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Quantitative finance is a technical and wide-reaching subject. It covers financial markets, time series analysis, risk management, financial

engineering, statistics and machine learning.

The following books begin with the absolute basics for each subject area and gradually increase the level of difficulty. You needn't read all of them,

but you should certainly study a few in depth.

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The lists cover general quant finance, careers guides, interview prep, quant trading, mathematics, statistical analysis and programming in C++,

Python and R.

General Quant Finance

Interview Preparation

Quantitative Trading

Time Series Analysis

Financial Engineering

Interest Rate Derivatives

C++ Programming

Python

General Quantitative Finance

This section contains classic books on quant/financial markets.
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...

Flash Boys: A Wall Street Revolt (http://amzn.to/27V3p65) - Michael Lewis

The Big Short: Inside the Doomsday Machine (http://www.amazon.com/gp/product/B00ANYJ3NI/ref=as_li_tf_tl?

ie=UTF8&camp=1789&creative=9325&creativeASIN=B00ANYJ3NI&linkCode=as2&tag=quant0f-20) - Michael Lewis

Liar's Poker (http://www.amazon.com/gp/product/039333869X/ref=as_li_tf_tl?

ie=UTF8&camp=1789&creative=9325&creativeASIN=039333869X&linkCode=as2&tag=quant0f-20) - Michael Lewis

When Genius Failed: The Rise and Fall of Long-Term Capital Management (http://www.amazon.com/gp/product/0375758259/ref=as_li_tf_tl?
ie=UTF8&camp=1789&creative=9325&creativeASIN=0375758259&linkCode=as2&tag=quant0f-20) - Roger Lowenstein

More Money Than God: Hedge Funds and the Making of a New Elite (http://www.amazon.com/gp/product/0143119419/ref=as_li_tf_tl?
ie=UTF8&camp=1789&creative=9325&creativeASIN=0143119419&linkCode=as2&tag=quant0f-20) - Sebastian Mallaby

How I Became a Quant: Insights from 25 of Wall Street's Elite (http://www.amazon.com/gp/product/0470452579/ref=as_li_tf_tl?

ie=UTF8&camp=1789&creative=9325&creativeASIN=0470452579&linkCode=as2&tag=quant0f-20) - Richard Lindsey, Barry Schachter

My Life as a Quant: Reflections on Physics and Finance (http://www.amazon.com/gp/product/0470192739/ref=as_li_tf_tl?

ie=UTF8&camp=1789&creative=9325&creativeASIN=0470192739&linkCode=as2&tag=quant0f-20) - Emanuel Derman

Financial Engineering: The Evolution of a Profession (http://www.amazon.com/gp/product/0470455810/ref=as_li_tf_tl?

ie=UTF8&camp=1789&creative=9325&creativeASIN=0470455810&linkCode=as2&tag=quant0f-20) - Tanya Beder, Cara Marshall

The Quants: How a New Breed of Math Whizzes Conquered Wall Street and Nearly Destroyed It
(http://www.amazon.com/gp/product/0307453383/ref=as_li_tf_tl?
ie=UTF8&camp=1789&creative=9325&creativeASIN=0307453383&linkCode=as2&tag=quant0f-20) - Scott Patterson

Nerds on Wall Street: Math, Machines and Wired Markets (http://www.amazon.com/gp/product/0471369462/ref=as_li_tf_tl?

ie=UTF8&camp=1789&creative=9325&creativeASIN=0471369462&linkCode=as2&tag=quant0f-20) - David Leinweber

Physicists on Wall Street and Other Essays on Science and Society (http://www.amazon.com/gp/product/1441926240/ref=as_li_tf_tl?
ie=UTF8&camp=1789&creative=9325&creativeASIN=1441926240&linkCode=as2&tag=quant0f-20) - Jeremey Bernstein

The Complete Guide to Capital Markets for Quantitative Professionals (http://www.amazon.com/gp/product/0071468293/ref=as_li_tf_tl?

ie=UTF8&camp=1789&creative=9325&creativeASIN=0071468293&linkCode=as2&tag=quant0f-20) - Alex Kuznetsov

Models.Behaving.Badly.: Why Confusing Illusion with Reality Can Lead to Disaster, on Wall Street and in Life
(http://www.amazon.com/gp/product/1439164991/ref=as_li_tf_tl?
ie=UTF8&camp=1789&creative=9325&creativeASIN=1439164991&linkCode=as2&tag=quant0f-20) - Emanuel Derman

Interview Preparation
Books to help you prepare for quant job interviews.

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 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.
 Heard on The Street: Quantitative Questions from Wall Street Job Interviews (http://www.amazon.com/gp/product/0970055285/ref=as_li_tf_tl?
ie=UTF8&camp=1789&creative=9325&creativeASIN=0970055285&linkCode=as2&tag=quant0f-20) - Timothy Crack

Frequently Asked Questions in Quantitative Finance (http://www.amazon.com/gp/product/0470748753/ref=as_li_tf_tl?

ie=UTF8&camp=1789&creative=9325&creativeASIN=0470748753&linkCode=as2&tag=quant0f-20) - Paul Wilmott

Quant Job Interview Questions And Answers (http://www.amazon.com/gp/product/143821703X/ref=as_li_tf_tl?

ie=UTF8&camp=1789&creative=9325&creativeASIN=143821703X&linkCode=as2&tag=quant0f-20) - Mark Joshi, Nick Denson, Andrew Downes

A Practical Guide To Quantitative Finance Interviews (http://www.amazon.com/gp/product/1438236662/ref=as_li_tf_tl?

ie=UTF8&camp=1789&creative=9325&creativeASIN=1438236662&linkCode=as2&tag=quant0f-20) - Xinfeng Zhou

Starting Your Career as a Wall Street Quant: A Practical, No-BS Guide to Getting a Job in Quantitative Finance
(http://www.amazon.com/gp/product/1453823859/ref=as_li_tf_tl?
ie=UTF8&camp=1789&creative=9325&creativeASIN=1453823859&linkCode=as2&tag=quant0f-20) - Brett Jiu

Cracking the Coding Interview: 150 Programming Questions and Solutions (http://www.amazon.com/gp/product/098478280X/ref=as_li_tf_tl?
ie=UTF8&camp=1789&creative=9325&creativeASIN=098478280X&linkCode=as2&tag=quant0f-20) - Gayle McDowell

Quantitative Trading/HFT
Key books to help you learn quantitative, systematic and algorithmic 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.

Successful Algorithmic Trading (http://www.quantstart.com/successful-algorithmic-trading-ebook) - Michael Halls-Moore (our first trading

book)

Advanced Algorithmic Trading (http://www.quantstart.com/advanced-algorithmic-trading-ebook) - Michael Halls-Moore (our second trading

book)

Quantitative Trading: How to Build Your Own Algorithmic Trading Business (http://amzn.to/1sBTNwo) - Ernie Chan

Algorithmic Trading: Winning Strategies and Their Rationale (http://amzn.to/1RwdNFz) - Ernie Chan

Inside the Black Box: A Simple Guide to Quantitative and High Frequency Trading (http://amzn.to/1WQkyKq) - Rishi Narang

The Truth About High-Frequency Trading: What Is It, How Does It Work, and Is It a Problem? (http://amzn.to/1Rwfp2a) - Rishi Narang, Manoj
Narang

Algorithmic and High-Frequency Trading (http://amzn.to/1WZL9Fn) - Álvaro Cartea, Sebastian Jaimungal, José Penalva

The Science of Algorithmic Trading and Portfolio Management (http://amzn.to/1sBTAcS) - Robert Kissell

Algorithmic Trading and DMA: An introduction to direct access trading strategies (http://amzn.to/1XW4beE) - Barry Johnson

Volatility Trading (http://amzn.to/1RwfrqI) - Euan Sinclair

Trading and Exchanges: Market Microstructure for Practitioners (http://amzn.to/1WZMf4b) - Larry Harris

Time Series Analysis

Key texts to help you learn prediction and forecasting of multivariate time series.
Time series analysis and financial econometrics are key components of modern algorithmic trading - allowing prediction and forecasting of asset

prices.

Time series analysis techniques are widely used in quantitative finance, including asset management and quant hedge funds, for forecasting

purposes. Thus if you wish someday to become a skilled quantitative trader it is necessary to have an extensive knowledge of statistical time series

analysis and financial econometrics.

The following books will take you from introductory time series and econometrics through to advanced multivariate time series theory at a

reasonably comprehensive mathematical level:

Schaum's Outline of Statistics and Econometrics (http://amzn.to/1sBVD0z) - Dominick Salvatore, Derrick Reagle

Introductory Econometrics for Finance (http://amzn.to/1sBVYQG) - Chris Brooks

Introduction to Time Series and Forecasting (http://amzn.to/1seP0Bt) -Peter Brockwell, Richard Davis

Time Series: Theory and Methods (http://amzn.to/1UhxO7m) - Peter Brockwell, Richard Davis

Analysis of Financial Time Series (http://amzn.to/1WQlwpW) - Ruey Tsay

Multivariate Time Series Analysis: With R and Financial Applications (http://amzn.to/1seO9AB) - Ruey Tsay

Time Series Analysis (http://amzn.to/1sePojn) - James Douglas Hamilton

Financial Engineering
Derivatives pricing via applied stochastic calculus models.

Derivatives pricing is still a key part of the financial industry, particularly for fixed income and credit asset classes, and relies on theory developed

from stochastic calculus.

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 have your heart set on becoming a derivatives pricing quant, perhaps working in equities, credit, fixed income or foreign exchange, then you

should aim to study as many books from the following list as possible:

Options, Futures, and Other Derivatives (http://www.amazon.com/gp/product/0132777428/ref=as_li_tf_tl?

ie=UTF8&camp=1789&creative=9325&creativeASIN=0132777428&linkCode=as2&tag=quant0f-20) - John Hull

A Primer For The Mathematics Of Financial Engineering (http://www.amazon.com/gp/product/0979757622/ref=as_li_tf_tl?

ie=UTF8&camp=1789&creative=9325&creativeASIN=0979757622&linkCode=as2&tag=quant0f-20) - Dan Stefanica

Solutions Manual - A Primer For The Mathematics Of Financial Engineering (http://www.amazon.com/gp/product/0979757614/ref=as_li_tf_tl?

ie=UTF8&camp=1789&creative=9325&creativeASIN=0979757614&linkCode=as2&tag=quant0f-20) - Dan Stefanica

Paul Wilmott Introduces Quantitative Finance (http://www.amazon.com/gp/product/0470319585/ref=as_li_tf_tl?

ie=UTF8&camp=1789&creative=9325&creativeASIN=0470319585&linkCode=as2&tag=quant0f-20) - Paul Wilmott

Paul Wilmott on Quantitative Finance (http://www.amazon.com/gp/product/0470018704/ref=as_li_tf_tl?

ie=UTF8&camp=1789&creative=9325&creativeASIN=0470018704&linkCode=as2&tag=quant0f-20) - Paul Wilmott

The Concepts and Practice of Mathematical Finance (http://amzn.to/1sBXqm5) - Mark Joshi

More Mathematical Finance (http://amzn.to/1U06nMF) - Mark Joshi

Financial Calculus: An Introduction to Derivative Pricing (http://www.amazon.com/gp/product/0521552893/ref=as_li_tf_tl?

ie=UTF8&camp=1789&creative=9325&creativeASIN=0521552893&linkCode=as2&tag=quant0f-20) - Martin Baxter, Andrew Rennie

An Introduction to the Mathematics of Financial Derivatives (http://amzn.to/1U06U0W) - Ali Hirsa, Salih Neftci
 Principles of Financial Engineering (http://amzn.to/1WQmpPf) - Robert Kosowski, Salih Neftci

Mathematics for Finance: An Introduction to Financial Engineering (http://www.amazon.com/gp/product/0857290819/ref=as_li_tf_tl?

ie=UTF8&camp=1789&creative=9325&creativeASIN=0857290819&linkCode=as2&tag=quant0f-20) - Marek Capiski, Tomasz Zastawniak

Arbitrage Theory in Continuous Time (http://www.amazon.com/gp/product/019957474X/ref=as_li_tf_tl?

ie=UTF8&camp=1789&creative=9325&creativeASIN=019957474X&linkCode=as2&tag=quant0f-20) - Tomas Bjork

The Complete Guide to Option Pricing Formulas (http://www.amazon.com/gp/product/0071389970/ref=as_li_tf_tl?

ie=UTF8&camp=1789&creative=9325&creativeASIN=0071389970&linkCode=as2&tag=quant0f-20) - Espen Haug

Interest Rate Derivatives

Fixed income derivative modelling via advanced mathematical techniques.

The fixed income derivatives market is the largest global derivatives market, driven largely by investor demand for specific views on interest rates or

cashflow requirements.

Modelling of interest rate derivatives requires complex mathematics and necessitates a solid understanding of stochastic calculus techniques. The

following texts introduce the main models:

Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit (http://www.amazon.com/gp/product/3540221492/ref=as_li_tf_tl?
ie=UTF8&camp=1789&creative=9325&creativeASIN=3540221492&linkCode=as2&tag=quant0f-20) - Damiano Brigo, Fabio Mercurio

Interest Rate Modeling - Vol I: Foundations and Vanilla Models (http://www.amazon.com/gp/product/0984422102/ref=as_li_tf_tl?

ie=UTF8&camp=1789&creative=9325&creativeASIN=0984422102&linkCode=as2&tag=quant0f-20) - Leif Andersen, Vladimir Piterbarg

Interest Rate Modeling - Vol II: Term Structure Models (http://www.amazon.com/gp/product/0984422110/ref=as_li_tf_tl?

ie=UTF8&camp=1789&creative=9325&creativeASIN=0984422110&linkCode=as2&tag=quant0f-20) - Leif Andersen, Vladimir Piterbarg

Interest Rate Modeling - Vol III: Products and Risk Management (http://www.amazon.com/gp/product/0984422129/ref=as_li_tf_tl?
ie=UTF8&camp=1789&creative=9325&creativeASIN=0984422129&linkCode=as2&tag=quant0f-20) - Leif Andersen, Vladimir Piterbarg

The SABR/LIBOR Market Model: Pricing, Calibration and Hedging for Complex Interest-Rate Derivatives
(http://www.amazon.com/gp/product/0470740051/ref=as_li_tf_tl?
ie=UTF8&camp=1789&creative=9325&creativeASIN=0470740051&linkCode=as2&tag=quant0f-20) - Riccardo Rebonato, Kenneth McKay, Richard
White

Discounting, Libor, CVA and Funding: Interest Rate and Credit Pricing (http://www.amazon.com/gp/product/1137268514/ref=as_li_tf_tl?
ie=UTF8&camp=1789&creative=9325&creativeASIN=1137268514&linkCode=as2&tag=quant0f-20) - Chris Kenyon, Roland Stamm

Interest Rate Swaps and Their Derivatives: A Practitioner's Guide (http://www.amazon.com/gp/product/0470443944/ref=as_li_tf_tl?

ie=UTF8&camp=1789&creative=9325&creativeASIN=0470443944&linkCode=as2&tag=quant0f-20) - Amir Sadr

Term-Structure Models: A Graduate Course (http://www.amazon.com/gp/product/3540097260/ref=as_li_tf_tl?

ie=UTF8&camp=1789&creative=9325&creativeASIN=3540097260&linkCode=as2&tag=quant0f-20) - Damir Filipovic

C++ Programming
Classic and modern texts on how to become an expert C++ programmer.

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 quants

first taste of programming, it can be extremely daunting.

The first six books on the list, if understood properly, would make you a competent C++ programmer. By reading the remainder, you will (eventually)

become an expert:
Beginner C++
These books are designed for learning the basics and how to utilise the language effectively:

C++ for Quantitative Finance (http://www.quantstart.com/cpp-for-quantitative-finance-ebook/) - Michael Halls-Moore (our C++ book on
derivatives pricing)

Sams Teach Yourself C++ in One Hour a Day (http://amzn.to/1sC5001) - Siddhartha Rao (7th edition, covering C++11)

C++: A Beginner's Guide (http://amzn.to/1XC1zlK) - Herbert Schildt

Accelerated C++: Practical Programming by Example (http://amzn.to/1ORmPgF) - Andrew Koenig, Barbara Moo

Effective C++: 55 Specific Ways to Improve Your Programs and Designs (http://amzn.to/1sC5287) - Scott Meyers

C++ Design Patterns and Derivatives Pricing (http://amzn.to/1sf1atP) - Mark Joshi

Intermediate C++
These books will cover nearly everything a practising quant will likely ever need to learn about C++ itself:

More Effective C++: 35 New Ways to Improve Your Programs and Designs (http://amzn.to/1sC5qne) - Scott Meyers

Effective STL: 50 Specific Ways to Improve Your Use of the Standard Template Library (http://amzn.to/1ORnQ8j) - Scott Meyers

Effective Modern C++: 42 Specific Ways to Improve Your Use of C++11 and C++14 (http://amzn.to/1XC1rD0) - Scott Meyers

Discovering Modern C++: An Intensive Course for Scientists, Engineers, and Programmers (http://amzn.to/1XC3gjk) - Peter Gottschling

Advanced/Reference C++
For those who wish to become the best in their peer group and/or work in high-frequency trading, you will need to know a lot more about the

language, including template programming, the ins-and-outs of the STL and Linux programming:

The C++ Standard Library: A Tutorial and Reference (http://amzn.to/1UhMZND) - Nicholai Josuttis

The C++ Programming Language, 4th Edition (http://amzn.to/1sC6Bmw) - Bjarne Stroustrup

C++ Concurrency in Action: Practical Multithreading (http://amzn.to/1sf2pcI) - Anthony Williams

Optimized C++ (http://amzn.to/1sf32D6) - Kurt Guntheroth

C++ Templates: The Complete Guide (http://amzn.to/1sf2Gfz) - David Vandevoorde, Nicolai Josuttis

The Linux Programming Interface: A Linux and UNIX System Programming Handbook (http://amzn.to/1XC42fZ) - Michael Kerrisk

Advanced Programming in the UNIX Environment, 3rd Edition (http://amzn.to/1P3o15X) - W. Richard Stevens, Stephen A. Rago

Unix Network Programming, Volume 1: The Sockets Networking API (3rd Edition) (http://amzn.to/1XC4bAa) - W. Richard Stevens, Bill Fenner,
Andrew M. Rudoff

Design Patterns: Elements of Reusable Object-Oriented Software (http://amzn.to/1X09Sth) - Erich Gamma, Richard Helm, Ralph Johnson, John
Vlissides

Python Programming
Classic and modern texts on how to become an expert Python programmer.

In recent years Python has 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, due to the many libraries a quant will use. 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:

Beginner Python
These books are designed for learning the basics and how to utilise Python - and its many scientific libraries - effectively:

Learning Python, 5th Edition (http://amzn.to/1X0sSYA) - Mark Lutz

Think Python, 2nd Edition (http://amzn.to/1Ui2GV4) - Allen Downey

Learn Python the Hard Way, 3rd Edition (http://amzn.to/1THiV1h) - Zed Shaw

Intermediate/Advanced Python
These books will cover nearly everything a practising quant will likely ever need to learn about programming in Python and using its libraries -

particularly with regard to data science, machine learning and quant finance:

Programming Python, 4th Edition (http://amzn.to/1TJi6Sn) - Mark Lutz

Python for Data Analysis: Data Wrangling with Pandas, NumPy, and IPython (http://amzn.to/1XCi3dN) - Wes McKinney

Data Science from Scratch: First Principles with Python (http://amzn.to/1sCiPvs) - Joel Grus

Data Wrangling with Python: Tips and Tools to Make Your Life Easier (http://amzn.to/1X0uthd) - Jacqueline Kazil, Katharine Jarmul

Python for Finance: Analyze Big Financial Data (http://amzn.to/1X0uPV5) - by Yves Hilpisch

Effective Python: 59 Specific Ways to Write Better Python (http://amzn.to/1sCjrRY) - Brett Slatkin

High Performance Python: Practical Performant Programming for Humans (http://amzn.to/1X0vCVP) - Micha Gorelick, Ian Ozsvald

Python 3 Object-Oriented Programming, 2nd Edition (http://amzn.to/1NS7fq6) - Dusty Phillips

Python Machine Learning (http://amzn.to/1XCjCs8) - Sebastian Raschka

R Programming
Textbooks on learning the R statistical programming environment.

R is an advanced statistical programming environment used widely within systematic quant funts and investment banks.

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.

In addition numerous books have been written on various statistical topics, often using R as the implementation language:

Beginner R
These books are designed for learning the basics of statistics with R, as related to quantitative finance:

Introductory Statistics with R, 2nd Edition (http://amzn.to/1TJkhW2) - Peter Dalgaard

A Beginner's Guide to R (http://amzn.to/1sfpOKQ) - Alain Zuur, Elena Ieno, Erik Meesters

R in a Nutshell (http://amzn.to/1sClvt2) - Joseph Adler

Intermediate/Advanced R
The following books build on the statistical theory learnt in the aforementioned texts across the fields of time series analysis and machine learning:

Introductory Time Series with R (http://amzn.to/1XCm3uT) - Paul Cowpertwait, Andrew Metcalfe

An Introduction to Applied Multivariate Analysis with R (http://amzn.to/1TJkNmX) - Brian Everitt, Torsten Hothorn

R Cookbook (http://amzn.to/1TJlzk1) - Paul Teetor

Machine Learning with R, 2nd Edition (http://amzn.to/1NSa6iV) - Brett Lantz

18 Comments QuantStart  Punit Tewani

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Join the discussion…

jcalahor • 3 years ago

Hi Michael, can u suggest a particular order for the Mathematical Finance section? maybe order by priority? maybe order by from basic to advanced?
7△ ▽ • Reply • Share ›

Cyprian • a year ago

Hello, thanks for reading list. I am software developer, I have good math understanding but I dont know anything about finance. What do you recommend
as first book to understand finance? :)
2△ ▽ • Reply • Share ›

Ray • 2 years ago

Hi Michael, Thank you very much for this website. But actually I think it might be more useful for many people if you can provide a "minimum" list of
reading material to become a quant (to pass many interviews as you mentioned and get a job), and then become a "good" or above-average quant is
really the next step. Isn't it?
2△ ▽ • Reply • Share ›

CLown Last • 3 years ago

Hello Michael Halls-Moore what do you think bout this tool

http://www.resolversystems....
1△ ▽ • Reply • Share ›

Michael Halls-Moore Mod > CLown Last • 3 years ago

Hi CLown Last,

I like the idea of combining Python with a spreadsheet, although it looks like the project is not actively maintained anymore?

Regards,

Mike.
△ ▽ • Reply • Share ›

David Murphy > Michael Halls-Moore • 3 years ago

It has moved to open source on github

https://github.com/pythonan...

also there is pyspread

http://manns.github.io/pysp...
△ ▽ • Reply • Share ›

MOY > Michael Halls-Moore • 3 years ago

there is a pyxll or DataNitro if you want to interact with Excel and Python.
△ ▽ • Reply • Share ›

Michael Halls-Moore Mod > MOY • 3 years ago

I actually saw a talk by the guys who made PyXLL - I was very impressed with it!
△ ▽ • Reply • Share ›
ryan • 2 months ago
Hi Michael; great post I will be applying to the MSc Mathematics and Computational Finance at Oxford and Risk Management Course at Imperial next
year with a plan on becoming a quant trader. I currently have trader background so I posses the work profile, hold a BSc in Management degree from
Lancaster University but lack the mathematical/engineering background.
With the ample number of books on the reading list, which books would recommend in particular to brush up on calculus, computer programming/ any
books that would help me pursue my career path?
△ ▽ • Reply • Share ›

mkr22 • a year ago

Currently reading Musiela, Rutkowski Martingale methods in Financial modelling, Springer. I highly recommend it for general overview of non-arbitrage
theory (without the involved proofs), and also covers the different IR models. Thank you for the list!
△ ▽ • Reply • Share ›

Vincent Hu • 2 years ago

Hi Michael! I am a graduate student in Hong Kong and your website helps me a lot! Thank you! But I have one question and could you help me? As my
major in my undergraduate is Physics and I am a MSC in Mathematical Finance now, I wonder whether the prospect of Q-quant in financial market is
bright or not. Since the financial crisis in 2008, people attribute the faults on the unrealistic models made by Q-quants. Then p-quant is getting more and
more popular. Because of my physical education background, I am more interested in model, PDE and pricing. So what do you think of the choice
between Q-quant and P-quant?
△ ▽ • Reply • Share ›

CB • 3 years ago
Hi Michael, I'm doing a Master's in Quantitative Finance from September and was wondering what's a good prerequisite book to start on from a pure
mathematics perspective? Preferably one that explains the concepts from basics to a level which the programme can build from. Thanks
△ ▽ • Reply • Share ›

Michael Halls-Moore Mod > CB • 3 years ago

Hi CB,

Are you talking about Financial Mathematics or just some basic Calculus to get up to speed before taking your Masters course?

Dan Stefanica's book is really good for starting out with derivatives pricing.

Mike.
△ ▽ • Reply • Share ›

Cesar • 3 years ago

Your new book looks great, I'm a software developer and I want to learn about trade, quants, etc (I only have a small background in stocks and
investments), I have two questions: do you think that you book can help me? why your books aren't in amazon?
△ ▽ • Reply • Share ›

Michael Halls-Moore Mod > Cesar • 3 years ago

Hi Cesar,

Given that you have a background in software development, I'd say the book is likely to be suitable. It's not very maths-heavy. All of the code is in
Python, so if you're happy with C# or Ruby, for instance, you'll find it straightforward.

Have you done any other trading before?

Mike.
△ ▽ • Reply • Share ›

Cesar > Michael Halls-Moore • 3 years ago

Hi Michael, yes I have a local account to trade with stocks. And I have some background with Python (my main language is java). When
are you going to release the last version of your Python book?
△ ▽ • Reply • Share ›

Michael Bennett • 4 years ago

A good way to get access to lots of the books above is a Safari Books Online subscription from O'Reilly.

There a few other coding books and interview books I would recommend "How would you move mount fuji" and "programming interviews exposed" by
john mongan et al are good for technical questions and lateral thinking questions. There is also "Cracking the coding interview" by Gayle Laakman is free
if you google for it, they give it away as a PDF.

If you can't find the book online legally then you don't deserve the job! :-)
△ ▽ • Reply • Share ›

Michael Halls-Moore Mod > Michael Bennett • 4 years ago

Yeah, the O'Reilly bookshelf is great. I also have a shelf at home specifically with O'Reilly books on it. There are some real gems in their collection
(quant or otherwise).
 I hadn't heard of 'How Would You Move Mount Fuji', I've added that to the wishlist.

Thanks Michael!
△ ▽ • Reply • Share ›

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