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These books are mathematical books that have important applications in quantitative finance. Quant is supposed to have a solid background in mathematics. They include calculus, linear algebra, stochastic, statistics, probability. Good mathematical books are essential to master those subjects and refer to when necessary. As there are so many mathematical books, we try to list those most useful for quants and may ignore many other good books out there. |
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This is not a pure mathematical book, but it is very important for quants to finish their algorithms for financial modeling quickly and correctly. This book has all the numerical algorithms you need for quantitative finance applications. Even though the writings of C++ programming are not perfect, the essence of the book, the algorithms, are always proved to be extremely useful for quants as well as for scientists and engineers. You only need one algorithm book, Numerical Recipes in C++, and NO MORE! |
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(strongly recommended) 