Advancing the Field of Quantitative Finance
formerly the IAFE

STUDENT RESOURCES / LIST OF BOOKS ABOUT FINANCIAL ENGINEERING

Suggested Readings
For those who want to familiarize themselves with the field of financial engineering:

Biographies of Financial Engineers
This is a good way to get an appreciation of how financial engineering has grown and what types of work financial engineers do. These books are intended for general audiences and do not require technical background to understand:

  • Perry Mehrling, Fischer Black and the Revolutionary Idea of Finance
  • Emanuel Derman, My Life as a Quant
  • The two books above are respectively a biography and an autobiography of two of the "founding fathers" of financial engineering.
  • How I Became a Quant, edited by Barry Schachter and Richard Lindsey, is a collection of 25 autobiographical essays by leading practitioners of financial engineering
  • Peter Bernstein, Capital Ideas gives a history of financial engineering with emphasis on the people who created the field.
  • Peter Bernstein, Capital Ideas Evolving continues the story of his first book by looking at some of the current issues being debated within financial engineering.

The Mathematics of Derivatives
The most widely used introduction to the field is John Hull, Options, Futures, and Other Derivatives. Other books that are often used as introductions are:

For those with more advanced mathematical backgrounds, we can also suggest:

The Mathematics of Investments and Portfolio Management
A widely used introduction to the field is David Luenberger, Investment Science. For those with more advanced mathematical backgrounds, we can also suggest:

Financial Markets and Financial Institutions
Financial engineers apply their work to financial markets and institutions. If you are looking for a broad based introduction to these fields, Alex Kuznetsov, The Complete Guide to Capital Markets for Quantitative Professionals is designed to give new financial engineers this introduction. A shorter alternative, aimed at a more general audience, is Marc Levi.

Interviewing for a Job
The following books discuss in detail the process of interviewing for jobs in financial engineering, including a thorough review of the types of "brainteaser" questions often asked in these interviews and how to answer them: