Reading List: Financial Engineering - michen6/personal GitHub Wiki

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QuantNet International Guide to Financial Engineering Programs by QuantNet

Columbia MFE suggested reading list

The following is a list of books suggested to every incoming MFE student at Columbia University.

GENERAL BACKGROUND (Good to have read)

Capital Ideas by Peter L. Bernstein
A Demon of Our Own Design: Markets, Hedge Funds, and the Perils of Financial Innovation by Richard Bookstaber
My Life as a Quant by Emanuel Derman
The Complete Guide to Capital Markets for Quantitative Professionals by Alex Kuznetsov
When Genius Failed: The Rise and Fall of LTCM by Roger Lowenstein

QUANTITATIVE BACKGROUND

The Mathematics of Derivatives: Tools for Designing Numerical Algorithms by Robert L. Navin
A Primer for the Mathematics of Financial Engineering by Dan Stefanica
Investments by W. F. Sharpe, G. J. Alexander, and J. V. Bailey

A VARIETY OF MORE SPECIALIZED REFERENCE BOOKS ON QUANTITATIVE METHODS

The Econometrics of Financial Markets by John Y. Campbell, Andrew W. Lo, A. Craig MacKinlay
A First Course in Stochastic Processes by Karlin and Taylor
Introduction to Probability Models by Sheldon Ross
Monte Carlo Methods in Financial Engineering by Paul Glasserman
Modern Applied Statistics with S-Plus by W. N. Venables, Brian D. Ripley
Simulation by Sheldon M. Ross
Stochastic Calculus and Financial Applications by J. Michael Steele
Stochastic Processes by Sheldon Ross
Advanced Modeling in Finance Using Excel and VBA by Mary Jackson and Mike Staunton
C++ Language Tutorial, http://www.cplusplus.com/doc/tutorial/

QuantNet Best-selling Books of 2012

A Primer for the Mathematics of Financial Engineering, 2nd Ed by Dan Stefanica
Solutions, Primer For The Mathematics Of Financial Engineering, 2nd Ed by Dan Stefanica
Quant Job Interview Questions And Answers by Mark Joshi
Fifty Challenging Problems in Probability with Solutions by Frederick Mosteller
The Complete Guide to Capital Markets for Quantitative Professionals
My Life as a Quant: Reflections on Physics and Finance by Emanuel Derman
Heard on The Street: Quantitative Questions from Wall Street Job Interviews by Timothy Crack
Frequently Asked Questions in Quantitative Finance by Paul Wilmott
A Practical Guide To Quantitative Finance Interviews by Xinfeng Zhou
Liar's Poker by Michael Lewis
Cracking the Coding Interview: 150 Programming Questions and Solutions by Gayle Laakmann McDowell
How I Became a Quant: Insights from 25 of Wall Street's Elite by Richard R. Lindsey
Problem Solving with C++, 8th Edition by Walter Savitch
Options, Futures and Other Derivatives (8th Edition) by John Hull
Stochastic Calculus for Finance I: The Binomial Asset Pricing Model by Steven Shreve
Paul Wilmott on Quantitative Finance 3 Volume Set (2nd Edition) by Paul Wilmott
Stochastic Calculus for Finance II: Continuous-Time Models by Steven Shreve
Principles of Financial Engineering, 2nd Edition by Salih Neftci
C++ Design Patterns and Derivatives Pricing by Mark Joshi
C++ Primer Plus by Stephen Prata
The Big Short: Inside the Doomsday Machine by Michael Lewis
When Genius Failed: The Rise and Fall of Long-Term Capital Management by Roger Lowenstein
Starting Your Career as a Wall Street Quant by Brett Jiu
Reminiscences of a Stock Operator by Edwin Lefevre
The Quants: How a New Breed of Math Whizzes Conquered Wall Street and Nearly Destroyed It by Scott Patterson

Master reading list for Quants, MFE (Financial Engineering) students

FREE QUANT CAREER GUIDES

What do quant do ? A guide by Mark Joshi. Download
Paul & Dominic's Guide to Quant Careers (see attachment)
Career in Financial Markets 2011- a guide by efinancialcareers. Download
Interview Preparation Guide by Michael Page: Quantitative Analysis. Download
Interview Preparation Guide by Michael Page: Quantitative Structuring. Download
Paul & Dominic's Job Hunting in Interesting Times Second Edition (see attachment)
Peter Carr's A Practitioner's Guide to Mathematical Finance (see attachment)
Max Dama's Guide to Automated Trading (see attachment)

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

BOOKS FOR QUANT INTERVIEWS

Quant Job Interview Questions And Answers by Mark Joshi
Frequently Asked Questions in Quantitative Finance by Wilmott
Heard on The Street: Quantitative Questions from Wall Street Job Interviews by Timothy Crack
Cracking the Coding Interview: 150 Programming Questions and Solutions by Gayle Laakmann McDowell
A Practical Guide To Quantitative Finance Interviews by Xinfeng Zhou
Basic Black-Scholes: Option Pricing and Trading by Timothy Crack
Fifty Challenging Problems in Probability with Solutions by Frederick Mosteller
Vault Guide to Advanced Finance & Quantitative Interviews

GOOD BOOKS TO READ BEFORE STARTING MFE PROGRAM

A Primer For The Mathematics Of Financial Engineering, Second Edition
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++ (8th 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 Approach by 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 Applications by Daniel J. Duffy and Joerg Kienitz

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-line Professional 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