Category Archives: Literature

Resources for Financial Engineers

Hi everyone,

I’ve been busy recently cooking up a new article which I hope I’ll be posting soon called “Bread and Butter of Risk-Neutral pricing”, that’s why I’ve been quite silent the past few weeks.

Anyway, I wanted to share with you my latest “findings” about literature and resources I recently bought or discovered on the internet.

First of all, let’s talk a bit about Paul Wilmott and the different tools he provides to the quantitative finance community. If you are at the moment working in finance and you’re getting bullied by the quants of your desk because of your lack of knowledge in mathematical theory, you might want to have a look at the CQF Certificate he created recently. I actually thought about taking it myself and I think it’s particularly suited for professional thanks to its flexible structure. What I’d like to be talking about today is the Wilmott magazine and the Wilmott journal you can subscribe to on his website.

The Wilmott magazine is, in my opinion, very interesting in the sense that the articles he contains are not qualitative, yet very interesting. This comes from the fact that their authors are very famous in the quantitative finance community. For example, Ed Thorp whom I talked about in this post, contributes to the magazine along with Alan Brown for example. The format and the quality of the magazine is very impressive as you can see in the image below.

The wilmott magazine

As you can see, it has a “squared” format, and is filled with nice illustration and a nice layout.

The Wilmott journal is, on the contrary, much more quantitative. Indeed, it is purely a research journal containing scientific articles on different topics. For example, this year’s first edition has one article on the SABR models, one article on learning processes and one article on portfolio optimization. I think this is quite interesting for somebody who wants to be reading about new researches but who’s not focused on a single field. The format of the journal, particularly handy, is displayed on the image below. The quality of the paper itself is also very good.

The Wilmott journal.

 

The pricing of these to periodicals is available here; it’s about 250 euros per year and includes six issues of each product.

For those of you who are seeking a job or who are from time to time asked to interview some candidates, I would particularly recommend Wilmott’s book “Frequently asked Questions in Quantitative Finance”.  It is particularly good because it provides both short answers (more qualitative) and long answers (with mathematical developments) to very common question. It can in my opinion be used as a reference to some extent, since it also contains very handy reminders of the different probability distributions and their main characteristics and properties.

Frequently Asked Questions in Quantitative Finance

Finally, I lately had the occasion to use a great website part of the stackexchange group focused on quantitative finance. The idea of this website is to post questions and answers on the subject and I have to say it is very interesting because of the diversity of the contributors. Indeed, you have a mixture of students and professional which enables you to follow some topics for you personal interest as well as helping someone with your knowledge. The adress of the website is http://quant.stackexchange.com/, and I invite you all to check it out, as well as the different site of the same form provided by http://stackexchange.com/, since it covers also mathematics, programming, hardware, LaTeX, and so on.

On that note, I wish you a nice week, and I’ll post again soon!

“The Quants”, a great book that everybody can read.

Good morning again,

I decided to create a new section in the blog dedicated to a selection of books. Indeed, I personally find it hard to find the right book to buy on a specific topic, and sometimes their are so many choices that I do not necessarily know how to pick the right one.

I start this section by talking about “The Quants” from Scott Patterson.

The Quants: How a New Breed of Math Whizzes Conquered Wall Street and Nearly Destroyed It

First of all, this book is not looking to give any quantitative approach whatsoever. The idea is to tell the stories of the most famous quants having conquered Wall Street and the world of finance in general.

You will, for example, learn the story of Ed Thorp who can be considered as the first quant and who took part at Black & Scholes famous research. You will also find a long description of the creation process of Renaissance Technologies, probably the most impressive financial group ever. Who created it ? When? What was their background? How come nobody knows how they manage to do that well?

Patterson will give you sometimes a few quantitative concepts to explain what kind of strategies a fund was focused on, but you will not find any formula. You would, for example, get a qualitative definition of a stat-arb.

Anyway, the book is very easy to read and has a certain sense of humor. The author has the ability to put you in a situation so that you can really feel the atmosphere and hence fully appreciates the information he provides you with.

You can use the image above to get a link to the amazon page. I would recommend a hard-cover version because this book is that great that you wouldn’t want to damage it.

Let me know what you think of it!

Jérémie