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Quant finance books

111 books selected for learning quantitative finance. Highlighted picks come first.

1. Investment Banking Interview Questions (The Red Book)

   WallStreetPrep · 2020

   Behavioral Questions · Financial Modeling · Interview Prep · Investment Banking · Technical Questions · The Red Book

2. 40 Puzzles and Problems in Probability and Mathematical Statistics

   Wolfgang Schwarz · 2008

   delta method · estimation · mathematical statistics · probability · random variables · statistical inference

3. A First Course in Probability

   Sheldon Ross · 2010

   conditional probability · limit theorems · monte carlo simulation · probability theory · random variables · stochastic processes

4. A First Course in Probability

   Sheldon Ross · 2018

   combinatorial analysis · conditional probability · limit theorems · markov chains · probability theory · random variables

5. A Practical Guide to Quantitative Finance Interviews

   Xinfeng Zhou

   mathematical finance · probability · quant careers · quant interviews

6. A Primer For The Mathematics Of Financial Engineering

   Dan Stefanica · 2008

   Black–Scholes model · Brownian motion · derivatives pricing · financial mathematics · interest rate models · linear algebra

7. A Rough Guide to Linear Algebra

   Dongryul Kim · 2020

   category theory · linear algebra · linear programming · module theory · multilinear algebra · spectral theorem

8. Active Portfolio Management, Second Edition

   Richard C. Grinold, Ronald N. Kahn

   portfolio management · risk management

9. Advanced Portfolio Management: A Quant’s Guide for Fundamental Investors

   Giuseppe A. Paleologo · 2021

   alternative data · factor models · hedging · leverage · performance attribution · portfolio management

10. Advances in Financial Machine Learning

    Marcos López de Prado · 2018

    algorithms · backtesting · financial machine learning · machine learning · time series

11. Advances in High Frequency Strategies

    Marcos López de Prado

    high frequency trading · market microstructure · mathematical finance

12. AI Engineering: Building Applications with Foundation Models

    Chip Huyen

    ai engineering

13. Algorithm Design

    Jon Kleinberg, Éva Tardos

    algorithms · optimization

14. Algorithms

    Christos H. Papadimitriou, Sanjoy Dasgupta, Umesh V. Vazirani

    algorithms · optimization

15. Algorithms for Decision Making

    Kyle H. Wray, Mykel J. Kochenderfer, Tim A. Wheeler

    algorithms · reinforcement learning

16. Algorithms in C, Parts 1–4, Third Edition

    Robert Sedgewick

    algorithms · data structures

17. Alice's Adventures in a differentiable wonderland

    Simone Scardapane · 2023

    Deep Learning · Design of Models · Differentiable Programming · Neural Networks · Primer

18. All of Nonparametric Statistics

    Larry Wasserman

    regression · statistical inference · statistics

19. All of Statistics: A Concise Course in Statistical Inference

    Larry Wasserman

    bayesian statistics · causal inference · hypothesis testing · probability · regression · statistical inference

20. Alphanomics: The Informational Underpinnings of Market Efficiency

    Charles M. C. Lee, Eric C. So · 2014

    asset return predictability · behavioral finance · fundamental analysis · investor sentiment · limits to arbitrage · market efficiency

21. An Introduction to Statistical Learning with Applications in Python

    Daniela Witten, Gareth James, Jonathan Taylor

    machine learning · regression · statistics

22. An Introduction to the Theory of Observational Studies

    Paul R. Rosenbaum

    causal inference · statistical inference · statistics

23. Arbitrage Theory in Continuous Time, Third Edition

    Tomas Björk · 2009

    asset pricing · derivatives · martingales · mathematical finance · option pricing · portfolio optimization

24. Asymptotic Statistics

    Aad W. van der Vaart

    statistical inference · statistics

25. Bayesian Data Analysis, Third Edition

    Aki Vehtari, Andrew Gelman, David B. Dunson

    bayesian statistics · monte carlo simulation · probability · statistical inference · statistics

26. Bond Markets, Analysis, and Strategies

    Frank J. Fabozzi · 2016

    bond portfolio management · bond pricing · credit risk · derivatives · duration and convexity · interest-rate models

27. Bond Markets, Analysis, and Strategies, Tenth Edition

    Francesco A. Fabozzi, Frank J. Fabozzi

    convertible bonds · credit risk · fixed income · interest rates · portfolio management

28. Brownian Motion and Stochastic Calculus

    Ioannis Karatzas, Steven E. Shreve

    brownian motion · calculus · martingales · probability · stochastic calculus · stochastic processes

29. Brownian Motion, Martingales, and Stochastic Calculus

    Jean-François Le Gall

    brownian motion · calculus · martingales · probability · stochastic calculus · stochastic differential equations

30. Build a Large Language Model (From Scratch), MEAP Version 8

    Sebastian Raschka

    large language models · natural language processing · neural networks

31. Competitive Programming in Python

    Christoph Dürr, Jill-Jênn Vie

    Programming · Python

32. Continuous Martingales and Brownian Motion

    Daniel Revuz, Marc Yor

    brownian motion · martingales · probability · stochastic calculus · stochastic processes

33. Convertible Arbitrage: Insights and Techniques for Successful Hedging

    Nick P. Calamos · 2003

    convertible arbitrage · convertible securities · derivatives · greeks · hedging · risk management

34. Convertible Securities: The Latest Instruments, Portfolio Strategies, and Valuation Analysis

    John P. Calamos · 1998

    convertible bonds · convertible preferreds · equity-linked securities · global capital markets · hedging · portfolio strategies

35. Deep Learning 101

    Nguyễn Vũ Hưng

    deep learning · neural networks

36. Deep Learning with Python

    François Chollet

    Deep Learning · Machine Learning · Python

37. Econometric Analysis of Cross Section and Panel Data, Second Edition

    Jeffrey M. Wooldridge

    econometrics · hypothesis testing · regression · statistical inference · statistics

38. Essentials of Stochastic Processes, Third Edition

    Richard Durrett

    martingales · probability · stochastic processes

39. Fifty Challenging Problems in Probability with Solutions

    Frederick Mosteller

40. Financial Mathematics, Derivatives and Structured Products, Second Edition

    Raymond H. Chan, Spike T. Lee, Xun Li

    derivatives · fixed income · interest rates · mathematical finance

41. Finding Alphas: A Quantitative Approach to Building Trading Strategies, Second Edition

    Igor Tulchinsky

    mathematical finance

42. Fixed Income Securities: Tools for Today's Markets, Second Edition

    Bruce Tuckman

    fixed income · interest rates

43. Foundations of Large Language Models

    Jingbo Zhu, Tong Xiao · 2025

    alignment · inference · large language models · natural language processing · pre-training · prompting

44. Fundamentals of Probability with Stochastic Processes, Fourth Edition

    Saeed Ghahramani

    probability · stochastic processes

45. GARCH Models

    David Ruppert

    garch · statistics · stochastic processes · time series

46. Hands-On Machine Learning with Scikit-Learn, Keras, and TensorFlow, Second Edition

    Aurélien Géron

    algorithms · deep learning · machine learning · neural networks · regression

47. High-Dimensional Probability: An Introduction with Applications in Data Science

    Roman Vershynin · 2026

    concentration inequalities · covariance estimation · empirical processes · high-dimensional probability · random matrices · random processes

48. How I Became a Quant

    Barry Schachter, Richard R. Lindsey · 2007

    career paths · financial engineering · hedge funds · industry perspectives · practitioner insights · proprietary trading

49. Inside the Black Box: A Simple Guide to Quantitative and High-Frequency Trading

    Rishi K. Narang

    algorithmic trading · algorithms · high frequency trading

50. Interest Rate Modeling

    Leif B. G. Andersen, Vladimir V. Piterbarg

    derivatives · fixed income · interest rates · mathematical finance · monte carlo simulation · numerical methods

51. Introducing Python: Modern Computing in Simple Packages, Second Edition

    Bill Lubanovic

    data structures · programming · python

52. Introduction to Algorithms, Third Edition

    Charles E. Leiserson, Clifford Stein, Ronald L. Rivest

    algorithms · data structures · probability

53. Introduction to Applied Linear Algebra: Vectors, Matrices, and Least Squares

    Lieven Vandenberghe, Stephen Boyd

    least squares · linear algebra · matrices · optimization · portfolio optimization · quantitative finance

54. Introduction to Computation and Programming Using Python, Second Edition

    John V. Guttag

    programming · python

55. Introduction to Linear Algebra, Fifth Edition

    Gilbert Strang

    linear algebra

56. Introduction to Probability

    Charles M. Grinstead, J. Laurie Snell

    central limit theorem · expected value · markov chains · probability · probability distributions · random variables

57. Introduction to Probability

    Jessica Hwang, Joseph K. Blitzstein · 2019

    conditional probability · expectation · limit theorems · markov chains · probability theory · quantitative finance

58. Introduction to Quantitative Finance: A Math Tool Kit

    Robert R. Reitano · 2010

    asset pricing · financial mathematics · mathematical finance · optimization · probability theory · quantitative finance

59. Introduction to Stochastic Calculus Applied to Finance, Second Edition

    Bernard Lapeyre, Damien Lamberton · 2008

    asset pricing · calculus · derivatives · mathematical finance · option pricing · stochastic calculus

60. Introduction to Time Series and Forecasting, Third Edition

    Peter J. Brockwell, Richard A. Davis

    statistics · stochastic processes · time series

61. Introductory Econometrics for Finance

    Chris Brooks

    econometrics · regression · statistical inference · statistics · time series · volatility forecasting

62. Linear Algebra

    Jim Hefferon · 2017

    determinants · eigenvalues · least squares · linear algebra · linear systems · markov chains

63. Linear Algebra and Learning from Data

    Gilbert Strang

    deep learning · linear algebra · machine learning · neural networks

64. Linear Algebra Done Right, Second Edition

    Sheldon Axler

    linear algebra

65. Linear Algebra, Multivariable Calculus, and Modern Applications

    Stanford University Mathematics Department

    calculus · derivatives · linear algebra · optimization

66. Log-Linear Models and Logistic Regression

    Ronald Christensen

    probability · regression · statistical inference · statistics

67. Machine Learning in Finance: From Theory to Practice

    Igor Halperin, Matthew F. Dixon, Paul Bilokon · 2020

    algorithms · deep learning · econometrics · financial machine learning · machine learning · neural networks

68. Market Microstructure

    David Easley, Maureen O'Hara · 1995

    information asymmetry · informed trading · market microstructure · order flow · price formation · rational expectations

69. Market Risk Analysis, Volume I: Quantitative Methods in Finance

    Carol Alexander

    market risk · risk management · statistics · time series

70. Markov Chains

    J. R. Norris

    probability · stochastic processes

71. Master Machine Learning Algorithms

    Jason Brownlee · 2016

    algorithms · applied machine learning · from scratch · linear algebra · machine learning · model implementation

72. Mathematical Foundations of Machine Learning

    Seongjai Kim · 2025

    convex analysis · gradients · learning theory · linear algebra · machine learning · mathematical foundations

73. Mathematical Methods for Foreign Exchange: A Financial Engineer's Approach

    Alexander Lipton

    derivatives · financial engineering · foreign exchange · mathematical finance · probability · stochastic calculus

74. Mathematical Statistics and Data Analysis, Third Edition

    John A. Rice

    probability · statistical inference · statistics

75. Mathematics for Machine Learning

    Mohamed Aazi

    calculus · linear algebra · neural networks · optimization · probability · regression

76. Matrix Algebra: Theory, Computations and Applications in Statistics, Third Edition

    James E. Gentle

    linear algebra · statistics

77. Matrix Computations, Fourth Edition

    Charles F. Van Loan, Gene H. Golub

    algorithms · linear algebra · numerical methods

78. Modelling Extremal Events for Insurance and Finance

    Claudia Klüppelberg, Paul Embrechts, Thomas Mikosch

    extreme value theory · mathematical finance · probability · statistics

79. Modern Portfolio Theory and Investment Analysis, Ninth Edition

    Edwin J. Elton, Martin J. Gruber, Stephen J. Brown

    capm · optimization · portfolio management · portfolio optimization

80. Monte Carlo Methods in Financial Engineering

    Paul Glasserman

    derivatives · financial engineering · mathematical finance · monte carlo simulation · option pricing · probability

81. Numerical Linear Algebra

    David Bau III, Lloyd N. Trefethen

    algorithms · linear algebra · numerical methods

82. On Becoming a Quant by Mark Joshi

    Mark Joshi · 2006

    capital markets · derivatives pricing · financial modeling · front office quant · model validation · quant careers

83. Options, Futures, and Other Derivatives, Ninth Global Edition

    John C. Hull

    credit risk · derivatives · interest rates · martingales · mathematical finance · option greeks

84. Pairs Trading: Quantitative Methods and Analysis

    Ganapathy Vidyamurthy

    pairs trading · regression · statistical arbitrage · statistics · time series

85. Partial Differential Equations: An Introduction, Second Edition

    Walter A. Strauss

    partial differential equations

86. Pattern Recognition and Machine Learning

    Christopher M. Bishop

    algorithms · bayesian statistics · machine learning · neural networks · probability · regression

87. Pricing Convertible Bonds

    Kevin B. Connolly

    convertible bonds · fixed income · mathematical finance · option pricing

88. Probabilistic Machine Learning: An Introduction

    Kevin P. Murphy

    deep learning · machine learning · neural networks · optimization · probability · regression

89. Probability and Random Processes

    David R. Stirzaker, Geoffrey R. Grimmett · 2001

    brownian motion · markov chains · martingales · option pricing · probability theory · random processes

90. Probability and Statistical Inference

    Jeremy Penzer, Miltiadis C. Mavrakakis

    hypothesis testing · probability · statistical inference · statistics

91. Probability Essentials

    Jean Jacod, Philip Protter · 2004

    conditional expectation · limit theorems · martingales · measure theory · probability theory · random variables

92. Probability with Martingales

    David Williams

    martingales · measure theory · probability

93. Probability: An Introduction, Second Edition

    Dominic Welsh, Geoffrey Grimmett

    probability · stochastic processes

94. Problem Solving with Algorithms and Data Structures

    Bradley N. Miller, David L. Ranum

    algorithms · data structures

95. Purely Functional Data Structures (PhD Thesis)

    Chris Okasaki

    data structures · programming

96. Quantitative Trading: How to Build Your Own Algorithmic Trading Business

    Ernest P. Chan · 2009

    algorithmic trading · algorithms · backtesting · programming · risk management · statistics

97. Statistical Inference, Second Edition

    George Casella, Roger L. Berger

    hypothesis testing · statistical inference · statistics

98. Statistics of Financial Markets

    Christian Matthias Hafner, Jürgen Franke, Wolfgang Karl Härdle

    mathematical finance · statistics

99. Stochastic Calculus and Finance

    Prasad Chalasani, Somesh Jha, Steven E. Shreve

    asset pricing · derivatives · martingales · mathematical finance · option pricing · options hedging

100. Stochastic Calculus for Finance I

     Steven Shreve

     Calculus · Finance · Options Pricing · Stochastic Calculus

101. Stochastic Calculus for Finance II: Continuous-Time Models

     Steven Shreve

     Calculus · Finance · Options Pricing · Stochastic Calculus · Time Series

102. Stochastic Financial Models

     Douglas Kennedy

     asset pricing · brownian motion · derivatives · mathematical finance · option pricing · options hedging

103. Term Structure Models: A Graduate Course

     Damir Filipović

     fixed income · interest rates · mathematical finance · stochastic differential equations · stochastic processes · term structure models

104. Testing Statistical Hypotheses, Third Edition

     Erich L. Lehmann, Joseph P. Romano

     hypothesis testing · statistical inference · statistics

105. The Concepts and Practice of Mathematical Finance, Second Edition

     Mark S. Joshi

     asset pricing · derivatives · interest rates · mathematical finance · option pricing · options hedging

106. The Elements of Statistical Learning: Data Mining, Inference, and Prediction, Second Edition

     Jerome Friedman, Robert Tibshirani, Trevor Hastie

     algorithms · machine learning · neural networks · regression · statistics

107. The Handbook of Convertible Bonds: Pricing, Strategies and Risk Management

     Jan De Spiegeleer, Wim Schoutens

     convertible bonds · fixed income · mathematical finance · option pricing · risk management

108. The Oxford Handbook of Quantitative Methods, Volume 2: Statistical Analysis

     Todd D. Little

     hypothesis testing · regression · statistical inference · statistics

109. The Volatility Surface: A Practitioner's Guide

     Jim Gatheral · 2006

     derivatives · mathematical finance · option pricing · stochastic processes · volatility surface

110. Time Series Analysis

     James D. Hamilton

     econometrics · statistics · stochastic processes · time series

111. Vector Calculus

     Harold R. Parks, Steven G. Krantz

     calculus