Just begin my job hunting, wish to get an offer for positions such as Fix income/Credit structuring or Quant Credit Analysis. Got a few questions for you guys. (I am a PhD Student in Finance, with undergraduate and MEng, all in Computing.) The following books are already finished:1. Real Analysit by Royden2. Probability with Martingales by Williams3. Introduction to Stochastic Calculus Applied in Finance by Lamberton etc.4. Risk-neutral valuation (Springer Finance) by Bingham etc5. Pricing and Hedging of Derivative Securities by Nielsen6. Stochastic Calculus and Financial Applications by Michael Steel7. Stochastic Differential Equations: An introduction with Applications by OkensendalAlso got some books at hand:1. Function Analysis by Rudin2. Probability and Measure by Billingsley3. A course in Probability Theory by Chung4. Diffusions, Markov Processes, and Martingales, Vol. 1,(First Half?) by Rogers and Williams5. Thinking in C++6. Monte Carlo Methods in Finance7. Coupla Methods in Finance8. Pricing Financial Instruments: the Finite Difference Method9. Credit Risk: Pricing, Measurement and Management by Duffie10.Structured Credit Products: Credit Derivatives and Synthetic Securitisation by Choudhry11. An introduction to Stochastic Integrations By Chung12. An introduction to Mathematical Statistics by Hogg and Craig13. An introduction to Probability Theory and its Applications by FellerQuestions:1. Should I read them all or just pick up a portfolio of them? 2. Is it more important to solve the problems in those already finished books than read more books?3. Could you list those books in decreasing order of priority for me? 4. what''s the difference between the requirements for Credit Quant, Fixed Income/Credit Hybrid Structurer and Derivatives Trading? What''s their future career path? 5. How to prepare for the interviews? What kind of questions will be asked? How about my chance to make it?6. Is the book "Heard on the Street " useful?Really a lot of questions. Thanks in advance

Where is PW's Big book of banking ?Also we have this guide thing...

Okensendal and Steel and still having second-thoughts and doubts...!... never heard of CompSci graduates becoming pure-quants, there´s nothing like pure science for those jobs, and a Phd in Finance won´t help as well. However, as a BA, Structurer, Manager, etc, you will excel! Fogedabout quant-stuff, there´s too much prejudice against physicists and applied maths people. "Quant-dev" may well be what you should be looking for.cheers, serp.

QuoteOriginally posted by: SierpinskyJanitorOkensendal and Steel and still having second-thoughts and doubts...!... never heard of CompSci graduates becoming pure-quants, there´s nothing like pure science for those jobs, and a Phd in Finance won´t help as well. However, as a BA, Structurer, Manager, etc, you will excel! Fogedabout quant-stuff, there´s too much prejudice against physicists and applied maths people. "Quant-dev" may well be what you should be looking for.cheers, serp.Thanks DCFC and SierpinskyJanitor.Many computing research requires intensive math. And specificly, least-square monte carlo approach for American Option pricing is developed by VanRoy, and Longstaff independently. VanRoy is a computer sciencist. Also anyone who is doing theoretical research in machine intelligence will need strong math. Duddley's book "Real analysis and Probablity' is a must reading for the researchers in this area at the beginning stage.How about a PhD in Finance, doing a research topic in option pricing or parameter estimation for real option, becoming a quant?Also I know Barclay Capital is recruiting strong c++ programmer. What's their requirements? How to prepare for them?

Hi, I m physics back ground, recently landed a quant job. I read some of the books you listed and hope can help by relating to my interview experiences.like Janitor said, given you are a phd in finance, and did williams, oksendal and steele, I believe you don't have any problem with stoch calc. and its application in arb-free pricing. maybe read wilmott's book on the PDE side of the story, maybe then the finite difference. but I did not get any FDM questions since its not on my resume. Craig feels very theoretical, make sure you know the procedures of MLE,OLS,MM, people do ask what are the steps and sometimes you need to solve a concrete example. know what is principle component.don't know how strong is your C++ cos "thinking in C++" as I heard is an entry level book. do go through "effective C++" if you know the basics, maybe a bit of design pattern or templates/STL. try engage DCFC more for C++ insights but prepare to be dazzled.the only measure theory question I was asked is what is the difference between Riemann and Lebesgue integral so Rudin/Billingsley/Chung could be too much. I only read billingsley and did not feel its very relevant to landing a quant job. I get measure theory question because again my resume says I took a class on it ( I did, only forgot all about it, the class used the other Rudin's).people asked about copula, I just said don't know. they passed, they didn't expect me to know as a fresh grad but could be useful on job.Monte Carlo is on my resume, so I got a lot questions on that. including variance reduction. so chapter 4 of Paul Glasserman may help you to brush up.I told people I knew very little about credit derivative/risk. they had no problem with that.a few items to add to your list: HULL; Heard on the street; the brainteaser forum here;all the good luck. heard job market is good.

Thanks a lot. Whale and SierpinskyJanitor. Check your PM please.

hi whale, why can't I send you PM? can you send me a PM so I can reply. Cheers.