Sunday, May 26, 2013

My favourite quant reading list

This year was a year of reading quant stuffs. There are a couple kind of quants: derivative pricing, quantitative trading, and portfolio quant. These are the three corresponding books:

1. Stochastic Calculus for Finance II - Steven Shreve: Everything one needs to know about derivative pricing, presented in a mathematical analysis manner. Q-world quant.

2. Quantitative Trading - Earnest Chan: Introduction into the field of systematic trading, with basic strategies, presented in a practical approach.

3. Theory of Financial Decision Making - Ingersoll: Portfolio Management, CAPM, mean-variance analysis, utility theory, and the P-world kind of quant.