Quantitative Finance Reading List

2023-10-21 12:13:22

https://www.quantstart.com/articles/Quantitative-Finance-Reading-List/

This is the big one!

I've tried to list as many great quantitative finance books as I can.

The lists cover general quant finance, careers guides, interview prep, quant trading, mathematics, numerical methods and programming in C++, Python, Excel, MatLab and R.

Quantitative Finance Reading List
Canary Wharf Tube Station, London - Many investment banks reside here, via Harshil.Shah

If you have any suggestions for more books, please contact me at mike@quantstart.com and I'll get them added.

This list was last updated on 27th July 2013.

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General Quant Finance Reading

One area that routinely catches out prospective quants at interview is their lack of basic financial markets knowledge. It's all well and good being the best mathematician and programmer on the globe, but if you can't tell your stock from your bond, or your bank from your fund, you'll find it a lot harder to pass those HR screenings.

These books also make much better bedtime reading than graduate texts on stochastic calculus...

Interview Preparation

On top of needing to be aware of capital markets and how they function, the mathematics of derivatives pricing and quantitative trading methods, being able to program in C++ and possibly Python, you also need to study how to ace that quant interview!

The following books are fantastic resources for getting you prepared. Make sure you study not only the content of the brainteasers, but also try deconstructing how they're put together and what you're really being asked.

Quantitative Finance Reading List
Bank Of America, Canary Wharf, via Harshil.Shah

Quantitative/High-Frequency Trading

The career paths for quants have shifted recently towards direct quantitative trading and away from derivatives pricing.

Although Black-Scholes theory is still immensely important for hedging and exotic option pricing purposes, it is now necessary to be intimately familiar with systematic trading and the firms that employ it.

It is difficult to get hold of information from funds about their trading strategies (no surprise there!), but these books provide an in-depth overview into how the "black box" operates.

Econometrics

Financial econometrics is a key component of modern algorithmic trading. Cutting edge algorithms make extensive use of time-series analysis techniques for forecasting purposes. Thus, if you wish someday to become a skilled quantitative trader, it is necessary to have an extensive knowledge of econometrics.

You can read more about the recommended texts in my article on the Top 10 Essential Resources for Learning Financial Econometrics.

Mathematical Finance

This would more accurately be described as financial engineering as the books listed below relate to derivatives pricing theory.

Although you don't need to read every book below, they are all good. Each provides a different perspective or emphasis on options pricing theory.

If you know you are definitely going to become a derivatives pricing quant then you should aim to study as many books from the following list as possible.

Quantitative Finance Reading List
Gherkin and Lloyds Building, London, via Duncan Harris

Interest Rate Derivatives

C++

C++ is one of the hardest areas for beginning quants to get to grips with.

Since it is such a large programming language, and may in fact be a quant's first taste of programming, it can be extremely daunting.

The first five books on the list, if understood properly, would make you a competent C++ programmer. By reading the remainder, you will become an expert and probably the best in your peer group.

Python

In recent years Python has rapidly become a staple in the quantitative finance world.

I personally know of many funds that employ it as the end-to-end computational infrastructure for carrying out systematic trading.

It is an easy language to learn, but it is harder to master, because it has many useful libraries. Regardless of which type of quant you wish to become, I would suggest learning Python, as it is only going to become more widely adopted as time goes on.

Quantitative Finance Reading List
City of London, via Duncan Harris

MATLAB

Although Python is rapidly gaining ground in the hedge fund space, many exceptional individuals were trained up on MatLab in academia and took that expertise to the financial markets. You will still see a substantial usage of MatLab within funds.

If you have been applying for jobs with MatLab in the job description, the following books will help you impress your interviwer.

R

As with MatLab, R is extensively used within systematic funds as it is a natural language with which to carry out advanced statistical analysis.

A great way to learn R is to pair the following books with an online course in statistics (which will often make use of R anyway). This will really help you get to grips with the methods of quantitative trading.

Excel/VBA

Although not possessing the computational horsepower of C++ or Python, Excel is probably the most widely used software in the financial world.

If you are working on an investment banking prop trading desk as a quant, you will almost certainly be asked to implement functions in Excel for the traders at some stage. Having a working knowledge of Excel prior to interview will give you yet another edge over your peers when applying for that exciting quant role.

Phew! That was quite an extensive list. Congratulations if you have made it this far...

Please send me any suggestions of great quant books you've read that have helped you on your way. I am always willing to add more to this list. You can contact me by sending an email to mike@quantstart.com.

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