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Resources for Financial Engineering

Books

  • Options Futures and Other Derivatives 1, 2, 12, 13, 15
  • Stochastic Calculus for Finance II 1, 23
  • Monte Carlo Methods in Financial Engineering 1, 23
  • Modelling Fixed Income Securities and Interest Rate Options 1
  • Dynamic Hedging 2, 13
  • Analysis and Use of Financial Statements 3
  • Principles of Corporate Finance 4
  • Trading Strategies for Capital Markets 5
  • Trading and Exchanges: Market Microstructure for Practitioners 1, 5, 7, 8, 14, 15, 16, 17, 18
  • Algorithmic Trading and DMA 5, 12
  • Numerical Methods in Finance 6
  • Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk 9, 10, 15
  • Quantitative Equity Portfolio Management 9
  • Introduction to Quantitative Finance 11, 12
  • Evidence Based Technical Analysis 14
  • Pairs Trading 14
  • Quantitative Trading 14
  • An Introduction to High Frequency Finance 14
  • The Complete Guide to Capital Markets for Quantitative Professionals 19, 23
  • Fooled by Randomness 20
  • The Black Swan 20 21
  • What I Learned Losing a Million Dollars 20
  • The Predictors 22
  • Market Wizards 22
  • When Genius Failed 22
  • Pit Bull 22
  • Rigged 22
  • Liar's Poker 22, 23
  • Reminiscences of a Stock Operator 22
  • A Primer for the Mathematics of Financial Engineering 23
  • My Life as a Quant: Reflections on Physics and Finance 23
  • C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk) 23
  • Principles of Financial Engineering 23
  • Stochastic Calculus for Finance I 23
  • Problem Solving with C++ 23
  • C++ Design Patterns and Derivatives Pricing (Mathematics, Finance and Risk) 23
  • Concepts and Practice of Mathematical Finance 23
  • An Introduction to the Mathematics of Derivatives 23
  • Introduction to C++ for Financial Engineers: An Object-Oriented Approach (The Wiley Finance Series) 23

Multimedia 25

Links

What programming languages are most commonly used in quantitative finance? 24

  • Java/C++/C
  • R
  • q/kdb+
  • Python
  • Matlab

Thoughts

Start by reading Trading and Exchanges: Market Microstructure for Practitioners and Options, Futures, and Derivatives, followed possibly by Algorithmic Trading and DMA.

Sources

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