Books on and Related To Quantitative Finance - Part 1
This list arose as a result of research involved in the development of a series of
fairly advance Python, R and C++ courses for those working in the area of Quantitative Finance.
Quantitative finance is a technical subject that encompasses many technical disciplines and areas of applicabipity.
These include e.g. financial markets, time series analysis, risk management, financial engineering, statistical data analysis and machine learning.
The following list of books, though by no means exhaustive represents an attempt to pull together those books that may
be useful, and includes also some books that are more in the nature of "light reading" for when all that maths, computing and theory
becomes too much. Some of the books cover the basic essentials in a given are whilst other are specialised references, and most are
somewhere in between. The list is split up over several sections each made up of sub-sections covering particular areas of interest. The areas on this page - Part 1 - are concerned with historical, career and interview preparation.
Part - 2 Is concerned with Quantitative Trading, High Frequency Trading and Time Series Analysis
Part - 3 Is concerned with C++ and Python Programming and how it is used in Quantitative Finance
Part - 4 Is concerned with R Programming and how it is used in Quantitative Finance
Part - 5 will be concerned with Java Programming and how it is used in Quantitative Finance
Part - 6 will be concerned with statistics, numerical analytical and modeling methods and machine learning and how they can be applied in Quantitative Finance.
Part - 7 will be concerned with Quantitative Financial aspects of Derivatives
Part - 9 will be concerned with Volatility and Portfolio management aspect of Quantitative Finance
Part - 10 will be concerned with advanced programming and machine learning technologies and frameworks such as Matlab and CUDA
Part - 11 will be concerned with spreadsheets, data mining and data visualisation as they apply to Quantitative Finance
Part - 1 Sections
Quantitative finance lives in the context of trades and investment decisions being carried out in real
financial markets. It is not simply "pure maths and Quantum Mechanics". Markets are run by people with
all the idiosyncracies and personality flaws that that entails. These books are listed here to provide
a certain level of "cultural backgrounding". The kinds of books you might dip into on a commute to work, or
to unwind after a hard day's work. Knowing about the background and context of financial markets also
may be useful in intervies and in business situations of a more social nature.
This section contains classic books on quant/financial markets.
Remember - you may be the world's most brilliant mathematician or an uber genius programmer, but it you can't tell a stock from a bond or a bank from a fund then you may fail to impress your prospective employers as to your suitability for "that" job.
- Flash Boys: A Wall Street Revolt - Michael Lewis
- The Big Short: Inside the Doomsday Machine - Michael Lewis
- Liars Poker - Michael Lewis
- When Genius Failed: The Rise and Fall of Long-Term Capital Management - Roger Lowenstein
- More Money Than God: Hedge Funds and the Making of a New Elite - Sebastian Mallaby
- Models.Behaving.Badly.: Why Confusing Illusion with Reality Can Lead to Disaster, on Wall Street and in Life - Emanuel Derman
- How I Became a Quant: Insights from 25 of Wall Street's Elite - Richard Lindsey, Barry Schachter
- My Life as a Quant: Reflections on Physics and Finance - Emanuel Derman
- Financial Engineering: The Evolution of a Profession - Tanya Beder, Cara Marshall
- The Quants: How a New Breed of Math Whizzes Conquered Wall Street and Nearly Destroyed It - Scott Patterson
- Nerds on Wall Street: Math, Machines and Wired Markets - David Leinweber
- Physicists on Wall Street and Other Essays on Science and Society - Jeremey Bernstein
- The Complete Guide to Capital Markets for Quantitative Professionals - Alex Kuznetsov
- The Physics of Wall Street: A Brief History of Predicting the Unpredictable - James Owen Weatherall
- The Physics of Finance: Predicting the Unpredictable: How Science Has Taken Over Wall Street - James Owen Weatherall
- 150 Most Frequently Asked Questions on Quant Interviews (Pocket Book Guides for Quant Interviews) - Dan Stefanica
- Heard on the Street: Quantitative Questions from Wall Street Job Interviews - Timothy Falcon Crack
- Frequently Asked Questions in Quantitative Finance - Paul Wilmott
- Starting Your Career as a Wall Street Quant: A Practical, No-BS Guide to Getting a Job in Quantitative Finance - Brett Jiu
- Cracking the Coding Interview: 150 Programming Questions and Solutions - Gayle McDowell
- Fifty Challenging Problems in Probability with Solutions (Dover Books on Mathematics) - Frederick Mosteller
- Quant Job Interview Questions And Answers - Mark Joshi, Nick Denson, Andrew Downes
- A Practical Guide To Quantitative Finance Interviews - Xinfeng Zhou
- Cracking the Coding Interview - Gayle Laakmann McDowell
This section concerns itself with books of a more biographical and historical nature. Often whey being interviewed for a job, especially at the HR screening interview stage the interviewers probe for reasons as to why the interviewee decided upon a career in Quantitative Finance, and for a broader background knowledge about the history and evolution for Quantitative Finance as a Discipline. Or maybe even general knowledge about capital markets and the role played by "technocrats" in the functioning of these markets.
As well as an awareness of how capital markets are structured and how they function, the mathematics of derivatives pricing and quantitative trading methods, and an ability to program in C++ , CUDA and Python it is still necessary to do well in the interview and to handle the various questions and puzzle thrown at you with aplomb and confidence. This involes not only studying the content of the brainteasers, but also deconstructing figuring out how they are put together and "what is really being asked".
The following collection of books will provide ample practice.