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Quantitative Finance: Books

This guide is designed for the special needs of students in the MQF program at the Rutgers Business School.

Books about Financial Engineering

Here is a list of books about financial engineering from the International Association for Quantitative Finance, formerly the International Association of Financial Engineers, annotated with Rutgers availability, for those who want to familiarize themselves with the field of financial engineering. Other books may be found with the library catalog.

Biographies of Financial Engineers
This is a good way to get an appreciation of how financial engineering has grown and what types of work financial engineers do. These books are intended for general audiences and do not require technical background to understand:

The two books above are respectively a biography and an autobiography of two of the "founding fathers" of financial engineering.

  • How I Became a Quant, edited by Barry Schachter and Richard Lindsey, is a collection of 25 autobiographical essays by leading practitioners of financial engineering Alex and Dana HG172.A2H69 2007 and online.
  • Peter Bernstein, Capital Ideas gives a history of financial engineering with emphasis on the people who created the field. Dana HG173.B47 2005
  • Peter Bernstein, Capital Ideas Evolving continues the story of his first book by looking at some of the current issues being debated within financial engineering. Alex and Dana HG173.B473 2007

The Mathematics of Derivatives
The most widely used introduction to the field is John Hull, Options, Futures, and Other Derivatives.   The latest edition is usually on reserve at the Mathematical Sciences and Physics Library.  Older editions can be found at Dana Library and Mathematical Sciences and Physics Library.Dana and Mathematical Sciences HG6024.A3H85

Other books that are often used as introductions are:

https://catalog.libraries.rutgers.edu/vufind/catalog_search.php?record=1048419

For those with more advanced mathematical backgrounds, we can also suggest:

The Mathematics of Investments and Portfolio Management
A widely used introduction to the field is David Luenberger, Investment Science. Dana and Mathematical Sciences HG 4515.2.L84 1998

For those with more advanced mathematical backgrounds, we can also suggest:

Financial Markets and Financial Institutions
Financial engineers apply their work to financial markets and institutions. If you are looking for a broad based introduction to these fields, Alex Kuznetsov, The Complete Guide to Capital Markets for Quantitative Professionals (now available online at Rutgers) is designed to give new financial engineers this introduction. A shorter alternative, aimed at a more general audience, is Marc Levinson, Guide to Financial Markets Alexander HG173.L485 2003

Interviewing for a Job
The following books discuss in detail the process of interviewing for jobs in financial engineering, including a thorough review of the types of "brainteaser" questions often asked in these interviews and how to answer them:


Another good list of books is on the Master reading list for Quants, MFE (Financial Engineering) students from QuantNet.com.

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