Quant Book Reference List

Entry

1. Futures, Options and other derivatives /John Hull
2. Arbitrage theory in continuous time /Tomas Bjork
3. Financial Calculus：An Introduction to Derivative Pricing /Martin Baxter& Andrew Rennie
4. Financial calculus for finance II /Shreve
5. Martingale Methods in Financial Modelling (Stochastic Modelling and Applied Probability) /Musiela & Rutkovski

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Math

1. Brownian Motion and Stochastic Calculus /Shreve& Karasatz
2. Stochastic Differential Equations /Oksendal
3. Stochastic Integration and Differential Equations /Protter
4. Numerical analysis /Any related textbook

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Junior quant

1. The Concepts and Practice of Mathematical Finance (Mathematics, Finance and Risk) /Mark Joshi
2. C++ Design Patterns and Derivatives Pricing /Mark Joshi
3. Modeling Derivatives Applications in Matlab, C++, and Excel /Justin London

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Senior quant

1. Effective C++;
2. More Effective C++;
3. Effective STL /Scott Meyer
4. Numerical Recipes (3rd Edition) /William, Saul

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Interest rate

1. Interest Rate Models - Theory and Practice /Mecurio& Fabio
2. Modern Pricing of Interest-Rate Derivatives /Rebonato

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Equity

1. The Complete Guide to Option Pricing Formulas
2. Exotic Options /Haug/Zhang

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Creidt

1. Credit Risk Modeling /Lando
2. Credit Derivatives Pricing Models /Schonbucher

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Stochastic volatility

1. Option valuation under stochastic volatility /Alan lewis
2. Volatility and Correlation:The Perfect Hedger and the Fox /Rebonato
3. Stochastic Implied Volatility /Reinhold Hafner

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FX

1. Mathematical Methods for Forgein Exchange - A Financial Engineer’s Approach /Alex Lipton
2. Copula Methods in Finance /Umberto Cherubini.

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Numerical Methods

1. Monte Carlo Methods in Financial Engineering (Stochastic Modelling and Applied Probability). /Paul Glasserman
2. Monte Carlo Methods in Finance /by Peter Jackel
3. Financial Engineering With Finite Elements /Juergen Topper

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Financial Markets

1. Dynamic Hedging /Nassim & Taleb
2. Fooled by Randomness /Nassim Taleb
3. Misbehaviour of financial markets /Mandebrot
4. Liar’s Poke–Lewis
5. Stock Market WizardsI
6. Stock Market Wizards II /Schwager
7. Stochastic Volatility /Neil Shephard

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Levy process

1. Financial Modelling with Jump Processes (Chapman & Hall/CRC Financial Mathematics Series) /Rama Cont
2. Levy Processes in Finance /Wim shouten

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General

1. My Life as a Quant /E.Derman 40 & 41.Infectious greed & FIASCO /Frank Partnoy

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Quant Trading /ML related

1. Quantitative Equity Portfolio Management /Ludwig B Chincarini / Daehwan Kim
2. Quantitative Equity Portfolio Management /Edward E. Qian / Ronald H. Hua / Eric H. Sorensen
3. Algorithmic and High-Frequency Trading /Álvaro Cartea / José Penalva
4. Algorithmic Trading /Ernie Chan
5. Quantitative Trading /Ernie Chan
6. Quantitative Strategies for Achieving Alpha /Richard Tortoriello
7. Machine Learning for Algorithmic Trading /Stefan Jansen

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Reference: link