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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
2 comments:
Hi Quant Obsession.
I just came across your blog. I've just started my MSc. Finance and Economics program at LSE.
I wanted your advice on some stuff. I've been interviewing with lots of firms for a full time place and its gotten pretty crazy. I've been keeping up with FM436 (Fin. Econ) and FM402 (Fin. Risk Analysis) but I've totally fallen behind in FM437 (fin.Econometrics) and EC411 (Micro). I guess that by the end of the term, I might get an offer + get on top of three out of the four modules. But do you think that I'd be alright with only 3 being ok, or do you recommend cutting back on the interviews and focusing more on the academia? How did you find the mock exams in lent term?
Get back in touch:
p.g.john@lse.ac.uk
OR 07967 700 759
Dear LSE quant, My name is Euny Hong and I am a journalist at France 24, a French news network based in Paris. I would very much like to interview you for a piece I am doing on quant finance, as you seem to have the depth of understanding I am seeking. Could you please email me at ehong at france24 dot com? Cheers, Euny
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