I'm looking for a book/pdf/guide to quantitative finance that contains all of the necessary mathematical prerequisites, as well as modern quantitative finance topics. Preferably something written at the advanced undergraduate/beginning graduate level.

Any recommendations are greatly appreciated. I cannot seem to find a comprehensive text that is written in a reasonably rigorous way (makes use of theorems from lin alg, probability, analysis, etc).


  • $\begingroup$ Necessary mathematical prerequisites for what? What kind of quantitative finance topics are you looking to learn and for what purpose (and why not start there, and learn the 'prerequisite' math as you go)? $\endgroup$ – spaceisdarkgreen Dec 31 '18 at 6:37
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    $\begingroup$ What about Steven's Stochastic Calculus for Finance I? $\endgroup$ – YuiTo Cheng Jan 1 '19 at 11:52

Start with these

Quantitative Trading Strategies - Harnessing The Power of Quantitative Techniques To Create A Winning Trading Program

Quantitative Trading - Ernest Chan

What Works Well On Wall Street – James O’Shaughnessy

Trading And Exchanges: Market Microstructure For Practitioners

The Evaluation And Optimisation Of Trading Strategies [Second Edition]

  • $\begingroup$ Unfortunately I think these are exactly the types of books I do not want to read. These books are on trading, and practical understandings of exchanges, clearinghouses, etc. I am looking for a mathematically rigorous text as described above. These books are not written for persons with mathematical backgrounds. Thanks! $\endgroup$ – Anthony Peter Dec 31 '18 at 4:50
  • $\begingroup$ @AnthonyPeter have you considered the fact that this field has no such mathematical component? $\endgroup$ – Sandeep Silwal Dec 31 '18 at 5:03
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    $\begingroup$ @SandeepSilwal I can't tell if you're serious or taking a swipe at mathematical finance $\endgroup$ – spaceisdarkgreen Dec 31 '18 at 6:21
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    $\begingroup$ @SandeepSilwal Either a joke or you're just misinformed... $\endgroup$ – Anthony Peter Dec 31 '18 at 6:50

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