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Suggesting some books
Posted: March 13th, 2008, 6:47 pm
by scizj
Hi, Buddies:I am a Master of physics, and have 1.5 year experience in doing scientific simulation. I am currently taking a part-time course in financial maths.I hope to find a quant role in banks.Can anybody suggest some books to read? Thanks.
Suggesting some books
Posted: March 13th, 2008, 7:07 pm
by Y0da
A classic that everyone reads is Options Futuresand Other Derivatives by John Hull. Start readingthat one.
Suggesting some books
Posted: March 13th, 2008, 7:55 pm
by SNWKW
I chose Joshi to start. Joshi's text is really intuitive.
Suggesting some books
Posted: March 13th, 2008, 7:58 pm
by Atreides
Hull is definitely something you should read, but probably not cover to cover. I has everything in it but no real theme that leads you through it. I would use it more as a reference book.A good introduction might be Baxter and Rennie: Financial Calculus - this book is very martingale-focussed, which is nice but hardly gives you all the tricks.Another good, extensive, but quite technical book is Shreve: Stochastic Calculus for Finance. It pretty much covers everything you need for a good solid introduction. I used to be a physicist too and found this quite nice for the transition.