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Quantitative Financial Economics

  1. Jan 16, 2010 #1


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    I am a bit curios about what quants really do and am therefore planning to buy a book about quantitative analysis (basically to read for fun).
    Can someone recommed a good book which describes "real world" techniques?
    Preferably something suitable for someone with the "usual" background (in my case a PhD in physics).

    Is Cuthbertson's "Quantitative Financial Economics: Stocks, Bonds and Foreign Exchange" any good?
  2. jcsd
  3. Jan 19, 2010 #2
    The two books that I'd recommend that focus more on the "why people are doing what they are doing" are:

    Kuznetsov - The complete guide to capital markets for quantitative professionals
    Neftci - Principles of Financial Engineering

    There is also

    Fusai - Implementing Models in Quantitative Finance: Methods and Cases

    which you can read as a series of case studies.

    There are other books that can get more into the nitty-gritty of the math. Paul Wilmott. Baxter-Finney. Sherve and Okensdal.

    One thing that you should realize in reading the texts is that a lot of the stuff in them is obsolete even if the text is two years old.
  4. Jan 19, 2010 #3
    Looking at the table of contents, it's more oriented to the type of work that gets done in buy-side hedge funds and by portfolio managers, but it's quite different from the modeling that gets done by sell-side quants in investment banks. There are about a dozen different "games" that people play in finance, and what I like about Kuznetsov is that he gives you an overview of the different games and the different players.
  5. Jan 19, 2010 #4
    One thing that will give you an idea of the type of work that people do. If you read Cuthbertson talk about the efficient market hypothesis and CAPM, this is important because they really don't work that well and as far as I'm concerned aren't useful descriptions at all of how markets work. But understanding the terms is important so that you can throw rocks at it.
  6. Jan 20, 2010 #5


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    Kuznetsov it is then
  7. Nov 10, 2011 #6
    Can you give the full name or the link of the talk; i cant find it.
    By the way, thanks for the advices.
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