The Concepts and Practice of Mathematical Finance
by Mark S. Joshi · first published 2004
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If by 'quantitative finance' you mean option pricing then check out the books by Mark Joshi: - 'The Concepts and Practice of Mathematical Finance' - 'C++ Design Patterns and Derivatives Pricing' Also of note is Baxter & Rennie: - 'Financial Calculus: An Introduction to Derivative Pricing' Once you've studied those and have a good grasp of Measure…
on “Good books for hackers interested in quant finance?” ↗Mark Joshi's "The Concepts and Practice of Mathematical Finance" came recommended to me by some people in the field as a foundation. I found it quite readable.
on “Ask HN: What are the must-read books about economics/finance?” ↗Thanks! Currently I am reading these books: Mark Joshi: The Concepts and Practice of Mathematical Finance Daniel Duffy: Introduction to C++ for Financial Engineers (I already know C++, but I read this because of the finance related stuff.)
on “Advice From An Old Programmer” ↗…it's really just incorporating the time value of money into the calculations. [0] Oksendal B . Stochastic Differential Equations. [1] Shreve S E. Stochastic Calculus for Finance II. [2] Joshi M S. The Concepts and Practice of Mathematical Finance
on “Collection of Jupyter notebooks for quantitative finance” ↗