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Research Links
A First Course in Quantitative Finance:
Thomas Mazzoni -
This book contains all necessary theoretical and mathematical concepts and relevent numerical methods, as well as the necessary programming code for porting algorithms onto a computer.
Models.Behaving.Badly.: Why Confusing Illusion with Reality Can Lead to Disaster, on Wall Street and in Life:
Emanuel Derman -
Emanuel Derman describes his experience as a physicist on Wall Street, the models quants generated, the benefits they brought and the problems, practical and ethical, they caused.
Quantitative Energy Finance: Modeling, Pricing, and Hedging in Energy and Commodity Markets:
Fred Espen Benth, Peter Laurence, and Valery Kholodnyi -
This edited collection features cutting-edge research from leading scientists in the fields of energy and commodity finance.
The Volatility Surface: A Practitioner’s Guide:
Jim Gatheral -
By the time you finish reading this guide, you'll have a firm understanding of volatility surface modeling as well as a better idea of how you can apply the results of these models to real-world situations
Mathematics of the Financial Markets: Financial Instruments and Derivatives Modelling, Valuation and Risk Issues:
Alain Ruttiens -
Alain Ruttiens has written a book on quantitative finance that covers a wide range of financial instruments, examples and models. Starting from first principles...