Thisisalistofbooksthathavebeenprovedtobeusefulintheeducation of many Quants. Many of these books are used in the MFE programs. Feelfreetosuggest othertitlesindifferentcategoriesandI willaddto themasterlist.

FREEQUANTCAREERGUIDES 1)Whatdoquantdo?AguidebyMarkJoshi. 2)Paul&Dominic'sGuidetoQuantCareers 3)CareerinFinancialMarketsaguidebyefinancialcareers. 4) Interview Preparation Guide by Michael Page: Quantitative Analysis, andQuantitativeStructuring. LIFEASAQUANT 1)HowIbecameaQuant:Storiesof25TopQuants 2)MylifeasaQuant,byEmmanualDerman 3)WorkingtheStreetbyErikBanks 4)Liar'sPokerbyMichaelLewis 5)FooledbyRandomnessbyNassimNicholasTaleb 6)TheCompleteGuidetoCapitalmarketsforQuantitativeProfessionals BOOKSFORQUANTINTERVIEWS 1) Basic BlackScholes: Option Pricing and Trading by Timothy Falcon Crack 2) Heard on the Street: Quantitative Questions from Wall Street Job

InterviewsbyTimothyFalconCrack 3)FrequentlyaskedquestionsinQuantitativefinance 4)StartingYourCareerasaWallStreetQuant 5)APracticalGuidetoQuantitativeFinanceInterviewsbyXinfengZhou 6) Fifty Challenging Problems in Probability with Solutions by Frederick Mosteller 7)QuantJobInterviewQuestionsandAnswersbyMarkJoshiQuantJob Interview Questions and Answers by Mark Joshi, Andrew Downes, Nick Denson(Book)inBusiness&Economics GENERAL 1)TheConceptsandPracticeofMathematicalFinance,byMarkS.Joshi 2)PaulWilmottonQuantitativeFinance,byPaulWilmott 3)Options,Futures,andOtherDerivatives,byJohnC.Hull 4) A Primer for the Mathematics of Financial Engineering by Dan Stefanica 5)PrinciplesofFinancialEngineering(2ndEd)bySalihNeftci FINITEDIFFERENCES 1)OptionPricing:MathematicalModelsandComputation,byP.Wilmott, J.N.Dewynne,S.D.Howison 2) Pricing Financial Instruments: The Finite Difference Method, by DomingoTavella,CurtRandall MONTECARLO

1)MonteCarloMethodsinFinance,byPeterJaeckel.Errataavailableat jaeckel.org 2)MonteCarlo,byBrunoDupire(Editor) 3)MonteCarloMethodsinFinancialEngineering,byPaulGlasserman STOCHASTICCALCULUS 1)StevenShreve:StochasticCalculusandFinance 2) An Introduction to the Mathematics of Financial Derivatives, Second Edition,bySalihNeftcifreesolutionmanualavailableonline 3) Bernt Oksendal: Stochastic Differential Equations: An Introduction withApplications VOLATILITY 1)VolatilityandCorrelation,byRiccardoRebonato 2)Volatility,byRobertJarrow(Editor) INTERESTRATE 1) Interest Rate Models Theory and Practice, by D. Brigo, F. Mercurio. UpdatesavailableonlineProfessionalAreaofDamianoBrigo'swebsite 2)ModernPricingofInterestRateDerivatives,byRiccardoRebonato 3)InterestRateOptionModels,byRiccardoRebonato 4) Efficient Methods for Valuing Interest Rate Derivatives, by Antoon Pelsser 5)InterestRateModeling,byNickWebber,JessicaJames FOREIGNEXCHANGE

1)ForeignExchangeRisk,byJurgenHakala,UweWystup 2)MathematicalMethodsforForeignExchange,byAlexanderLipton STRUCTUREDFINANCE 1) The Analysis of Structured Securities: Precise Risk Measurement and CapitalAllocation(Hardcover)bySylvainRaynesandAnnRutledge 2)SalomonSmithBarneyGuidetoMBS&ABS,LakhbirHayre,Editor 3) Securitization Markets Handbook, Structures and Dynamics of MortgageandAssetbackedsecuritiesbyStone&Zissu 4)Securitization,byVinodKothari 5) Modeling Structured Finance Cash Flows with Microsoft Excel: A StepbyStepGuide(WileyFinance)(Paperback)(goodforunderstanding thebasics) 6) Structured Finance Modeling with ObjectOriented VBA (Wiley Finance)(abitmoredetailedandadvancedthanthestepbystepbook) STRUCTUREDCREDIT 1) Collateralized Debt Obligations, by Arturo Cifuentes (out of print but worthpickingupifyoufindacopy) 2) An Introduction to Credit Risk Modeling by Bluhm, Overbeck and Wagner(reallygoodread,especiallyonhowtomodelcorrelateddefault events&times) 3)CreditDerivativesPricingModels:Model,PricingandImplementation byPhilippJ.Schönbucher

4) Credit Derivatives:A Guide to Instruments and Applications byJanet M.Tavakoli 5) Structured Credit Portfolio Analysis, Baskets and CDOs (Chapman & Hall/Crc Financial Mathematics Series) by Christian Bluhm and Ludger Overbeck(HardcoverSep29,2006) VALUEATRISK 1)VAR,byvariousauthors 2)ValueatRisk,byPhilippeJorion 3)RiskMetricsTechnicalDocumentRiskMetricsGroup 4)RiskandAssetAllocationbyAttilioMeucci SAS/S/SPLUS 1)The LittleSASBook:A Primer,Third Edition by Lora D. Delwiche and SusanJ.Slaughter 2)ModelingFinancialTimeSerieswithSPLUS 3)StatisticalAnalysisofFinancialDatainSPLUS 4)ModernAppliedStatisticswithS SQLPROGRAMMING HANDSON 1)ImplementingDerivativeModels,byLesClewlow,ChrisStrickland ErrataavailableatError 2) The Complete Guide to Option Pricing Formulas, by Espen Gaarder Haug

EXCELANDFINANCE 1)AdvancedmodellinginfinanceusingExcelandVBA,byMaryJackson, MikeStaunton 2)FinancialModelling,bySimonBenninga EXCEL 1)DefinitiveGuidetoExcelVBA,byM.Kofler 2) Excel 2002 VBA Programmer's Reference, by John Green, Stephen Bullen,RobBovey,RobertRosenberg 3)Excel2003PowerProgramingwithVBA,byJohnWalkenbach 4)Excel2003Formulas,byJohnWalkenbach 5) Microsoft Excel 2002 Visual Basic for Applications Step by Step, by ReedJacobson 6)ExcelHacks PROGRAMMING 1)ProblemsSolvingwithC++,6thEdition,byWalterSavitch 2)AbsoluteC++,3rdEditionbyWalterSavitch 3)TheC++ProgrammingLanguage,SpecialEdition,byBjarneStroustrup 4)ThinkinginC++:IntroductiontoStandardC++,VolumeOne,byBruce Eckel 5)NumericalRecipesinC,alsoavailableonlinefromNumericalRecipes HomePage 6) GNU Autoconf, Automake, and Libtool, also available as free book

fromGNUAutoconf,AutomakeandLibtool 7) Open Source Development with CVS, by Karl Fogel, also available as freebookfromACVSBook 8)UMLDistilled,byMartinFowler,KendallScott 9)DesignPatterns,byE.Gamma,R.Helm,R.Johnson,J.Vlissides NOTENOUGHYET? 1)EnergyDerivatives,byLesClewlow,ChrisStrickland 2)HullWhiteonDerivatives,byJohnHull,AlanWhite 3) Exotic Options: The State of the Art, by Les Clewlow (Editor), Chris Strickland (Editor), Hardcover (June 1997), International Thomson BusinessPress;ISBN:0412631709 4) Market Models, by C.O. Alexander, Hardcover 514 pages (26 September,2001),JohnWileyandSonsLtd;ISBN:0471899755 5)Pricing,Hedging,andTradingExoticOptions,byIsraelNelken 6) Modelling Fixed Income Securities and Interest Rate Options, by Robert A. Jarrow, Hardcover (October 1995), McGraw Hill College Div; ISBN:0070323739 7)BlackScholesandBeyond,byNeilA.Chriss,Hardcover500pages(30 September,1996),IrwinProfessional(USA);ISBN:0786310251 8) Risk Management and Analysis: Measuring and Modelling Financial Risk,byCarolAlexander (Editor), Hardcover 304 pages Revised Ed (12 November,1998),JohnWileyandSonsLtd;ISBN:0471979570

9)MasteringRisk:Volume2Applications:YourSingleSourceGuideto BecomingaMasterofRisk,byCarolAlexander,Paperback264pages1 (24October,2001),PearsonEducation;ISBN:0273654365