Quantitative Finance ‘GoodReads’

Two reading lists of books relevant to quantitative finance are provided using the GoodReads platform.

Often I am asked to recommend good books to help a student, colleague or customer get a better grasp of quantitative finance. Instead of ad-hoc and incomplete lists, I thought it might be useful (especially for me) to have a post with a more comprehensive, yet relatively short, list.


One might think preparing a list of books would be a simple task, perhaps with some effort to add css styling and produce a nice table for a web page. However, in this modern digital age there is of course ‘an app for that’. I installed the GoodReads app (now owned by Amazon) and carefully selected books I have found to be useful. The app worked really well and was very convenient to use. I prepared two lists (or ‘book shelves’ in GoodReads terminology), the first containing books of an introductory nature which really help getting started and a second with more advanced books and perhaps more suited to a practitioner focussing on interest rates. A widget is added to the bottom of this section to show the lists.

There will be different views on which books are important and their usefulness, and whether they should be classed as introductory or not, however these are books that I have actually found useful. The size of my library at home suggests there are many other books of some use, but I suggest these books as a reasonable place to start.

I have included two books related to writing which might seem a little surprising, but an important aspect of quantitative work is communicating complex ideas and results to colleagues and customers who may, or may not, be quants. A wonderful example of a quant being required to ‘speak in plain English’ to executive colleagues is captured in this scene from the movie Margin Call (a movie I certainly recommend as a ‘goodwatch’).

Other Interest Rate Resources

Whilst the focus of the blog is books, it is worth mentioning a few resources available online.

Andrew Lesniewski’s lecture notes and presentations available here.

Pat Hagan’s articles on practical pricing of interest rate exotics, many of which are found on the Wilmott forums;

  • Equivalent Black Volatilities, Applied Mathematical Finance, 1999
  • Markov Interest Rate Models, Applied Mathematical Finance, 1999
  • Managing Smile Risk, Wilmott, 2002
  • Convexity Conundrums: Pricing CMS Swaps, Caps, and Floors; Wilmott, 2003
  • Methodology for Callable Swaps and Bermudan ‘Exercise into’ Swaptions, working paper
  • Accrual Swaps and Range Notes, working paper
  • Adjusters: Turning Good Prices into Great Prices, Wilmott
  • Interpolation Methods for Curve Construction, Applied Mathematical Finance, 2006
  • Valuing Non-Standard Swaptions, working paper
  • Hedging under SABR Model, Wilmott
  • Calibration/Pricing via the Two Factor LGM Model, working paper
  • Arbitrage-Free SABR, Wilmott, 2014
  • Calculating Delta Risks and Hedges via Waves, Wilmott, 2015

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