Tuesday, August 09, 2005


As an aspiring quant, I want to have the FE bibles on my desk. I am looking into good solid books that teach the fundamentals (and not some hot new theory). There are tons of books listed on Amazon and FEmath, but most of them seem to be promising everything under the sun and more. I have been burnt before on a VBA for finance book, which I thought was not useful for me at all..

So I am looking for suggestions for books. The ones I have considered so far are:
  1. Derivatives - Hull - Options, Futures and other derivatives (Definitely Bible material)
  2. Risk mgmt - Jorion - Finacial risk mgmt handbook (seems like a good handbook, also recommended for FRM exam)
  3. Fixed income - Fabozzi, Tuckman?? (cannot decide, suggestions please)
  4. Fin mathematics - Shreve, Neftci???

I am not sure what books are used at Berkeley, so maybe current students can comment??


Blogger Quantjock said...

It seems like the book for derivatives at MFE would be prof. Rubinstein's book.

2:20 PM, August 09, 2005  
Blogger shooGu said...

A friend of mine from grad school who works in fixed income highly recommended Tuckman.

3:59 PM, September 29, 2005  
Blogger Quantjock said...

thanks Shoogu...

4:43 PM, October 07, 2005  
Blogger shooGu said...

If you're looking for books on the applications of stochastic calculus to finance, two books that were recently recommended to me are:

(1) Black Scholes and Beyond: Option Pricing Models by Neil A. Chriss


(2) Stochastic Calculus and Financial Applications by J. Michael Steele

3:23 PM, October 10, 2005  

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