Essential practitioner books in quant finance

JJFM · July 16th, 2015, 6:42 am

Hello everyone,I would like to know your thoughts concerning practitioner books for quant finance, i.e. books essentially aimed at people working in investment banking who need to develop/monitor/modify models, write them down in programming language, etc. (front office pricing and modelling, model validation, etc.). What do you consider are the best ones in...: - all asset classes? - equities? - rates? (Brigo and Mercurio maybe?) - etc.Thank you for your help.

LocalVolatility · July 16th, 2015, 7:55 am

One of the books that I regularly use as a reference isKienitz, Joerg and Daniel Wetterau (2012) "Financial Modelling: Theory, Implementation and Practice with MATLAB Sources"The book covers a wide range of current topics from a practitioners perspective. I especially found the chapters on transform pricing and calibration and optimization very useful. Don't expect too much mathematical rigor but rather a cookbook of techniques that you can use. I barely use MATLAB but the code samples are sufficiently straight forward to re-implement them in some other language.

bearish · July 16th, 2015, 11:56 pm

For interest rate modeling, I am a fan of the Andersen & Piterbarg trilogy. It is neither cheap nor easy, but worth the effort.

finanzmaster · July 24th, 2015, 5:29 am

>For interest rate modeling, I am a fan of the Andersen & Piterbarg trilogy. It is neither cheap nor easy, but worth the effort.Really?! In no way doubting ist scientific value I highly doubt that practitioners need such book nowadays, as products get simpler and liquidity dries.Esp. in case of fixed income, by Zero IR.

clw · August 12th, 2015, 5:55 pm

Our book SABR and SABR LIBOR Market Models in Practice: With Examples Implemented in Python will be soon published. The book is mainly targeting junior quants/risk managers and the style is rather applied. There are several ideas and implementation details which can be easily transferred to other models. We also discuss how to solve various "practical" problems which are often encountered in the rates space. Python code related to various algorithms provided. The table of contents plus the two introductory chapters are available here . EDIT: typo