SERVING THE QUANTITATIVE FINANCE COMMUNITY

 
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DominicConnor
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Posts: 11684
Joined: July 14th, 2002, 3:00 am

P&D Readling List New Suggestions ?

July 25th, 2007, 5:48 am

We're looking for suggestions for books to add to our recommended reading list.We've put the current version on Amazon.comApparently 526 people have read it and 6 have pressed the button that said it was helpful It was only quite recently that we realised that the Guide list noticeably affects sales, helped by a couple of authors who were quite keen that their books get on it.We of course now have competition, which we welcome (and will crush without mercy), and as part of the general version 2.0 upgrade are looking hard at the reading list.Please share any thoughts you have on which books outght to be there.
 
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QArbiTrader
Posts: 38
Joined: January 18th, 2006, 1:10 pm

P&D Readling List New Suggestions ?

July 25th, 2007, 6:34 am

How about including a recommended book on econometrics/time series/filtering ?
 
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ppauper
Posts: 70239
Joined: November 15th, 2001, 1:29 pm

P&D Readling List New Suggestions ?

July 25th, 2007, 1:37 pm

How about Brett Jiu, Ph.D.Author, "Starting Your Career as a Wall Street Quant"
 
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TraderJoe
Posts: 11048
Joined: February 1st, 2005, 11:21 pm

P&D Readling List New Suggestions ?

July 25th, 2007, 9:23 pm

This one. Mathematical Finance - Theory, Modelling, Implementation by Christian Fries.
Last edited by TraderJoe on July 24th, 2007, 10:00 pm, edited 1 time in total.
 
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miretta
Posts: 53
Joined: May 31st, 2007, 2:46 pm

P&D Readling List New Suggestions ?

July 26th, 2007, 8:39 am

"Quantitative Risk Management: Concepts, Techniques, and Tools" by McNeil, Frey, Embrechts (Princeton Series in Finance)Book Web site: http://press.princeton.edu/titles/8056.html
 
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mj
Posts: 3449
Joined: December 20th, 2001, 12:32 pm

P&D Readling List New Suggestions ?

July 26th, 2007, 8:41 am

has anyone read Christian's book?
 
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miretta
Posts: 53
Joined: May 31st, 2007, 2:46 pm

P&D Readling List New Suggestions ?

July 26th, 2007, 9:14 am

It's due for publication on Sept 2007, isn't it?Apparently, it is a re-edition of lectures notes in German for the Finanzmathematik class given by Christian Fries at the University of Frankfurt:http://www.christian-fries.de/finmath/l ... tmlLooking at the table of contents, the implementation part seems interesting.
 
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WilmottBookshop
Posts: 1083
Joined: August 1st, 2002, 2:40 pm

P&D Readling List New Suggestions ?

July 26th, 2007, 10:04 am

Don't forget that these books are also available from the Wilmott Bookshop:Starting Your Career as a Wall Street QuantQuantitative Risk Management: Concepts, Techniques and Tools
 
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Tadragh1
Posts: 115
Joined: July 3rd, 2006, 10:06 am

P&D Readling List New Suggestions ?

July 26th, 2007, 12:57 pm

I would certainly add this one, important topics not covered elsewhere:An Introduction to High-Frequency Finance
 
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WilmottBookshop
Posts: 1083
Joined: August 1st, 2002, 2:40 pm

P&D Readling List New Suggestions ?

July 26th, 2007, 1:04 pm

This book is also available from the Wilmott BookshopAn Introduction to High-Frequency Finance
 
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ppauper
Posts: 70239
Joined: November 15th, 2001, 1:29 pm

P&D Readling List New Suggestions ?

July 26th, 2007, 1:35 pm

QuoteOriginally posted by: mirettaIt's due for publication on Sept 2007, isn't it?Apparently, it is a re-edition of lectures notes in German for the Finanzmathematik class given by Christian Fries at the University of Frankfurtis the book in german as well as the lecture notes ?
 
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miretta
Posts: 53
Joined: May 31st, 2007, 2:46 pm

P&D Readling List New Suggestions ?

July 26th, 2007, 2:09 pm

According to the author's Web site, there will be two editions of the book: English and German.The edition due to appear first is the English one.
 
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TraderJoe
Posts: 11048
Joined: February 1st, 2005, 11:21 pm

P&D Readling List New Suggestions ?

July 26th, 2007, 8:22 pm

Probably this one - The Vol Surface - by Jim Gatheral.
 
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miretta
Posts: 53
Joined: May 31st, 2007, 2:46 pm

P&D Readling List New Suggestions ?

July 27th, 2007, 4:51 am

"Introduction to Stochastic Calculus for Finance : A New Didactic Approach" by Dieter Sondermann (Springer) (introductory level)"The Mathematics of Arbitrage" by Freddy Delbaen and Walter Schachermayer (Springer) (more advanced level)
 
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WilmottBookshop
Posts: 1083
Joined: August 1st, 2002, 2:40 pm

P&D Readling List New Suggestions ?

July 27th, 2007, 8:10 am

Mathematics of Arbitrage and Introduction to Stochastic Calculus for Finance are both available from the Wilmott Bookshop.
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