Summaries for Quantitative Finance

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Numerical Analysis



Statistics, Econometrics, and Machine Learning


Optimization

  • The Big Picture: optimization taxonomy and problem types from NEOS Optimization Guide.
  • Jorge Nocedal and Stephen Wright. Numerical Optimization. Springer (July 27, 2006). Springer.
  • Dimitris Bertsimas. MIT Open Course 15.093J / 6.255J: Optimization Methods. MIT OCW, Fall 2009. Website.
  • Package scipy.optimize (API reference, tutorial). Package CVXOPT. Package CVXPY.

Data Science


Programming Learning Paths

General Resources


Full Stack Web Development

  • Other References:

Python


Java


R

  • Jared P. Lander. R for Everyone: Advanced Analytics and Graphics. Addison-Wesley Professional;  1st edition (December 29, 2013). Amazon.
  • Jared P. Lander. R Programming LiveLessons. Addison-Wesley Professional, 2013. 

C/C++

  • Yale N. Patt & Sanjay J. Patel. Introduction to Computing Systems: From Bits and Gates to C and Beyond. McGraw-Hill Education; 2nd edition (2003). Amazon.
  • Brian W. Kernighan & Dennis M. Ritchie. The C Programming Language. Prentice Hall; 2nd edition (April 1, 1988). Amazon.
  • Cplusplus.com. C++ Tutorials.
  • Paul Deitel. C++ Fundamentals I and II LiveLessons (July 2010, Prentice Hall). Safari Books Online.
  • Stephen Prata. C++ Primer Plus. SAMS; 5th edition (November 23, 2004). Amazon.
  • Stanley B. Lippman, Josee Lajoie, & Barbara E. Moo. C++ Primer. Addison-Wesley Professional; 5th edition (August 16, 2012). Amazon.
  • Stephen C. Dewhurst. C++ Common Knowledge. Addison-Wesley Professional (March, 2005). Amazon.
  • Stanley B. Lippman. Essential C++. Addison-Wesley Professional (November, 1999). Amazon.
  • Scott Meyers. Effective C++: 55 Specific Ways to Improve Your Programs and Designs. Addison-Wesley Professional; 3rd edition (May 22, 2005). Amazon.
  • Isocpp.org. C++ FAQ.
  • Heard at JPMC (2015): C++ Coding Guidelines, C++ Coding Standards.

Shell


Perl


Design Patterns and Software Architecture

 

DevOps


Economics & Economic History


All theory, dear friend, is gray, but the golden tree of life springs ever green. -- Johann Wolfgang von Goethe

  • 陕甘宁边区银行纪念馆《朱理治金融论稿》编纂委员会:《朱理治金融论稿》,北京:中国财政经济出版社,1993。简述
  • 爱德华多·加莱亚诺著,王玖等译,邓兰珍校:《拉丁美洲:被切开的血管》,北京:人民文学出版社,2001。当当网
  • 弗里德里希·李斯特著,陈万煦译,蔡受百注:《政治经济学的国民体系》,商务印书馆汉译世界学术名著丛书(1961年10月)。在线阅读,亚马逊
  • Friedrich List. The National System of Political Economy (1841)
  • 张夏准著,严荣译:《富国的伪善》,社会科学文献出版社,2009年1月。当当网
  • 张夏准著,孙建中译:《资本主义的真相——自由市场经济学家的23个秘密》,新华出版社,2011年6月。当当网
  • Ha-joon Chang. 23 Things They Don't Tell You About Capitalism. Bloomsbury Press; Reprinted edition (January 17, 2012). Amazon.
  • Peter E. Kennedy and Jay Prag. Macroeconomic Essentials: Understanding Economics in the News. The MIT Press, 4th edition (August 11, 2017). Amazon.
  • Peter L. Bernstein. A Primer on Money, Banking, and Gold. Wiley; 1st edition (September 2, 2008). Amazon.
  • Ib Ravn. Explaining money creation by commercial banks: Five analogies for public education. Real-World Economics Review, Issue No. 71.
  • 张夏准:《反思农业公共政策—历史的经验》,联合国粮农组织,2009。PDFWord.
  • Ha-Joon Chang. Rethinking public policy in agriculture: lessons from history, distant and recent. UN FAO, 2009. English original.
  • 威廉·多姆霍夫:《谁统治美国?公司富豪的胜利》,外语教学与研究出版社,2017年。当当网.
  • William Domhoff. Who Rules America? The Triumph of the Corporate Rich. McGraw-Hill Education; 7 edition (May 17, 2013). Amazon
  • 赖特·米尔斯:《权力精英》,新华出版社,2017年。当当网
  • Wright Mills. The Power Elite. Oxford University Press  (February 17, 2000). Amazon
  • EH.net: Measuring Worth.

Quantitative Finance: General

  • Alex Kuznetsov. The Complete Guide to Capital Markets for Quantitative ProfessionalsMcGraw-Hill Education (November 22, 2006). Amazon.
  • Sergio M. Focardi and Frank J. Fabozzi. The Mathematics of Financial Modeling and Investment Management. Wiley (March 29, 2004. Amazon.
  • Jay Vaananen. Dark Pools and High Frequency Trading for Dummies. For Dummies (February 23, 2015). Amazon.
  • MIT OpenCourseWare 18.S096: Topics in Mathematics with Applications in Finance, MIT OCW, Fall 2013.
  • John H. Cochrane. Business 35150: Advanced InvestmentsUniversity of Chicago Booth School of Business, Winter 2014.

Quantitative Finance: Resources for a Buy Side Fixed Income Quant


Quantitative Finance: Resources for a Fixed Income Pricing Quant

  • Marc Henrard. Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and Implementation. Palgrave Macmillan (2014). Amazon.

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  • Last updated: 2020-08-26