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Featured Books

Fischer Black and the Revolutionary Idea of Finance
by Perry Mehrling

"In a 30-year career equally divided between academics (University of Chicago) and Wall Street, Black contributed seminal papers in almost every area of finance and many areas of economics, but few were published in major peer-reviewed journals and many were never published at all. He spent most of his time alone in a room thinking and writing, was uncomfortable in large groups, an undistinguished lecturer and famously eccentric in ways more irritating than amusing or dramatic. . . On the whole, Mehrling's book is essential reading for anyone interested in the development of modern finance or the life of an idiosyncratic creative genius."

Hedge Fund Risk Transparency: Unravelling the Complex and Controversial Debate
by Leslie Rahl

The only title that focuses solely on hedge fund transparency and offers a balanced perspective that appreciates both the needs of institutional investors and hedge fund managers. Includes ´perspectives´ based on interviews with numerous eminent practitioners from both sides of the investor/hedge fund debate.

How I Became a Quant: Insights from 25 of Wall Street's Elite
ed. by Richard R. Lindsey and Barry Schachter

"Firsthand accounts from the people who were swept into, and then helped fashion, today's "quant-driven," dynamic world of finance. Quants are the backbone of today's investment industry. Their mathematical models are now the basis for most financial market innovations, such as exotic derivatives, structured investment products, quantitative trading strategies, and portfolio selection. Their spectacular successes and failures have become part of market folklore. But what they do, and how they do it, is often as opaque and hard to understand as the formulas they create. In How I Became a Quant, more than two dozen quants tell their war stories and detail the unexpected paths they have followed from the halls of academia to Wall Street, revealing the faces behind the quant revolution."

*All royalties go to the Fischer Black Memorial Foundation.


IceBerg Risk
by Kent Osban

"If and your colleagues do want insights to manage away actual risk, Iceberg Risk will be essential reading. True, you'll have to begin by acknowledging that, as Osband puts it, ´The risks you've been hired to manage are more likely bigger than you thought but harder to pin down.´ But if you can admit to that uncertainty, you'll learn invaluable techniques of genuine risk-management and gain the ability to steer your clients' portfolios (and perhaps even your own) safely into harbor."

The Mathematics of Derivatives
by Robert L. Navin

"This book is a very concise overview for mathematically sophisticated readers to get up to speed in derivatives modeling as quickly as possible.
Written by a practitioner (and IAFE member) schooled at the O'Connor options group in Chicago in the mid-90s who then went on to be head quant at Highbridge Capital for 6 years and then to co-run a hedge fund, it focuses very sharply on just the issues needed to fully understand risk neutral pricing and then build efficient finite difference grid models. It includes detailed descriptions of models of common derivative securities, such as convertible bonds and collateralized debt obligations, plus a very good sample question and answer section. Thus, the book really packs a punch at less than 200 pages!"

My Life as a Quant: Reflections on Physics and Finance
by Emanuel Derman

"Derman's tale recounts his adventures with quants, traders and other high fliers on Wall Street as he became the best-known quant in the business. He describes the struggles of research and his interactions with an assorted cast of famous scientists. He relates his impressions of some of the most creative minds on Wall Street, including Fischer Black, with whom he collaborated on the widely used Black-Derman-Toy model of interest rates. Throughout his story he reflects on the appropriate way to apply the refined methods of physics to the hurly-burly world of markets and the people that inhabit them."

Principles of Financial Engineering
by Salih N. Neftci

Treynor on Institutional Investing
by Jack L. Treynor