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 Download
 Peter Carr's A Practitioner's Guide to Mathematical Finance Download

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 with Derivagem CD (7th 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, 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

 Steven Shreve: Stochastic Calculus and Finance

 Bernt Oksendal: Stochastic Differential Equations: An Introduction with
Applications

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

 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
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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