A free/open-source library for quantitative finance

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Quantitative Finance Books

This is a list of books that have been proved to be useful inthe education of at least some of the QuantLib developers.

• GENERAL
  1. The Concepts and Practice of Mathematical Finance, by Mark S. Joshi
     Hardcover - (8 December, 2003)
     Cambridge University Press
     book web site
  2. Paul Wilmott on Quantitative Finance, by Paul Wilmott
     Hardcover - 1064 pages 2nd revised edition (27 April, 2000)
     John Wiley and Sons Ltd; ISBN: 0471874388
  3. Options, Futures, and Other Derivatives, by John C. Hull
     5th edition
     Prentice Hall
• FINITE DIFFERENCES
  1. Option Pricing: Mathematical Models and Computation, by P. Wilmott, J.N. Dewynne, S.D. Howison
     Hardcover (September 1993)
     Oxford Financial Press; ISBN: 0952208202
  2. Pricing Financial Instruments: The Finite Difference Method, by Domingo Tavella, Curt Randall
     Hardcover - 237 pages 1st edition (15 April, 2000)
     John Wiley & Sons; ISBN: 0471197602
• MONTE CARLO
  1. Monte Carlo Methods in Finance, by Peter J?ckel
     2002
     John Wiley & Sons
     Errata available at www.jaeckel.org
  2. Monte Carlo, by Bruno Dupire (Editor)
     Paperback - 340 pages (November 1999)
     Risk Books; ISBN: 189933291X
  3. Monte Carlo Methods in Financial Engineering, by Paul Glasserman
     2004
     Springer Verlag
• STOCHASTIC CALCULUS
  • Steven Shreve: Stochastic Calculus and Finance, by Shreve, Chalasani, Jha
    Available as free e-book at http://www.cs.cmu.edu/~chal/Shreve/shreve.html
  • An Introduction to the Mathematics of Financial Derivatives, Second Edition, by Salih Neftci
    Hardcover - 527 pages 2nd Ed (30 June, 2000)
    Academic Press; ISBN: 0125153929
    free solution manual available on-line
• VOLATILITY
  1. Volatility and Correlation, by Riccardo Rebonato
     Hardcover - 360 pages (15 October, 1999)
     John Wiley and Sons Ltd; ISBN: 0471899984
  2. Volatility, by Robert Jarrow (Editor)
     Paperback - 356 pages (June 1998)
     Risk Books; ISBN: 1899332464
• INTEREST RATE
  • Interest Rate Models - Theory and Practice, by D. Brigo, F. Mercurio
    Hardcover - 500 pages (June 2001)
    Springer-Verlag Berlin and Heidelberg GmbH & Co. KG; ISBN: 3540417729
    updates available on-line http://www.damianobrigo.it/book.html
  • Modern Pricing of Interest Rate Derivatives, by Riccardo Rebonato
    Hardcover (31 July, 2002)
    Princeton University Press; ISBN: 0691089736
  • Interest-Rate Option Models, by Riccardo Rebonato
    Hardcover - 546 pages 2nd Ed (27 March, 1998)
    John Wiley and Sons Ltd; ISBN: 0471979589
  • Efficient Methods for Valuing Interest Rate Derivatives, by Antoon Pelsser
    Hardcover - 1st edition (September 6, 2000)
    Springer Verlag
  • Interest Rate Modelling, by Nick Webber, Jessica James
    Paperback - 672 pages (5 April, 2000)
    John Wiley and Sons Ltd; ISBN: 0471975230
• FX
  • Foreign Exchange Risk, by Jurgen Hakala, Uwe Wystup
    Hardcover: 300 pages
    Risk Books; ISBN: 1899332375; (February 12, 2002)
  • Mathematical Methods For Foreign Exchange, by Alexander Lipton
    Paperback: 700 pages
    World Scientific Publishing Co., Inc.; ISBN: 9810248237; (October 15, 2001)
• CREDIT
  • Credit Derivatives Pricing Models: Model, Pricing and Implementation by Philipp J. Sch?nbucher
    2003
    John Wiley & Sons
  • Credit Derivatives: A Guide to Instruments and Applications by Janet M. Tavakoli
    1998
    John Wiley & Sons
• VALUE AT RISK
  • VAR, by various authors
    Paperback - 397 pages (1997)
    Risk Books; ISBN: 189933226X
  • Value at Risk, by Philippe Jorion
    Hardcover - 364 pages 2nd Ed (1 September, 2000)
    McGraw-Hill Education; ISBN: 0071355022
  • RiskMetrics Technical Document http://www.riskmetrics.com/techdoc.html
• HANDS ON
  1. Implementing Derivative Models, by Les Clewlow, Chris Strickland
     Hardcover - 330 pages (29 April, 1998)
     John Wiley and Sons Ltd; ISBN: 0471966517
     Errata available at www.lacimagroup.com/downloads/IDM_Corrections.pdf
  2. The Complete Guide to Option Pricing Formulas, by Espen Gaarder Haug
     Hardcover - 232 pages (October 1997)
     Irwin Professional (USA); ISBN: 0786312408
• EXCEL AND FINANCE
  1. Advanced modelling in finance using Excel and VBA, by Mary Jackson, Mike Staunton
     Hardcover - 276 pages Bk&Cd-Rom (30 May, 2001)
     John Wiley & Sons; ISBN: 0471499226
  2. Financial Modelling, by Simon Benninga
     Hardcover - 640 pages 2nd Ed (2 October, 2000)
     The MIT Press; ISBN: 0262024829
• EXCEL
  • Definitive Guide to Excel VBA, by M. Kofler
    Paperback - 800 pages (November 2000)
    Apress; ISBN: 1893115798
  • Excel 2002 VBA Programmer's Reference, by John Green, Stephen Bullen, Rob Bovey, Robert Rosenberg
    Paperback - 1000 pages (September 2001)
    Wrox Press Ltd; ISBN: 1861005709
  • Excel 2002 Power Programing with VBA, by John Walkenbach
    Paperback - 850 pages (2 July, 2001)
    Hungry Minds Inc; ISBN: 0764547992
  • Excel 2002 Formulas, by John Walkenbach
    Paperback - 831 pages (3 December, 2001)
    Hungry Minds Inc; ISBN: 076454800X
  • Microsoft Excel 2002 Visual Basic for Applications Step by Step, by Reed Jacobson
    Paperback - 368 pages plus Cd-Rom (12 September, 2001)
    Microsoft Press; ISBN: 0735613591
• PROGRAMMING
  • The C++ Programming Language, Special Edition, by Bjarne Stroustrup
    Hardcover - 1040 pages Rev. Ed (11 February, 2000)
    Addison Wesley; ISBN: 0201700735
  • Thinking in C++: Introduction to Standard C++, Volume One, by Bruce Eckel
    Paperback - 814 pages 2nd (15 April, 2000)
    Prentice Hall; ISBN: 0139798099
    also available as free book from http://www.mindview.net/Books
  • Numerical Recipes in C
    also available on-line from http://www.nr.com/
  • GNU Autoconf, Automake, and Libtool
    also available as free book from http://sources.redhat.com/autobook/
  • Open Source Development with CVS, by Karl Fogel
    also available as free book from http://cvsbook.red-bean.com/
  • UML Distilled, by Martin Fowler, Kendall Scott
    Paperback - 224 pages 2nd Ed (30 September, 1999)
    Addison Wesley; ISBN: 020165783X
  • Design Patterns, by E. Gamma, R. Helm, R. Johnson, J. Vlissides
• PYTHON
  • Learning Python, by Mark Lutz, David Ascher
    Paperback - 384 pages (26 April, 1999)
    O'Reilly UK; ISBN: 1565924649
  • Programming Python, by Mark Lutz, Guido van Rossum, Laura Lewin, Frank Willison
    Paperback - 1296 pages 2nd Ed (14 March, 2001)
    O'Reilly UK; ISBN: 0596000855
  • Python Essential Reference, by David Beazley
    Paperback - 400 pages 2nd Ed (30 June, 2001)
    New Riders; ISBN: 0735710910
  • Python Programming on Win32, by Mark Hammond, Andy Robinson
    Paperback - 672 pages (January 2000)
    O'Reilly UK; ISBN: 1565926218
• NOT ENOUGH YET?
  • Energy Derivatives, by Les Clewlow, Chris Strickland
    Hardcover (August 2000)
    Lacima Group; ISBN: 0953889602
  • Hull-White on Derivatives, by John Hull, Alan White
    Paperback - 356 pages (June 1996)
    Risk Books; ISBN: 1899332456
  • Exotic Options: The State of the Art, by Les Clewlow (Editor), Chris Strickland (Editor)
    Hardcover (June 1997)
    International Thomson Business Press; ISBN: 0412631709
  • Market Models, by C.O. Alexander
    Hardcover - 514 pages (26 September, 2001)
    John Wiley and Sons Ltd; ISBN: 0471899755
  • Pricing, Hedging, and Trading Exotic Options, by Israel Nelken
  • Modelling Fixed Income Securities and Interest Rate Options, by Robert A. Jarrow
    Hardcover (October 1995)
    McGraw Hill College Div; ISBN: 0070323739
  • Black-Scholes and Beyond, by Neil A. Chriss
    Hardcover - 500 pages (30 September, 1996)
    Irwin Professional (USA); ISBN: 0786310251
  • Risk Management and Analysis: Measuring and Modelling Financial Risk, by Carol Alexander (Editor)
    Hardcover - 304 pages Revised Ed (12 November, 1998)
    John Wiley and Sons Ltd; ISBN: 0471979570
  • Mastering Risk: Volume 2 - Applications: Your Single-Source Guide to Becoming a Master of Risk, by Carol Alexander
    Paperback - 264 pages 1 (24 October, 2001)
    Pearson Education; ISBN: 0273654365