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NattieLight
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Joined: June 29th, 2006, 9:49 pm

Favorite Books

December 6th, 2010, 8:12 pm

What are some of your favorite books in quantitative finance (besides Hull)?Specifically I'm looking for a good book that teaches financial engineering and C++ together (not an intro to C++, but also doesn't assume you're an advanced programmer in C++),I'm also a book with common quant interview questions, as well as a book about fixed income analysis (that doesn't spend the majority of time covering discounting, duration, bootstrapping, but more advanced stuff.)But in general what are your favorite books or the ones that you have found to be most useful?
 
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Hansi
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Joined: January 25th, 2010, 11:47 am

Favorite Books

December 6th, 2010, 10:20 pm

I have multiple favorites but they're quite meaningless without a specific category to slot them in so I'm just going to answer the specific ones.C++ and Financial Engineering:C++ Design Patterns and Derivatives Pricing by Mark JoshiI haven't read them but Duffy is the C++ posting machine on here, so I reckon they're good:Introduction to C++ for Financial Engineers: An Object-oriented Approach by Daniel J. DuffyFinancial Instrument Pricing Using C++ by Daniel J. DuffyStay away from Justin London's book, too many errors and very disjoint writing.Question books: (in order of preference)Quant Job Interview Questions And Answers by Mark Joshi, Nick Denson, and Andrew DownesFrequently Asked Questions in Quantitative Finance by Paul WilmottA Practical Guide To Quantitative Finance Interviews by Xinfeng ZhouHeard on The Street: Quantitative Questions from Wall Street Job Interviews by Timothy Falcon Crack (not quant specific but good for the brain teasers)Fixed Income:Not sure what you're looking for if you don't want the basics but I'd recommend The Handbook of Fixed Income Securities by Frank Fabozzi and just skipping the chapters you find trivial.If you want to look into interest rate modelling for fixed income assets you should have a look at Interest Rate Modeling by Leif B.G. Andersen and Vladimir V. Piterbarg
 
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Joined: February 21st, 2010, 12:58 pm

Favorite Books

December 8th, 2010, 3:00 pm

Justin London's book is .... challenging. Should be restricted to those who like debugging code.I am sorry to comment this . :$Computational Methods for Option Pricing by Y.Achdou and O.Pironneau is rarely mentionned and/or commented Do you know it Hansi ?
 
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Hansi
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Joined: January 25th, 2010, 11:47 am

Favorite Books

December 8th, 2010, 3:18 pm

Nope never heard of it or the authors before now. It being published through SIAM is not a good sign though, suggests that it's not based on practical experience but rather academic. Other than the last two chapters it's material that's been covered in most c++ finance books.One amazon review says it's just based on the authors notes from his teaching position and do not contain enough details, which is not a good thing because with C++ I generally think it's more important to ask yourself why it should be done this way rather than how it's done.
Last edited by Hansi on December 7th, 2010, 11:00 pm, edited 1 time in total.
 
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Favorite Books

December 8th, 2010, 3:44 pm

practical experience preferred and why this way with C++.ok, i get it.
 
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rmax
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Favorite Books

December 8th, 2010, 5:44 pm

Tuckman?
 
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renorm
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Joined: February 11th, 2010, 10:20 pm

Favorite Books

December 8th, 2010, 11:07 pm

Implementing QuantLib. Unfinished, but looks very promising.QuantLib uses vanilla OOP and templates, but doesn't assume advanced C++ (things like MPL and convoluted OOP patters). The main challenge is the sheer size of the project.
 
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December 9th, 2010, 9:50 am

many excellent things on Bojan Nikolic's blog, too !http://www.bnikolic.co.uk/blog/
 
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mit
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Joined: February 5th, 2005, 4:52 pm

Favorite Books

December 9th, 2010, 10:05 am

How I make 3,000,000 Last Year