Quant-Books

A curated list of must read Quant-Books

Commodities

• Taylor, F. (2012). Mastering the commodities markets : a step-by-step guide to the markets, products and their trading (Electronic ed.). Pearson.

• Clark, Iain J. (2014) [Commodity Option Pricing: A Practitioner's Guide.] Wiley

  • Available online Here

• Neil C. Schofield (2021) Commodity Derivatives: Markets and Applications, 2nd Edition. ISBN: 978-1-119-34910-5. Wiley

• Bouchouev, I. (2023). Virtual Barrels: Quantitative Trading in the Oil Market. Switzerland: Springer Nature Switzerland.

Credit

• Bielecki, T.R. and Rutkowski, M. (2002) Credit Risk: Modeling, Valuation and Hedging. Springer, Berlin.

• O’Kane, D. (2011) Modelling Single-Name and Multi-Name Credit Derivatives. The Wiley Finance Series. Wiley.

• Chaplin, G. (2012) Credit Derivatives: Trading, Investing and Risk Management. John Wiley & Sons, Ltd

Equities

• Bossu, Sébastien. (2014) Advanced Equity Derivatives : Volatility and Correlation. 1st edition. Hoboken, New Jersey: John Wiley & Sons, Print.

• Bouzoubaa, M. (2014) Equity Derivatives Explained. Palgrave Macmillan UK.

FX

• Clark, Iain J. (2011) Foreign Exchange Option Pricing: A Practitioner's Guide. Wiley ISBN: 978-1-119-97860-2

Foundations & General Quantitative Finance

• Jeanblanc, M., Yor, M. and Chesney, M. (2009) Mathematical Methods for Financial Markets. Springer, Finance.

• Hull, J. (2014) Options, Futures and Other Derivatives. 9th Edition, Prentice Hall, Upper Saddle River.

• Privault, N. (2022). Introduction to Stochastic Finance with Market Examples. Chapman and Hall/CRC.

• Privault, N. (2025). Notes on Stochastic Finance.

Interest Rates

• Brigo, D. and Mercurio, F. (2006) Interest Rate Models—Theory and Practice, with Smile, Inflation and Credit. 2nd Edition, Springer, Berlin, 26-62.

  • Available online Here

• Andersen, L.B.G. and Piterbarg, V.V. (2010) Interest Rate Modeling. Volume 1: Foundations and Vanilla Models. Atlantic Financial Press. Andersen, L.B.G. and Piterbarg, V.V. (2010) Interest Rate Modeling. Volume 2: Term Structure Models. Atlantic Financial Press. Andersen, L.B.G. and Piterbarg, V.V. (2010) Interest Rate Modeling. Volume 3: Products and Risk Management. Atlantic Financial Press.

  • Available Here

• Jörg Kienitz. (2014) Interest Rate Derivatives Explained: Volume 1: Products and Markets. Palgrave Macmillan.

• Jörg Kienitz. (2017) Interest Rate Derivatives Explained: Volume 2: Term Structure and Volatility Modellinv. Palgrave Macmillan.

  • Available Here

Malliavin Calculus

• Alos, E., & Lorite, D.G. (2024). Malliavin Calculus in Finance: Theory and Practice (2nd ed.). Chapman and Hall/CRC. https://doi.org/10.1201/9781032636382
  • Available online (1st edition)

Miscellaneous

• Derman, E. (2004) My Life as a Quant: Reflections on Physics and Finance. Wiley.

  • Available online Here

• Thorp, Edward O. (2017) A Man for All Markets: Beating the Odds, from Las Vegas to Wall Street. Oneworld Publications

• Zuckerman, Gregory (2023) The Man Who Solved the Market: How Jim Simons Launched the Quant Revolution. Penguin.

• Rishi K. Narang (2024) Inside the Black Box: A Simple Guide to Systematic Investing. Third Edition. Wiley Finance.

Monte Carlo and Computational Methods

• Glasserman, P. (2004) Monte Carlo methods in financial engineering. Springer, NewYork. https://doi.org/10.1007/978-0-387-21617-1
  • Available online Here

Probability Theory

• Capinski, M. and Kopp, E., (2004). Measure, integral and probability. 2nd ed. London: Springer.
  • Available online

Statistics

• Casella, G. and Berger, R.L. (2002) Statistical Inference. 2nd Edition, Duxbury Press, Pacific Grove.

  • Available online (2nd Edition)

• Wasserman, L. (2004) All of Statistics: A Concise Course in Statistical Inference. Springer Science.

  • Available online

• Hastie, T., Tibshirani, R., & Friedman, J. (2009). The Elements of Statistical Learning: Data Mining, Inference, and Prediction (2nd ed.). Stanford, CA: Stanford University.

  • Available online

Stochastic Calculus

• Karatzas, I. and Shreve, S.E. (1991). Brownian motion and stochastic calculus 2nd ed. New York: Springer.
• Øksendal, B. (2003) Stochastic differential equations: an introduction with applications. 6th Edition, Springer, New York.
  • Available online (5th Edition)
• Shreve, S.E. (2004) Stochastic Calculus for Finance I: The Binomial Asset Pricing Model. Springer, New York.
  • Available online Here
• Shreve, S.E. (2004) Stochastic Calculus for Finance II Continuous-Time Models. Springer, Berlin. https://doi.org/10.1007/978-1-4757-4296-1
  • Available online Here

Time Series

• Tsay, R.S. (2010) Analysis of Financial Time Series. 3rd Edition, John Wiley & Sons, Hoboken.
  • Available Here

Volatility

• Gatheral, J. (2006) The Volatility Surface: A Practitioners Guide. John Wiley and Sons, New York.
• Bergomi, L. (2015), Stochastic volatility modeling. First edition., Chapman and Hall/CRC, an imprint of Taylor and Francis, Boca Raton, FL.