Wanna be a Quant ?
- Thread starter syswizard
- Start date
It IS free, but you can't join without a corporate or university domain name in your email address.
Check it out yourself:
http://www.wilmott.com/join.cfm
Point is, I met the guy, and that was not enough to permit an exception to this stupid policy.
Bjork is one of the best books on the subject regardless of its level. Oksendal is a good book to get into SDEs.
I wouldn't call Karatzas and Shreve introductory as far as most people are concerned. In fact, its probably due to the widespread use of texts like K&S that most people do not really understand concepts like risk-neutral valuation. Most think they do, but I know many experienced practioners who really don't - and that lack of understanding has nothing to do with understanding change of measure - but I digress.
Rebonato has worked on rates and vol/correl and I think he did work with Joshi at RBS, Mercurio is actually "Brigo and Mercurio" and that is one of THE interest rates books. I don't see why either one should be annaland's next book.
I'd recommend some practical sheah. Get the "Collector's" book and implement some of the models. Then read some papers and implement them. Figure how to implement Ritchken/Trevor lattice from their paper (GARCH sheah). That is actually useful stuff. Joshi's book has a bunch of projects to implement.
That sheah would be more impressive to more employers than - say - your knowledge of Sobolev spaces.
If you want an advanced book on mainly FX check out Alex Lipton's book. The guy is a practitioner - and if memory serves - has a background in hydrodynamics.