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Finally, not a book, but if you read and understand the ~100 page overview of the Barra risk model, you will have a better understanding of equity factor models than most professional quants (thanks to @mediocrequant for the tip) http://www.alacra.com/alacra/help/barra_handbook_US.pdf …
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.
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.
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 …
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 …
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 …
What would you recommend for really learning differential equations? My university texts and class concentrated on waus to solve diff eq but didn’t really teach how to apply diff eq in circumstances.
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