A while ago I said I'd do a thread of recommended books for people looking to get into quant finance, or just starting their careers. This is that thread. It's v biased to buy side because that's where my experience is -- derivatives/risk quants look elsewhere pls!
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Obviously this is biased to my experiences and preferences. It also assumes a decent knowledge of linear algebra, calculus, statistics and probability so if you don't have that, you probably won't get much out of this.
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Finally it is geared towards quants who are going to work on strategies with a multi-day time horizon. I simply don't think that there are any good books covering HFT or mid-frequency, although very happy to be corrected.
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I really have to add the two books that convinced me to go into quant finance when I read them back in ~2006. First "My Life as a Quant" by
@EmanuelDerman which blends descriptions of options pricing models with great autobiographical colorhttps://www.amazon.com/My-Life-Quant-Reflections-Physics/dp/0470192739/ref=tmm_pap_swatch_0?_encoding=UTF8&qid=1623793070&sr=8-1 …Show this thread -
Second "Traders, Guns and Money" by ex-derivatives trader Satyajit Das, which is just a perfect description of the wild west of derivatives markets pre-financial crisishttps://www.amazon.com/Traders-Guns-Money-Unknowns-Derivatives/dp/0273776762/ref=sr_1_1?crid=NKKAGBM3LR10&dchild=1&keywords=traders%2C+guns+%26+money&qid=1623793250&sprefix=traders%2C+gun%2Caps%2C235&sr=8-1 …
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Now I’ve read it I’d add Trading at the Speed of Light (MacKenzie) which is amazing background reading for anyone thinking of going into HFThttps://www.amazon.co.uk/dp/0691211388/ref=cm_sw_r_cp_api_glt_fabc_HSYP91NNH409YFB10AR8 …
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End of conversation
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Also, anything by Northfield’s Dan diBartolomeo. He has an amazing capacity to explain complex things in a way even I can understand, and he’s a walking library
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