[转自quantnet] 为矿工开出的书单 Quant Reading List

这个书单我是第二次看到了，非常经典，我认为富有价值。故与大家分享：

这是原帖地址，内附下载链接：
https://www.quantnet.com/forum/t ... ering-students.535/

如果quantnet上不了，这是书单名称（不含下载链接）

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

Reminiscences of a Stock Operator (Wiley Investment Classics)
Working the Street: What You Need to Know About Life on Wall Street
Liar’s Poker: Rising Through the Wreckage on Wall Street
Monkey Business: Swinging Through the Wall Street Jungle
Fiasco: The Inside Story of a Wall Street Trader
Den of Thieves
When Genius Failed: The Rise and Fall of Long-Term Capital Management
Traders, Guns & Money: Knowns and unknowns in the dazzling world of derivatives
The Greatest Trade Ever: The Behind-the-Scenes Story of How John Paulson Defied Wall Street and Made Financial History
Goldman Sachs : The Culture of Success
The House of Morgan: An American Banking Dynasty and the Rise of Modern Finance
Wall Street: A History: From Its Beginnings to the Fall of Enron
The Murder of Lehman Brothers: An Insider’s Look at the Global Meltdown
On the Brink: Inside the Race to Stop the Collapse of the Global Financial System
House of Cards: A Tale of Hubris and Wretched Excess on Wall Street
Too Big to Fail: The Inside Story of How Wall Street and Washington Fought to Save the Financial System-and Themselves
Liquidated: An Ethnography of Wall Street
Fortune’s Formula: The Untold Story of the Scientific Betting System That Beat the Casinos and Wall Street
CAREER AS A QUANT

My Life as a Quant: Reflections on Physics and Finance
How I Became a Quant: Insights from 25 of Wall Street’s Elite
The Big Short: Inside the Doomsday Machine
The Quants: How a New Breed of Math Whizzes Conquered Wall Street and Nearly Destroyed It
Nerds on Wall Street: Math, Machines and Wired Markets
Physicists on Wall Street and Other Essays on Science and Society
The Complete Guide to Capital Markets for Quantitative Professionals
Starting Your Career as a Wall Street Quant: A Practical, No-BS Guide to Getting a Job in Quantitative Finance and Launching a Lucrative Career
BOOKS FOR QUANT INTERVIEWS

Heard on The Street: Quantitative Questions from Wall Street Job Interviews by Timothy Crack
Quant Job Interview Questions And Answers by Mark Joshi
Frequently Asked Questions in Quantitative Finance by Paul Wilmott
A Practical Guide To Quantitative Finance Interviews by Xinfeng Zhou
Basic Black-Scholes: Option Pricing and Trading by Timothy Crack
Fifty Challenging Problems in Probability with Solutions by Frederick Mosteller
Vault Guide to Advanced Finance & Quantitative Interviews
GOOD BOOKS TO READ BEFORE STARTING MFE PROGRAM

A Primer for the Mathematics of Financial Engineering (+ Solutions Manual) by Dan Stefanica
An Introduction to the Mathematics of Financial Derivatives, Second Edition by Salih Neftci
Options, Futures, and Other Derivatives (8th Edition) by John Hull
Paul Wilmott on Quantitative Finance 3 Volume Set (2nd Edition) by Paul Wilmott
Principles of Financial Engineering, Second Edition by Salih Neftci
Elementary Stochastic Calculus With Finance in View by Thomas Mikosch
The Concepts and Practice of Mathematical Finance by Mark Joshi
Financial Options: From Theory to Practice by Stephen Figlewski
Financial Calculus : An Introduction to Derivative Pricing by Martin Baxter
A Course in Financial Calculus by Etheridge Alison
The Mathematics of Financial Derivatives: A Student Introduction by Paul Wilmott
Frequently Asked Questions in Quantitative Finance by Paul Wilmott
Derivatives Markets by Robert L. McDonald
An Undergraduate Introduction to Financial Mathematics by Robert Buchanan
PROGRAMMING
C++ (ordered by level of difficulty)

Problem Solving with C++, 7th Edition by Walter Savitch
C++ How to Program (7th Edition) by Harvey Deitel
Absolute C++ (4th Edition) by Walter Savitch
Thinking in C++: Introduction to Standard C++, Volume One by Bruce Eckel
Thinking in C++: Practical Programming, Volume Two by Bruce Eckel
The C++ Programming Language: Special Edition by Bjarne Stroustrup (C++ inventor)
Effective C++: 55 Specific Ways to Improve Your Programs and Designs by Scot Myers
C++ Primer (4th Edition) by Stanley Lippman
C++ Design Patterns and Derivatives Pricing (2nd edition) by Mark Joshi
Financial Instrument Pricing Using C++ by Daniel Duffy
C# (ordered by level of difficulty)

C# 2010 for Programmers (4th Edition)
Computational Finance Using C and C# by George Levy
C# in Depth, Second Edition by Jon Skeet
F# (ordered by level of difficulty)

Programming F#: An introduction to functional language by Chris Smith
F# for Scientists by Jon Harrops (Microsoft Researcher)
Real World Functional Programming: With Examples in F# and C#
Expert F# 2.0 by Don Syme
Beginning F# by Robert Pickering
Matlab (ordered by level of difficulty)

Matlab: A Practical Introduction to Programming and Problem Solving
Numerical Methods in Finance and Economics: A MATLAB-Based Introduction (Statistics in Practice)
Excel

Excel 2007 Power Programming with VBA by John Walkenbach
Excel 2007 VBA Programmer’s Reference
Financial Modeling by Simon Benninga
Excel Hacks: Tips & Tools for Streamlining Your Spreadsheets
Excel 2007 Formulas by John Walkenbach
VBA

Advanced modelling in finance using Excel and VBA by Mike Staunton
Implementing Models of Financial Derivatives: Object Oriented Applications with VBA
Python

Learning Python: Powerful Object-Oriented Programming
Python Cookbook
FINITE DIFFERENCES

Option Pricing: Mathematical Models and Computation, by P. Wilmott, J.N. Dewynne, S.D. Howison
Pricing Financial Instruments: The Finite Difference Method, by Domingo Tavella, Curt Randall
Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach by Daniel Duffy
MONTE CARLO

Monte Carlo Methods in Finance, by Peter Jäcke (errata available at jaeckel.org)
Monte Carlo Methodologies and Applications for Pricing and Risk Management , by Bruno Dupire (Editor)
Monte Carlo Methods in Financial Engineering, by Paul Glasserman
Monte Carlo Frameworks in C++: Building Customisable and High-performance Applications by Daniel J. Duffy and Joerg Kienitz
STOCHASTIC CALCULUS

Stochastic Calculus and Finance by Steven Shreve (errata attached)
Stochastic Differential Equations: An Introduction with Applications by Bernt Oksendal
VOLATILITY

Volatility and Correlation, by Riccardo Rebonato
Volatility, by Robert Jarrow (Editor)
Volatility Trading by Euan Sinclair
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

Foreign Exchange Risk, by Jurgen Hakala, Uwe Wystup
Mathematical Methods For Foreign Exchange, by Alexander Lipton
STRUCTURED FINANCE

The Analysis of Structured Securities: Precise Risk Measurement and Capital Allocation (Hardcover) by Sylvain Raynes and Ann Rutledge
Salomon Smith Barney Guide to MBS & ABS, Lakhbir Hayre, Editor
Securitization Markets Handbook, Structures and Dynamics of Mortgage- and Asset-backed securities by Stone & Zissu
Securitization, by Vinod Kothari
Modeling Structured Finance Cash Flows with Microsoft Excel: A Step-by-Step Guide (good for understanding the basics)
Structured Finance Modeling with Object-Oriented VBA (a bit more detailed and advanced than the step by step book)
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

. From 1point 3acres bbsVAR Understanding and Applying Value at Risk, 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, Fourth 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: Pricing and Risk Management, by Les Clewlow, Chris Strickland
Hull-White on Derivatives, by John Hull, Alan White 1899332456
Exotic Options: The State of the Art, by Les Clewlow (Editor), Chris Strickland (Editor)
Market Models, by C.O. Alexander
Pricing, Hedging, and Trading Exotic Options, by Israel Nelken
Modelling Fixed Income Securities and Interest Rate Options, by Robert A. Jarrow
Black-Scholes and Beyond, by Neil A. Chriss
Risk Management and Analysis: Measuring and Modelling Financial Risk, by Carol Alexander
Mastering Risk: Volume 2 - Applications: Your Single-Source Guide to Becoming a Master of Risk, by Carol Alexander

马克之~~~有机会挨个儿拜读

之前也在quantnet上看见书单～
感谢楼主～～
顶！！