Resources
List of collated resources from multiple sites. We're going through them to vet which ones are actually useful, so in the meantime, feel free to look through whatever you want.
Stack Exchange
- Quantitative finance books we should have on our shelves
- Canonical books for statistics applied to finance
- Video lectures and presentations on quantitative finance
- Blogs or articles to get started with quantitative finance
Textbooks (Quant)
- Active portfolio management
- John Hull - "Options, Futures and Other Derivatives" (mentioned multiple times)
- Steven Shreve - "Stochastic Calculus for Finance" (Continuous Time Models) series (mentioned multiple times)
- John Cochrane - "Asset Pricing" (mentioned multiple times)
- Paul Wilmott - "Paul Wilmott on Quantitative Finance" (mentioned multiple times)
- Mark Joshi - Multiple books mentioned, including "The Concepts and Practice of Mathematical Finance" and "C++ Design Patterns and Derivatives Pricing"
- Damiano Brigo - Multiple books mentioned, especially on interest rate models
- Nassim Nicholas Taleb - "Dynamic Hedging"
- Sheldon Natenberg - "Option Volatility and Pricing"
- Iain J. Clark - Books on FX and commodity options
- Darrell Duffie - "Dynamic Asset Pricing Theory"
- Rebonato - Books on interest rate models
- Hastie, Tibshirani and Friedman - "The Elements of Statistical Learning"
- Attilio Meucci - Risk and Asset Allocation
- Option Pricing And Volatility - Advanced Strategies And Trading Techniques - Sheldon Natenberg
- "Quantitative Trading" and "Algorithmic Trading" by Ernest P. Chan
- "Advances in Financial Machine Learning" by Marcos Lopez de Prado
Textbooks (Other)
- PRML (Probabilistic Machine Learning is more up to date)
- Programming Massively Parallel Processors
- CUDA by example
- Probabilistic Machine Learning: An Introduction (part 1)
- Probabilistic Machine Learning: Advanced Topics (part 2)
Books
- Peter L. Bernstein - "Against the Gods"
- Michael Lewis - "Liar's Poker"
- Edwin Lefevre - "Reminiscences of a stock operator"
- Gregory Zuckerman - "The man who solved the market" (Jim Simons)
- Ed Thorp - "A man for all markets" (Ed Thorp)
- Jim Gatheral - "The Volatility Surface"
- Emanuel Derman - "My Life as a Quant"
- Michael Lewis - "Flash Boys" (About high frequency trading)