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klemenv


Total Posts: 4
Joined: Oct 2005
 
Posted: 2005-10-16 22:35
Hi, I am finishing my MSc degree and would like to move in NuclearPhynance. My major is in finance&investment, so I have good knowledge of different derivatives and 10 years ago I've finished BSc in Ma-Phy (so my Math is a little rusty).

I am looking for:

- an entry book for Mathematical Finance
- a book that describes C++ coding for derivatives (book, like Numerical Recepies is for Physics)


Books that I am currently looking are:

- The Concepts and Practice of Mathematical Finance (Mathematics, Finance and Risk) - Mark S. Joshi
(or there is better startup book for Mathematical Finance)


- Financial Instrument Pricing Using C++ - Daniel J. Duffy
-Modeling Derivatives in C++ (Wiley Finance) - Justin London
- C++ Design Patterns and Derivatives Pricing - Mark S. Joshi
(which one do you recomend out of this three?)

Volatility and Correlation : The Perfect Hedger and the Fox - Riccardo Rebonato

What would you recomend?

athletico


Total Posts: 932
Joined: Jun 2004
 
Posted: 2005-10-17 05:30

Rebonato, Joshi's and Duffy's books are all first-rate.  I can't say much for the other one there.  I'd also suggest Implementing Derivative Models and Complete Guide to Option Pricing Formulas for their pseudo-code.

You'll also want to pick up John Hull's book 6th Edition.  It's usually one of the first books picked up by people who move to quantfin.

As for the numerical recipes in C++ for derivatives, check out Financial Numerical Recipes


IAmEric
Phorgy Phynance
Banned
Total Posts: 2961
Joined: Oct 2004
 
Posted: 2005-10-17 09:31
- an entry book for Mathematical Finance

Anytime anyone asks this question (which seems often), I always recommend a little gem, "Financial Calculus" by Baxter & Rennie.

James
NP High Priest

Total Posts: 2024
Joined: May 2004
 
Posted: 2005-10-17 09:35
For entry level, Quantitative Financial Economics by Cuthbertson and Nitzsche, followed by Joshi, is the way to go. But I'd say ditto on the books mentioned here.

"same things that make a Phrench bank suck, make it sort of cool" - Weinstein

James
NP High Priest

Total Posts: 2024
Joined: May 2004
 
Posted: 2005-10-19 08:27
Also, go here and read Fama's lecture notes. Really really great:

http://gsbwww.uchicago.edu/fac/eugene.fama/research/Foundations%20of%20Finance/


"same things that make a Phrench bank suck, make it sort of cool" - Weinstein

nsande


Total Posts: 611
Joined: Apr 2004
 
Posted: 2005-10-19 09:38

As a quant you are very likely to do some (i.e. a humongous amount of) Monte Carlo calculations and the book by Glasserman provides a very good introduction.

Monte Carlo Methods in Financial Engineering

 


"We live on an island of knowledge surrounded by a sea of ignorance. As our island of knowledge grows, so does the shore of our ignorance." John A Wheeler

polymorphic


Total Posts: 21
Joined: Mar 2005
 
Posted: 2005-10-21 04:35
Hull, Baxter&Rennie are very good, that is true.

Among the three you cite, I would suggest London's book, though it is not the best and has received a lot of very bad reviews. Personally I really do not like MJ's book, because it reads like a rough draft to me, is limited in scope, etc...

For the target audience that MJ aims at, I would much more recommend Lamberton&Lapeyre
or Shreve II or also Bingham & Kiesel (though I am no fan of the latter).

You can get shedloads of good stuff from the web. Just google up people like Avellaneda, Gatheral,
El Karoui, Carr. They all have free fun stuff which is often much more state of the art than many books out there, but still in lecture format for easy ingestion.

For scientifically literate people, but not necessarily mathematicians, who are interested in getting into the industry as a practitioner, as opposed to becoming an academic, I recommend more partically orientated books. Rebonato's stuff sits between the two, but check out Hull, Natenberg, Cottle or Tuckman for fixed income (that one is hard to beat), Flavell, Miron and Flanell (for swaps),
Taleb for equity. Neftci's book on financial engineering is exquisite, though I hate his first book on derivatives. Luenberger is good too. People (students I mean) often try to approach the subject too much from a maths perspective and not enough from a finance perspective.

There are some fine books written by physicists, which are a bit short, but which could turn out
to be great foundations for future developments. I am thinking of Bouchaud&Potters, Mantegna&Stanley or Dash's recent big fatty. You also have Paul and Baschnagel, or Schmidt
and also McCauley. Baaquie is there too, though this is a lot more esotheric. There is also a
chapter in Kleinert's book path integrals.

More mathematically orientated stuff. I like Musiela&Rutkowski, Bjork is good but academic, but
really good. Duffie is terse.

Further W****tt's stuff is really quite good (even if the character can be annoying at times). Lyuu
is very dense, but surprisingly good on some things and very independently written. The bibliography in this book, shows that the author, a CS guy, has at least bothered citing original
work, and probably read a lot of the stuff too.

I would definitely stay away from Choudhry's and Fabozzi's stuff. Both have published at least
150 books each, a lot of copying, pasting going on there.

Man, I could go on and on and on and on and on and on, seriously, on and on and on and on
and on.......


hammerbacher


Total Posts: 189
Joined: Aug 2005
 
Posted: 2005-10-21 16:16

NO!!!

sorry, but DO NOT buy London's book, at ANY cost.  most of the quants around here have bought this book, and it's sort of a running joke to walk by someone's desk, pick up the london book, share a knowing look, and together share a laugh.  it's the worst example of rush-to-publish and hungry-quants-will-buy-anything that i've ever seen.

each chapter of the book goes like this: first, pick a model.  then, go to quantlib and patch together some of their code for the model (make sure the code doesn't compile).  next, write a few paragraphs of empty sentences lacking any insight to introduce the model.  then move on to the next model.

as athletico says, the Duffy book is good, doing what london is supposed to do  (well, maybe the first few chapters are a bit slow, and he's not terribly comprehensive, but still...).  the only thing i like about the london book is the table of contents--it sounds so promising.  but jesus is it bad.

also, haven't heard anyone mention this book on the forum, but if you want an easy read that will go over the basics in a binomial tree setting (usually good for beginners), check out chriss's "black scholes and beyond".  not saying this should be a centerpiece of your library, but it's sort of a nice weekend read to solidify the concepts when you're starting out.


tripitaka


Total Posts: 978
Joined: Jun 2004
 
Posted: 2005-10-21 17:41

i really like baxter and remmie as it manages to appeal to both the mathematician (seems pretty rigorous) in me and the idiot (it's quite readable and the first few chapters esp are golden imv). Given it was my first QF purchase, picked at random off a shelf i think i struck gold, frankly.

However, I'm not surprised IAE likes it, but I do wonder who exactly it's suitable for. As an interested amateur, so to speak, I am not qualified to have a view, but is it not really a bit on the 'pure' side for most?


Johnny
Founding Member

Total Posts: 4331
Joined: May 2004
 
Posted: 2005-10-21 18:17
I'm no math geek but I found it very readable.

Ca plane pour moi

Crassus


Total Posts: 1194
Joined: May 2004
 
Posted: 2005-10-21 18:25
just flipped London's book. ok for a resume of all things quant.

The bot deal made the situation impossible for the player to win.

adas


Total Posts: 183
Joined: Sep 2004
 
Posted: 2005-11-26 06:31

I'm posting the following Excel file with a list of books covering some areas in quantfin.  The list is not mine, but extracted from another forum. Attached File: Booklist.zip

Hope there's something useful here.


I don't think, therefore I ham.
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