Quant Books
by Damiano Brigo and Fabio Mercurio
by Stefan Hollos and Richard Hollos
Our very own book. A mathematical examination of the Kelly system. Introductory review chapter on probability for analyzing gambling systems.
by Robert G. Williams
A patchwork quilt of interviews with people involved in foreign exchange. In between is commentary. The interviews component of the book was the most interesting. A broad spectrum of interviewees: from a forex trader at a New York City bank, to an architect of the transition to Euro working in London.
by Sebastian Mallaby
A history of hedge funds. Written superbly well. Major flaw: no mention of Ed Thorp.
by Gilbert Strang
by Richard Bellman
by Jack D. Schwager
by Jack D. Schwager
This and its sequel are essential for new traders.
by John M. Blatt
by Nassim Nicholas Taleb
by William Poundstone
Surely the most entertaining book on risk management ever. Non-mathematical. The author attempts to make the case that the Kelly system of betting is the most practical (i.e. minimizes risk, maximizes profit).
by Thomas A. Bass
An example that those knowledgeable in math, physics, and programming, can have a tremendous advantage in finance. The subjects of this book show just how much the advantage can be worth.
by Jason Zweig
The theme of this book is humans are not rational, but they are predictable. It's packed with examples of this, most related to making money, many not.
by John von Neumann and Oskar Morgenstern
by Didier Sornette
by E. T. Jaynes
by William H. Press, Saul A. Teukolsky, William T. Vetterling and Brian P. Flannery
by Paul Wilmott
by Barton Biggs
Both highly entertaining and educational. A distillation of the author's 50 years in the hedge fund business. Contains the most recondite words ever found in a finance book.
by Sanjay K. Nawalkha, Gloria M. Soto and Natalia K. Beliaeva
by Sidney Homer
by James R. Schott
by Sanjay K. Nawalkha, Gloria M. Soto and Natalia K. Beliaeva
by Peter L. Bernstein
The greatest value in this book is that it's packed with the author's knowledge of finance, from 63 years of experience.
by William Feller
by Thomas M. Cover and Joy A. Thomas
by Bruce Tuckman
by Lionel Martellini, Philippe Priaulet and Stephane Priaulet
by Andrew M. Chisholm
by Edwin Lefèvre
by George E. P. Box, Gwilym M. Jenkins and Gregory C. Reinsel
by Emanuel Derman
by Stephen Briese
A technical look at COT data for reading the tea leaves. Uses unusual indicators with analogy to Newtonian mechanics.
by Pietro Veronesi
by Sylvan G. Feldstein and Frank J. Fabozzi
by Frank J. Fabozzi
by Benoit Mandelbrot
by Edward O. Thorp
by Avinash K. Dixit and Barry J. Nalebuff
by Gregory Zuckerman
About those who, starting around the year 2005, realized that they could benefit financially from the unsustainable upward trajectory of U.S. residential real estate prices. Good level of detail on the trades.
by Roger Lowenstein
by Barrie A. Wigmore
by Scott Patterson
A description of how several quantitative hedge funds operate. Best thing is the coverage of Ed Thorp and Jim Simons. The rest are a herd of cows.
by Thomas H. Cormen, Charles E. Leiserson, Ronald L. Rivest and Clifford Stein
by John A. Hertz, Anders S. Krogh and Richard G. Palmer
by David G. Luenberger
by Frank J. Fabozzi
by Bernard Baumohl
by Richard A. Epstein
by Daniel T. Gillespie
by Anthony Crescenzi and Mohamed El-Erian
by Van Tharp
Aims to help you develop your own trading system. Non-mathematical. Focuses a lot on psychology since the author is a psychologist.
by Frank Fabozzi
by Frank Fabozzi
by Galen Burghardt and Terry Belton
by Marcia Stigum and Anthony Crescenzi
by Frank Fabozzi
by Maggie Mahar
An extraordinarily well crafted history of the last great bull cycle in the U.S. stock market. Great job elaborating on its causes.
by Gilbert Strang