Wednesday, August 6, 2008

Summer Reading List

The MiF program begins in less than a month and I've been spending the last few weeks with some preparatory reading. Why do this in my last free weeks of freedom? The job search cycle begins very early in the term and relying only on my coursework to prepare academically for interviews is simply not enough. There are too many things I need to have at least some knowledge of before walking into a meeting with a potential employer, and unfortunately most of them won't appear in coursework until the electives in the second and third term of the program. So, a couple of books have been my companions on my train ride to/from work. They are:

Paul Wilmott Introduces Quantitative Finance by Paul Wilmott
Paul Wilmott is quite ubiquitous in the quantitative finance world and I've been meaning to pick up one of his books for a long time. The recommendation from both an LBS alumnus and professor at the school for this book finally gave me the impetus to click the order button. The book is great in terms of content; it covers all major aspects of quant finance with a fairly practical bent. It sticks to the point and is not overly theoretical. The main issue I have with this book is that the author makes a lot of logical leaps in his topics without sufficient explanation. The leaps may seem obvious to someone with a lot of mathematical training, but this book is supposed to be an introductory text aimed at students (according to the back cover)!

After getting tired of reading sections of Wilmott multiple times to finally discern the meaning, I started reading John Hull's Options Futures and Other Derivatives (my edition is older than that in the Amazon link).
This book is famous among finance students as being a "bible" of quant finance, and I am sad to say that I've owned a copy for years without seriously reading it. I'm reading it now though, and I find the explanations highly logical and clear, a great book. I do find this book more basic than the Wilmott book however; it's a step down in terms of technical rigor. I think this book is a good grounding for Wilmott or other books. So, after reading Hull I'm going to revisit Wilmott, which should then be more accessible.

Any other good quant finance oriented books that you recommend? Do write a comment and give your suggestions. Cheers!

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