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2011-06-11
Starting Your Career as a  Quant,you should read these books.以下推荐书目,由华尔街的Quant们和美国各名牌大学毕业生推荐。

本帖隐藏的内容

FREE QUANT CAREER GUIDES
  • What do quant do ? A guide by Mark Joshi. Download
  • Paul & Dominic's Guide to Quant Careers (see attachment)
  • Career in Financial Markets 2011- a guide by efinancialcareers. Download
  • Interview Preparation Guide by Michael Page: Quantitative Analysis. Download
  • Interview Preparation Guide by Michael Page: Quantitative Structuring. Download
  • Paul & Dominic's Job Hunting in Interesting Times Second Edition (see attachment)
  • Peter Carr's A Practitioner's Guide to Mathematical Finance (see attachment)
GENERAL READING ON WALL STREET
CAREER AS A QUANT
BOOKS FOR QUANT INTERVIEWS
GOOD BOOKS TO READ BEFORE STARTING MFE PROGRAM


欢迎大家也推荐一些好的书籍,一起参与Discussion in 'Recommended Reading。

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2011-6-11 10:01:57
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2011-6-11 10:02:54
由于帖子字数超过10000,发不上去,所以在回复中把所有书籍列出来
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2011-6-11 10:05:09
Excel
VBA
Python
FINITE DIFFERENCES
MONTE CARLO
STOCHASTIC CALCULUS
VOLATILITY
INTEREST RATE
  • Interest Rate Models - Theory and Practice, by D. Brigo, F. Mercurio updates available on-line Professional Area of Damiano Brigo's web site
  • Modern Pricing of Interest Rate Derivatives, by Riccardo Rebonato
  • Interest-Rate Option Models, by Riccardo Rebonato
  • Efficient Methods for Valuing Interest Rate Derivatives, by Antoon Pelsser
  • Interest Rate Modelling, by Nick Webber, Jessica James
FX
STRUCTURED FINANCE
STRUCTURED CREDIT
  • Collateralized Debt Obligations, by Arturo Cifuentes
  • An Introduction to Credit Risk Modeling by Bluhm, Overbeck and Wagner (really good read, especially on how to model correlated default events & times)
  • Credit Derivatives Pricing Models: Model, Pricing and Implementation by Philipp J. Schönbucher
  • Credit Derivatives: A Guide to Instruments and Applications by Janet M. Tavakoli
  • Structured Credit Portfolio Analysis, Baskets and CDOs by Christian Bluhm and Ludger Overbeck
RISK MANAGEMENT/VAR
  • VAR, by various authors
  • Value at Risk, by Philippe Jorion
  • RiskMetrics Technical Document RiskMetrics Group
  • Risk and Asset Allocation by Attilio Meucci
SAS/S/S-PLUS
  • The Little SAS Book: A Primer, Third Edition by Lora D. Delwiche and Susan J. Slaughter
  • Modeling Financial Time Series with S-PLUS
  • Statistical Analysis of Financial Data in S-PLUS
  • Modern Applied Statistics with S
HANDS ON
  • Implementing Derivative Models, by Les Clewlow, Chris Strickland
  • The Complete Guide to Option Pricing Formulas, by Espen Gaarder Haug
NOT ENOUGH YET?
  • Energy Derivatives, by Les Clewlow, Chris Strickland, 0953889602
  • Hull-White on Derivatives, by John Hull, Alan White 1899332456
  • Exotic Options: The State of the Art, by Les Clewlow (Editor), Chris Strickland (Editor) 0412631709
  • Market Models, by C.O. Alexander 0471899755
  • Pricing, Hedging, and Trading Exotic Options, by Israel Nelken
  • Modelling Fixed Income Securities and Interest Rate Options, by Robert A. Jarrow 0070323739
  • Black-Scholes and Beyond, by Neil A. Chriss 0786310251
  • Risk Management and Analysis: Measuring and Modelling Financial Risk, by Carol Alexander 0471979570
  • Mastering Risk: Volume 2 - Applications: Your Single-Source Guide to Becoming a Master of Risk, by Carol Alexander 0273654365
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2011-6-11 13:14:25
提示: 作者被禁止或删除 内容自动屏蔽
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2011-6-11 13:18:40
先顶再看!!!!1
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