First of all, there's no "decent quant finance book" in existence.
But there are attempts at it. Most notable are:
- "An Introduction to the Mathematics of Financial Derivatives", by Neftci
- Wilmott books aren't bad.
- Brigo's "Interest Rate Models" is... flaky. It is a lot of material and seems to be quite rigorous, until some point most crucial for understanding, which gets skipped over. The interviews with traders at the end are good.
- Only buy Choudhry books, if you want to talk good about finance.
This is very much a beginner's book. When I interviewed for internships in the summer of 2008, the interviewers expected that I would already be familiar with a large portion of the content of this book.
It really depends on what you're trying to achieve. The skills and knowledge necessary for long-term equity investment, short-term statistical arbitrage, derivative pricing and high-frequency trading are all quite different.
Comments
Recommendations on the latter?
First of all, there's no "decent quant finance book" in existence.
But there are attempts at it. Most notable are:
- "An Introduction to the Mathematics of Financial Derivatives", by Neftci
- Wilmott books aren't bad.
- Brigo's "Interest Rate Models" is... flaky. It is a lot of material and seems to be quite rigorous, until some point most crucial for understanding, which gets skipped over. The interviews with traders at the end are good.
- Only buy Choudhry books, if you want to talk good about finance.
The gold standard for quant books: Hull's Options, Futures, and Derivatives.
http://www.amazon.com/Options-Futures-Derivatives-DerivaGem-...
This is very much a beginner's book. When I interviewed for internships in the summer of 2008, the interviewers expected that I would already be familiar with a large portion of the content of this book.
It really depends on what you're trying to achieve. The skills and knowledge necessary for long-term equity investment, short-term statistical arbitrage, derivative pricing and high-frequency trading are all quite different.
Investment Science by Luenberger