Primer For The Mathematics Of Financial Engineering, Second Edition
- Financial Options: From Theory to Practice
- Paul Wilmott on Quantitative Finance 3 Volume Set (2nd Edition)
- An Introduction to the Mathematics of Financial Derivatives, Second Edition by Salih Neftci
- Options, Futures, and Other Derivatives (8th Edition) by John Hull
- Principles of Financial Engineering, Second Edition by Salih Neftci
- Elementary Stochastic Calculus With Finance in View by Thomas Mikosch
- The Concepts and Practice of Mathematical Finance by Mark Joshi
- Financial Options: From Theory to Practice by Stephen Figlewski
- Financial Calculus : An Introduction to Derivative Pricing by Martin Baxter
- A Course in Financial Calculus by Etheridge Alison
- The Mathematics of Financial Derivatives: A Student Introduction by Paul Wilmott
- Frequently Asked Questions in Quantitative Finance by Paul Wilmott
- Derivatives Markets by Robert L. McDonald
- An Undergraduate Introduction to Financial Mathematics by Robert Buchanan
GENERAL READING ON WALL STREET
- Liar's Poker: Rising Through the Wreckage on Wall Street
- Monkey Business: Swinging Through the Wall Street Jungle
- Reminiscences of a Stock Operator
- Working the Street: What You Need to Know About Life on Wall Street
- Fiasco: The Inside Story of a Wall Street Trader
- Den of Thieves
- When Genius Failed: The Rise and Fall of Long-Term Capital Management
- Traders, Guns & Money: Knowns and unknowns in the dazzling world of derivatives
- The Greatest Trade Ever: The Behind-the-Scenes Story of How John Paulson Defied Wall Street and Made Financial History
- Goldman Sachs : The Culture of Success
- The House of Morgan: An American Banking Dynasty and the Rise of Modern Finance
- Wall Street: A History: From Its Beginnings to the Fall of Enron
- The Murder of Lehman Brothers: An Insider’s Look at the Global Meltdown
- On the Brink: Inside the Race to Stop the Collapse of the Global Financial System
- House of Cards: A Tale of Hubris and Wretched Excess on Wall Street
- Too Big to Fail: The Inside Story of How Wall Street and Washington Fought to Save the Financial System-and Themselves
- Liquidated: An Ethnography of Wall Street
- Fortune’s Formula: The Untold Story of the Scientific Betting System That Beat the Casinos and Wall Street
PROGRAMMING
C++ (ordered by level of difficulty)
- Problem Solving with C++ (9th Edition) by Walter Savitch
- C++ How to Program (8th Edition) by Harvey Deitel
- Absolute C++ (5th Edition) by Walter Savitch
- Thinking in C++: Introduction to Standard C++, Volume One by Bruce Eckel
- Thinking in C++: Practical Programming, Volume Two by Bruce Eckel
- The C++ Programming Language: Special Edition by Bjarne Stroustrup (C++ inventor)
- Effective C++: 55 Specific Ways to Improve Your Programs and Designs by Scot Myers
- C++ Primer (4th Edition) by Stanley Lippman
- C++ Design Patterns and Derivatives Pricing (2nd edition) by Mark Joshi
- Financial Instrument Pricing Using C++ by Daniel Duffy
C# (ordered by level of difficulty)
- C# 2010 for Programmers (4th Edition)
- Computational Finance Using C and C# by George Levy
- C# in Depth, Second Edition by Jon Skeet
F# (ordered by level of difficulty)
- Programming F#: An introduction to functional language by Chris Smith
- F# for Scientists by Jon Harrops (Microsoft Researcher)
- Real World Functional Programming: With Examples in F# and C#
- Expert F# 2.0 by Don Syme
- Beginning F# by Robert Pickering
Matlab (ordered by level of difficulty)
- Matlab: A Practical Introduction to Programming and Problem Solving
- Numerical Methods in Finance and Economics: A MATLAB-Based Introduction (Statistics in Practice)
Excel
- Excel 2007 Power Programming with VBA by John Walkenbach
- Excel 2007 VBA Programmer’s Reference
- Financial Modeling by Simon Benninga
- Excel Hacks: Tips & Tools for Streamlining Your Spreadsheets
- Excel 2007 Formulas by John Walkenbach
VBA
- Advanced modelling in finance using Excel and VBA by Mike Staunton
- Implementing Models of Financial Derivatives: Object Oriented Applications with VBA
Python
- Learning Python: Powerful Object-Oriented Programming
- Python Cookbook
FINITE DIFFERENCES
- Option Pricing: Mathematical Models and Computation, by P. Wilmott, J.N. Dewynne, S.D. Howison
- Pricing Financial Instruments: The Finite Difference Method, by Domingo Tavella, Curt Randall
- Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approachby Daniel Duffy
MONTE CARLO
- Monte Carlo Methods in Finance, by Peter Jäcke (errata available at jaeckel.org)
- Monte Carlo Methodologies and Applications for Pricing and Risk Management , by Bruno Dupire (Editor)
- Monte Carlo Methods in Financial Engineering, by Paul Glasserman
- Monte Carlo Frameworks in C++: Building Customisable and High-performance Applicationsby Daniel J. Duffy and Joerg Kienitz
- Risk Management and Simulation by Aparna Gupta
STOCHASTIC CALCULUS
- Stochastic Calculus and Finance by Steven Shreve (errata attached)
- Stochastic Differential Equations: An Introduction with Applications by Bernt Oksendal
VOLATILITY
- Volatility and Correlation, by Riccardo Rebonato
- Volatility, by Robert Jarrow (Editor)
- Volatility Trading by Euan Sinclair
INTEREST RATE
- Interest Rate Models - Theory and Practice, by D. Brigo, F. Mercurio updates available on-lineProfessional Area of Damiano Brigo's web site
- Modern Pricing of Interest Rate Derivatives, by Riccardo Rebonato
- Interest-Rate Option Models, by Riccardo Rebonato
- Efficient Methods for Valuing Interest Rate Derivatives, by Antoon Pelsser
- Interest Rate Modelling, by Nick Webber, Jessica James
FX
- Foreign Exchange Risk, by Jurgen Hakala, Uwe Wystup
- Mathematical Methods For Foreign Exchange, by Alexander Lipton
STRUCTURED FINANCE
- The Analysis of Structured Securities: Precise Risk Measurement and Capital Allocation(Hardcover) by Sylvain Raynes and Ann Rutledge
- Salomon Smith Barney Guide to MBS & ABS, Lakhbir Hayre, Editor
- Securitization Markets Handbook, Structures and Dynamics of Mortgage- and Asset-backed securities by Stone & Zissu
- Securitization, by Vinod Kothari
- Modeling Structured Finance Cash Flows with Microsoft Excel: A Step-by-Step Guide (good for understanding the basics)
- Structured Finance Modeling with Object-Oriented VBA (a bit more detailed and advanced than the step by step book)
STRUCTURED CREDIT
- Collateralized Debt Obligations, by Arturo Cifuentes
- An Introduction to Credit Risk Modeling by Bluhm, Overbeck and Wagner (really good read, especially on how to model correlated default events & times)
- Credit Derivatives Pricing Models: Model, Pricing and Implementation by Philipp J. Schönbucher
- Credit Derivatives: A Guide to Instruments and Applications by Janet M. Tavakoli
- Structured Credit Portfolio Analysis, Baskets and CDOs by Christian Bluhm and Ludger Overbeck
RISK MANAGEMENT/VAR
- VAR Understanding and Applying Value at Risk, by various authors
- Value at Risk, by Philippe Jorion
- RiskMetrics Technical Document RiskMetrics Group
- Risk and Asset Allocation by Attilio Meucci
SAS/S/S-PLUS
- The Little SAS Book: A Primer, Fourth 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
HANDS ON
- Implementing Derivative Models, by Les Clewlow, Chris Strickland
- The Complete Guide to Option Pricing Formulas, by Espen Gaarder Haug
NOT ENOUGH YET?
- Energy Derivatives: Pricing and Risk Management, by Les Clewlow, Chris Strickland
- Hull-White on Derivatives, by John Hull, Alan White 1899332456
- Exotic Options: The State of the Art, by Les Clewlow (Editor), Chris Strickland (Editor)
- Market Models, by C.O. Alexander
- Pricing, Hedging, and Trading Exotic Options, by Israel Nelken
- Modelling Fixed Income Securities and Interest Rate Options, by Robert A. Jarrow
- Black-Scholes and Beyond, by Neil A. Chriss
- Risk Management and Analysis: Measuring and Modelling Financial Risk, by Carol Alexander
- Mastering Risk: Volume 2 - Applications: Your Single-Source Guide to Becoming a Master of Risk, by Carol Alexander