New book
New book to be released in July 07:
How I Became a Quant: Insights from 25 of Wall Street's Elite
Tuesday, 12 June 2007
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Welcome to quant-obsession! This blog chronicles my views and thoughts on the exciting interdisciplinary field of quantitative finance*.
I will also share my experiences as I make the transition from
student to practitioner.
*synonymous with mathematical finance, financial mathematics, financial engineering
About me
- quant-obsession
- London, United Kingdom
- Graduated from LSE last year, then interned as a quantitative analyst with a IB, currently a risk manager with a global bank.
Investment banks
Quant Finance programmes
Quant Finance resources
Market news
Book List
- A Non-random Walk Down Wall Street by Andrew Lo & Craig MacKinlay
- A Random Walk Down Wall Street by Burton Malkiel
- An Introduction to the Mathematics of Financial Derivatives by Salih Neftci
- Analysis of Financial Time Series by Ruey Tsay
- Arbitrage Theory in Continuous Time by Tomas Bjork
- Brownian Motion and Stochastic Calculus by Ioannis Karatzas & Steven Shreve
- Continuous-time Finance by Robert Merton
- Credit Derivatives: CDOs and Structured Credit Products by Satyajit Das
- Credit Risk: Pricing, Measurement and Management by Darrell Duffie & Kenneth Singleton
- Dynamic Asset Pricing Theory by Darrell Duffie
- Dynamic Hedging by Nassim Taleb
- Elementary Stochastic Calculus, with Finance in View by Thomas Mikosch
- Equity Hybrid Derivatives by Marcus Overhaus
- Fischer Black and the Revolutionary Idea of Finance by Perry Mehrling
- Fooled by Randomness: The Hidden Role of Chance in Life and in the Markets by Nassim Taleb
- Implementing Derivative Models by Les Clewlow & Chris Strickland
- Interest Rate Modelling by Jessica James & Nick Webber
- Interest Rate Models: Theory and Practice by Damiano Brigo & Fabio Mercurio
- Interest-Rate Option Models by Riccardo Rebonato
- Investment Under Uncertainty by Avinash Dixit & Robert Pindyck
- Martingale Methods in Financial Modelling by Marek Museila & Marek Rutkowski
- Modeling Derivatives in C++ by Justin London
- Monte Carlo Methods in Financial Engineering by Paul Glasserman
- My Life as a Quant by Emanuel Derman
- Numerical Methods in Finance: A MATLAB-based Introduction by Paolo Brandimarte
- Options, Future and Other Derivatives by John Hull
- Paul Wilmott on Quantitative Finance by Paul Wilmott
- Principles of Financial Engineering by Salih Neftci
- Principles of Mathematical Analysis by Walter Rudin
- Probability with Martingales by David Williams
- Quantitative Methods in Derivative Pricing by Domingo Tavella
- Stochastic Calculus for Finance: Continuous-time Models by Steven Shreve
- Stochastic Calculus for Finance: The Binomial Asset Pricing Model by Steven Shreve
- Stochastic Differential Equations by Bernt Oksendal
- The Concepts and Practice of Mathematical Finance by Mark Joshi
- The Econometrics of Financial Markets by John Campbell, Andrew Lo & Craig MacKinlay
- The Mathematics of Financial Derivatives by Paul Wilmott, Sam Howison & Jeff Dewynne
Blog Archive
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2007
(48)
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June
(17)
- Days 3, 4 & 5: training and meeting with manager
- Day 2: training
- Day 1: network...network...network...
- Calendar
- From Quant to Riches
- No $
- AC402 Financial Risk Analysis
- Saturation point
- Riskless curve
- New book
- Credit spreads
- AC413 Fixed Income Markets
- More ABN Amro
- AC436 Financial Economics
- HJM
- Counting down
- Aleksey Vayner
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June
(17)
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