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.

Statistics and Econometrics for Practitioners

NIST/SEMATECH e-Handbook of Statistical Methods. This handbook is to help scientists and engineers incorporate statistical methods in their work efficiently.
StatLib--Applied Statistics algorithms. 300+ statistical algorithms published by The Royal Statistics Society.
陈希孺：《数理统计学简史》。长沙：湖南教育出版社，2002。
韦博成、鲁国斌、史建清：《统计诊断引论》。南京：东南大学出版社，1991。
Roberto Pedace. Econometrics for Dummies. For Dummies; 1st edition (June 24, 2013). Amazon.
Peter Kennedy. A Guide to Econometrics. Wiley-Blackwell; 6th edition (February 19, 2008). Amazon.
Statistics Boot Camp
- Simon Wood. Core Statistics.
- Larry Wasserman. All of Statistics.
- Allen B. Downey. Think Stats: Probability and Statistics for Programmers. O'Reilly Media; 1 edition (July 25, 2011). Amazon.
Generalized Additive Models
- Kim Larsen. GAM: The Predictive Modeling Silver Bullet (July 30, 2015).
- Magne Aldrim. Generalized addtivie models in R (with examples, October, 2012).
- Trevor Hastie. Package 'gam' (July 20, 2018).
- Simon Wood. Website at University of Bristol (GAM and more).
Regression Diagnostics
- Ingrid Brady: Residual analysis.
- Quick-R: Regression Diagnostics.
- John Fox: Regression Diagnostics, November 2009.
- car: Functions to accompany J. Fox and S. Weisberg, An R Companion to Applied Regression, 3rd edition, Sage.
- influence.ME: Tools for detecting influential data in mixed effects models.
- olsrr: Tools for building OLS regression models.
R packages for outlier detection: "CausalImpact", "extremevalues", "outliers", "OutlierDetection", "OutlierO3", the Local Outlier Factor algorithm.
Statistics in Python: StatsModels.

Data Science

Jeroen Janssens: Data Science at the Command Line.
Hadley Wickham & Garrett Grolemund. R for Data Science: Import, Tidy, Transform, Visualize, and Model Data. O'Reilly Media; 1st edition (2017). Amazon.
Jake VanderPlas. Python Data Science Handbook. O'Reilly Media; 1 edition (December 10, 2016). Amazon.
Data Science Tools: Matplotlib's online gallery, Bokeh, Scikit-Learn, Scikit-Image, pandas.0.24.1 documentation, Analyzing and Visualizing Data with Power BI.
Gang Su: A comprehensive list of handy R packages.
Machine Learning
- Scikit-Learn.
- R-bloggers. In-depth Introduction to Machine Learning in 15 Hours of Expert Videos.
- Kevin Murphy & Francis Bach. Machine Learning: A Probabilistic Perspective. The MIT Press; 1 edition (August 24, 2012). Amazon.
- Christopher Bishop. Pattern Recognition and Machine Learning. Springer (April 6, 2011). Amazon.
- Coursera. Machine Learning by Andrew Ng.
- Andreas Mueller and Sarah Guido. Introduction to Machine Learning with Python. O'Reilly Media; 1 edition (October 21, 2016). Amazon.
- Sebastian Raschka & Vahid Mirjalili. Python Machine Learning. Packt Publishing; 2nd edition (September 20, 2017). Amazon.

Programming Learning Paths

Full Stack Web Development

The App Brewery: Web Development Course Resource List.

Artur Ejsmont. Web Scalability for Startup Engineers. McGraw-Hill Education; 1st edition (June 23, 2015). Amazon.
Mikito Takada. Distributed Systems for Fun and Profit.
Martin Kleppmann. Designing Data-Intensive Applications: The Big Ideas Behind Reliable, Scalable, and Maintainable Systems. 1st edition (March 16, 2017). Amazon.
Oracle. Database Reference.
TechOnTheNet. Tutorials on SQL, Oracle/PLSQL, SQL Server, MySQL, MariaDB, PostgreSQL, SQLite.

W3Schools Online Web Tutorials.

Python

Pete R. Jemian. PyDev: Developing Python code in Eclipse.
Anaconda. 1) Conda User Guide. 2) Getting Started with Anaconda Navigator.
TutorialsPoint.com. Python 3 Tutorial.
GeeksforGeeks: Python Programming Language.
Jake VanderPlas. A Whirlwind Tour of Python. O'Reilly Media; 1st edition (August, 2016).
Jake VanderPlas. Python Data Science Handbook. O'Reilly Media; 1 edition (December 10, 2016). Amazon.
Wes McKinney. Python for Data Analysis. O'Reilly Media; 2nd edition (October 20, 2017). Amazon.
Luciano Ramalho. Fluent Python. O'Reilly Media; 1 edition (August 20, 2015). Amazon.
Brett Slatkin. Effective Python: 59 Specific Ways to Write Better Python. Addison-Wesley Professional; 1 edition (March 8, 2015). Amazon.
Python.org. 1) The Python Standard Library (3.7.1). 2) Python HOWTOs. 3) PEP8 -- Style Guide for Python Code.
Kenneth Reitz & Tanya Schlusser. The Hitchhiker's Guide to Python: Best Practices for Development. O'Reilly Media; 1 edition (September 18, 2016). Amazon.
Pandas
- Theodore Petrou: Minimally Sufficient Pandas.
- Theodore Petrou. Pandas Cookbook: Recipes for Scientific Computing, Time Series Analysis and Data Visualization. Packt Publishing (October 23, 2017).
- Wes McKinney: A look inside pandas design and development.
- DataQuest: SettingwithCopyWarning.
Jupyter
- Karlijn Willems. Jupyter Notebook Tutorial.
- A gallery of interesting Jupyter Notebooks.
- Jupyter nbviewer.
SciPy
- scipy-lectures.org: Scipy Lecture Notes.
- SciPy Cookbook.
- docs.scipy.org. NumPy Quickstart Tutorial. NumPy and Scipy Documentation.
- scipy.stats
xlwings: Quickstart, video course.
SQL Alchemy.
Matt Makai. Full Stack Python.
O'Reilly's Python resource.

Java

Java Mind Map
- A MindMap for Java Developer Interviews
- Java Technology Concept Map
Java Tools:
- Java code visualization: ObjectAid UML Explorer, Youtube tutorial, IBM Rational Software Architect Designer.
- Entity Relationship Diagram: ER Master, ER Diagram Tutorial.
- Java Profiler: JProfiler, YourKit.
Tutorials & Courses
- TutorialsPoint.com: Eclipse Tutorial.
- GeeksforGeeks: Java Programming Language. (Thread safe Java Singleton design pattern)
- Jenkov.com: Java and Web. (Java IO: Serializable, Java Reflection, Java JDBC, Java JSON)
- Baeldung: Java, Spring and Web. (A Guide to Java Enums. Attaching Values to Java Enum)
- Oracle. Java Tutorials Learning Paths (for JDK 8).
- Paul Deitel. Java Fundamentals LiveLessons Parts I, II, III, and IV. Prentice Hall (November 17, 2016). informIT.
- Dheeru Mundluru. Java In-Depth: Becoming a Complete Java Engineer. Last updated 10/2018, Udemy.
Desk References
- Cay S. Horstmann: Core Java for the Impatient (Covers Java SE 8). Addison-Wesley Professional; 1 edition (February 12, 2015). Amazon.
- Robert Liguori & Patricia Liguori. Java 8 Pocket Guide: Instant Help for Java Programmers. O'Reilly Median; 1st edition (April 28, 2014).
- Joshua Bloch. Effective Java. Addison-Wesley Professional; 3rd edition (January 6, 2018). Amazon.
- Herbert Schildt. Java: The Complete Reference. McGraw-Hill Education; 10 edition (October 11, 2017). Amazon.
Oracle. 1) Java SE 8 API Specification. 2) Database JDBC API Reference. 3) Java Serialization API.
Apache. 1) Apache Commons Lang 3.9-SNAPSHOT API. 2) Log4j 2 Javadoc API Documentation.

Style Guide: 1) Oracle. 2) Google Java Style Guide. 3) Java 8 Pocket Guide Naming Conventions. 4) How to Write Doc Comments for the Javadoc Tool.
Angelika Langer. Java Generics FAQs.
Interviews: 150 Java Interview Questions and Answers (ebook), Java Interview Questions, Java Collections API Design FAQ.

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.
R Language Definition

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

Software Carpentry Foundation. Shell Tutorial.
Stanford CS Education Library. Unix Programming Tools.
Bruce Barnett. UNIX SHELL Quote Tutorial.
Cygwin User's Guide.
Mehryar Mohri. [V22.0468-001] Spring 2008 Unix Tools.
Chris Johnson. Pro Bash Programming: Scripting the Linux Shell. Apress; 1st ed. (October 19, 2009). Amazon.

Perl

Greg London. Impatient Perl.
Simon Cozens. Beginning Perl. Perl.org free online Perl books.
James Lee. Beginning Perl. Apress; 3rd edition (April 12, 2010). Amazon.
Gabor Szabo. Beginner Perl Maven. Beginner Perl Maven video course.
Perldoc.perl.org. Manual, Reference, and Modules.

Design Patterns and Software Architecture

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.

DevOps

Maven
- Sonatype. 1) Maven by Example. 2) Maven: The Complete Reference.
- Balaji Varanasi & Sudha Belida. Introducing Maven. Apress; 1st edition (November 26, 2014). Amazon.
- Jason Taylor. Maven Crash Course: Step-by-Step Introduction for Beginners. Last updated 08/2017. Udemy.
- Maven Central Repository. 1) Repo. 2) Search Engine. 3) Nexus Repository Manager.
- Apache Maven Project. 1) Maven Documentation. 2) Frequently Asked Technical Questions. 3) Apache Maven Javadoc Plugin. 4) Books and Resources.
- The Maven 2 POM demystified.
Jenkins
- Jenkins User Handbook.
- Jenkins User Documentation.
- Jenkins Boot Camp.
- Jenkins 2 Boot Camp.
- Brent Laster. Jenkins 2: Up and Running. O'Reilly Media; 1st edition (May 31, 2018). Amazon.
Russ McKendrick, Pethuru Raj, Jeeva S. Chelladhurai, and Vinod Singh. Docker Bootcamp: The fastest way to learn Docker. Packt Publishing; 1 edition (April 27, 2017). Amazon.
DevOps School.
DevOps Boot Camp.
RebelLabs reports and cheat sheets.
WinDirStat: A disk usage statistics viewer and cleanup tool for Microsoft Windows.

Economics, Finance, Financial & 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.

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.

WallStreetPrep. Crash Course in Bonds.

Quantitative Finance

Day count conventions that everyone fixed income quant should know: wikipedia, treasures.org, NASDAQ, OpenGamma Strata.
MIT OpenCourseWare 18.S096: Topics in Mathematics with Applications in Finance, MIT OCW, Fall 2013.
John H. Cochrane. Business 35150: Advanced Investments, University of Chicago Booth School of Business, Winter 2014.
Marc Henrard. Interest Rate Modelling in the Multi-Curve Framework: Foundations, Evolution and Implementation. Palgrave Macmillan (2014). Amazon.

OpenGamma Quantitative Research
Bloomberg
- Bloomberg Market Concepts.
- 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.
  - USD Multi-Curve Construction: Bootstrapping vs. Global Solving.
  - Expanded View: Interpolation Methods in CorssAsset.
Kalotay. BondOAS Library API Documentation.

Last updated: 2019-08-21

Summaries for Quantitative Finance

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Summaries for Quantitative Finance

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