Summaries for Quantitative Finance

Numerical Analysis

• NIST Digital Library of Mathematical Functions. Companion to NIST Handbook of Mathematical Functions.
  

• John Burkardt's advice on choosing numerical integration routines from QUADPACK.
  

• David Goldberg: What Every Computer Scientist Should Know About Floating-Point Arithmetic.
• William H. Press, Brian P. Flannery, Saul A. Teukolsky, and William T. Vetterling. Numerical Recipes in C: The Art of Scientific Computing, 2nd edition. numerical.recipes. 

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

• Hadley Wickham & Garrett Grolemund. R for Data Science: Import, Tidy, Transform, Visualize, and Model Data. O'Reilly Media; 1st edition (2017). Amazon.
• Winston Chang. Cookbook for R. 
• Paul Teetor. R Cookbook: Proven Recipes for Data Analysis, Statistics, and Graphics. O'Reilly Media; 1st edition (March 23, 2011). Amazon.
• Winston Chang. R Graphics Cookbook: Practical Recipes for Visualizing Data. O'Reilly Media; 1st edition (January 6, 2013). Amazon.
  
• Tidyverse.org. ggplot2 Reference.
  
• Hadley Wickham. Advanced R. Chapman & Hall/CRC; 1st edition (September 27, 2014). Amazon.
• Hadley Wickham. R Packages: Organize, Test, Document, and Share Your Code. O'Reilly Media; 1st edition (April 13, 2015). Amazon.
• Yihui Xie, J. J. Allaire, and Garrett Grolemund. R Markdown: The Definitive Guide. Chapman and Hall/CRC; 1 edition (July 19, 2018). Amazon.

• 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.

• Erich Gamma, Richard Helm, Ralph Johnson & John Vlissides. Design Patterns: Elements of Reusable Object-Oriented Software. Addison-Wesley Professional (November 10, 1994). Amazon.
  
• TutorialsPoint.com. Design Patterns in Java Tutorial.
• Oodesign.com. Design Patterns.
• HowToDoInJava: GoF Design Patterns.
• BlackWasp: Gang of Four Design Patterns.
• Robert C. Martin. Clean Architecture: A Craftsman's Guide to Software Structure and Design. Prentice Hall; 1 edition (September 20, 2017). Amazon.
• Robert C. Martin. Clean Code: A Handbook of Agile Software Craftsmanship. Prentice Hall; 1 edition (August 11, 2008). Amazon.
• Stanford University. Programming Paradigms (by Jerry Cain, 2008). YouTube.
  

Economics, Finance, Financial & Economic History

• 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.

• Jay Vaananen. Dark Pools and High Frequency Trading for Dummies. For Dummies (February 23, 2015). Amazon
• Robert S. Kricheff. A Pragmatist's Guide to Leveraged Finance: Credit Analysis for Bonds and Bank Debt. FT Press (March 2012). Amazon.

• OpenGamma Quantitative Research
  • OpenGamma Strata Library
  • Rates
    • The Analytic Framework for Implying Yield Curves from Market Data.
    • Multiple Curve Construction.
    • Multi-Curves: Variations on a Theme.
    • Multi-Curve Framework with Collateral.
    • Multi-Curves Framework with Stochastic Spread: A Coherent Approach to STIR Futures and Their Options.
    • Curve Calibration in Practice: Requirements and Nice-to-Haves.
    • Interest Rate Instruments and Market Conventions Guide.
    • Bill Pricing.
    • Bond Pricing.
    • Bond Futures: Description and Pricing.
  • Credit
    • Pricing and Risk Management of CDS, with a Focus on the ISDA model.
    • Conventions for Single-Name CDS.
• Bloomberg
  • Bloomberg Open API Library Support.
  • Curves
    • The New Swap Math.
    • OIS Discounting and Dual-Curve Stripping Methodology at Bloomberg. 
    • Extending USD OIS Curves Using Fed Funds Basis Swap Quotes.
    • Building the Bloomberg Interest Rate Curve -- Definitions and Methodology.
    • Default-Adjusted Par Curves.
    • OIS Framework through BVAL Derivatives.
    • Overview of Bloomberg Models for Interest Rate Derivatives in DLIB.
  • An introduction to the use of the Bloomberg system in swap analysis.
• Numerix
  • Curves
    • A Note on Constructing Treasury Yield Curves.
• Kalotay. BondOAS Library API Documentation.