A catalogue of books for quantitative finance practitioners and researchers. Bibliographic facts come from open sources (Open Library, Crossref, OpenAlex); topic, mathematical difficulty and orientation labels are model-derived by transparent rules, shown with their evidence and confidence, and are not reviews. Each book links to related papers in the archive where the research areas overlap.
Quant Finance Books
A curated, machine-assembled catalogue of quantitative finance books with transparent, rule-based topic, difficulty and orientation labels, linked to related research papers.
All books (page 2 of 5)
Derivatives Pricing
- Pde And Martingale Methods In Option Pricing — Andrea Pascucci (2011)
- Pricing and Hedging Financial Derivatives: A Guide for Practitioners — Leonardo Marroni, Irene Perdomo (2013)
- PRICING AND HEDGING OF DERIVATIVE SECURITIES — L. T. Nielsen (1999)
- Pricing Derivative Securities — T. W. Epps (2000)
- Pricing Derivative Securities — Eliezer Z. Prisman (2000)
- Pricing Derivatives Under Lévy Models — Andrey Itkin (2017)
- Pricing interest-rate derivatives: A Fourier-Transform Based Approach — Markus Bouziane (2008)
- Quantitative Methods in Derivatives Pricing — Domingo Tavella (2002)
- Statistics of Financial Markets — Jürgen Franke (2011)
- Structured Credit Products: Credit Derivatives and Synthetic Securitisation — Moorad Choudhry, Abukar Ali, Suleman Baig, James Croke, Jaffar Hussain, Zhuoshi Liu, Richard Pereira, Sharad Samy, Timo Schläfer, Daniel Sempere‐Roldan, Marliese Uhrig‐Homburg (2004)
- Structured finance — Umberto Cherubini (2007)
- Telegraph Processes and Option Pricing — Alexander D. Kolesnik, Nikita Ratanov (2013)
- The art of credit derivatives: Demystifying the Black Swan — Joao Garcia, Serge Goossens (2010)
- The end of finance: Capital Market Inflation, Financial Derivatives and Pension Fund Capitalism — Jan Toporowski (1999)
- The mathematics of derivatives — Robert L. Navin (2006)
- The mathematics of financial derivatives: a student introduction — Paul Wilmott, Sam Howison, Jeff Dewynne (1995)
- The Oxford handbook of credit derivatives — Alexander Lipton, Andrew Rennie (2011)
- The SABR/LIBOR market model: pricing, calibration and hedging for complex interest-rate derivatives — Riccardo Rebonato, Kenneth McKay, Richard White (2009)
- Time-Discrete Method of Lines for Options and Bonds — Gunter H. Meyer (2014)
- Trading Option Greeks — Dan Passarelli, William J. Brodsky (2010)
- Uncertain Volatility Models: Theory and Application — Robert Buff (2002)
- Understanding Credit Derivatives and Related Instruments — Antulio N. Bomfim (2004)
Financial Data Engineering
- Analysis of financial data — Gary Koop (2006)
- Analyzing Financial Data and Implementing Financial Models Using R — Clifford S. Ang (2015)
- Financial Data Analytics: with Machine Learning, Optimization and Statistics — Sam Chen, Ka Chun Cheung, Phillip Yam, Kaiser Fan
- Financial Data Resampling for Machine Learning Based Trading: Application to Cryptocurrency Markets — Tomé Almeida Borges, Rui Neves (2021)
- Financial Data Science with Python: An Integrated Approach to Analysis, Modeling, and Machine Learning — Haojun Chen (2025)
- Handbook of Alternative Data in Finance, Volume I — Gautam Mitra, Christina Erlwein-Sayer, Kieu Thi Hoang, Diana Roman, Zryan Sadik (2023)
- Introduction to Analysis of Financial Data with R — Ruey S. Tsay (2013)
- Recent Econometric Techniques for Macroeconomic and Financial Data — Gilles Dufrénot, Takashi Matsuki (2020)
Financial Econometrics
- Asset pricing — Takeaki Kariya, Regina Liu (2002)
- Elements of Financial Econometrics — Jianqing Fan, Qiwei Yao (2017)
- Financial Econometrics — Peijie Wang (2002)
- Financial Econometrics and Empirical Market Microstructure — Anil K. Bera, Sergey Ivliev, Fabrizio Lillo (2014)
- Financial Econometrics Modeling: Derivatives Pricing, Hedge Funds and Term Structure Models — G. Gregoriou, R. Pascalau (2010)
- Financial Econometrics, Mathematics and Statistics: Theory, Method and Application — Cheng-Few Lee, Hong-Yi Chen, John Lee (2019)
- Financial Econometrics: From Basics to Advanced Modeling Techniques (Frank J. Fabozzi Series) — Fabozzi, CFA, Frank J, Sergio M. Focardi, Svetlozar T. Rachev, Stefan Mittnik, Teo Jasic, Frank J. Fabozzi, Teo Jasˇic´ (2006)
- FINANCIAL ECONOMETRICS: METHODS AND MODELS — Peijie Wang (2002)
- Financial Econometrics: Models and Methods — Oliver Linton (2019)
- Financial Econometrics: Problems, Models, and Methods — Christian Gourieroux, Joann Jasiak (2001)
- Financial Modeling Under Non-Gaussian Distributions — Eric Jondeau (2007)
- Handbook of Financial Econometrics and Statistics — Cheng-Few Lee, John C. Lee (2014)
- Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning: (In 4 Volumes) — Cheng-Few Lee, John C. Lee, Alice C. Lee (2020)
- Handbook of Financial Econometrics: Applications — Yacine Aït-Sahalia, Lars Peter Hansen (2007)
- Handbook of Financial Time Series — Thomas Mikosch, Jens-Peter Kreiß, Richard A. Davis, Torben Gustav Andersen (2009)
- High-Frequency Financial Econometrics — Yacine Aït-Sahalia, Jean Jacod (2014)
- Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models — Greg N. Gregoriou, Razvan Pascalau (2010)
Financial Machine Learning
- Implementing Machine Learning for Finance: A Systematic Approach to Predictive Risk and Performance Analysis for Investment Portfolios — Tshepo Chris Nokeri (2021)
- Machine Learning for Asset Management and Pricing — Henry Schellhorn, Tianmin Kong (2024)
- Machine Learning for Asset Management: New Developments and Financial Applications — Emmanuel Jurczenko (2020)
- Machine Learning for Asset Managers — Marcos Lopez de Prado (2020)
- Machine Learning for Financial Engineering — László Györfi, Gyrgy Ottucsák, Harro Walk, György Ottucsák (2012)
- Machine Learning in Asset Pricing — Stefan Nagel (2021)
- Machine Learning in Finance: From Theory to Practice — Matthew F. Dixon, Igor Halperin, Paul Bilokon (2020)
- Machine Learning in Finance: Trends, Developments and Business Practices in the Financial Sector — Musa Gün, Burcu Kartal (2025)
Fixed Income
- Advanced Fixed Income Analysis — Moorad Choudhry (2004)
- Advanced Fixed Income and Derivatives Management Guide — Saied Simozar (2015)
- Advanced Quantitative Finance with Modern C++: Interest Rate Modeling and Advanced Derivatives — Aaron De la Rosa
- An elementary introduction to stochastic interest rate modeling — Nicolas Privault (2008)
- An Elementary Introduction To Stochastic Interest Rate Modeling — Nicolas Privault, Yveline Lecler (2012)
- Consistency Problems for Heath-Jarrow-Morton Interest Rate Models — Damir Filipovic (2001)
- FIXED-INCOME SECURITIES AND DERIVATIVES HANDBOOK: ANALYSIS AND VALUATION — Moorad Choudhry (2010)
- Interest Rate Modeling: Theory and Practice — Lixin Wu (2009)
- Interest rate models — Andrew Cairns (2003)
- Interest Rate Models: An Introduction — Andrew J. G. Cairns (2018)
- Interest Rate Models: Theory and Practice — Damiano Brigo, Fabio Mercurio (2013)
- Interest Rate Models: Theory and Practice: With Smile, Inflation and Credit (Springer Finance) — Damiano Brigo, Fabio Mercurio (2007)
- Real Options Valuation: The Importance of Interest Rate Modelling in Theory and Practice — Marcus Schulmerich (2005)
- Term-structure models — Damir Filipović (2009)
- Valuation in a World of CVA, DVA, and FVA: A Tutorial on Debt Securities and Interest Rate Derivatives — DONALD J SMITH (2017)
High-Frequency Trading
- Algorithmic and High-Frequency Trading — Álvaro Cartea, Sebastian Jaimungal, José Penalva (2015)
- All about high-frequency trading — Michael Durbin (2010)
- Global Algorithmic Capital Markets: High Frequency Trading, Dark Pools, and Regulatory Challenges — Walter Mattli (2019)
- Handbook of High-Frequency Trading and Modeling in Finance — Ionut Florescu, Maria C. Mariani, H. Eugene Stanley, Frederi G. Viens (2016)
- High Frequency Trading and Limit Order Book Dynamics — Ingmar Nolte, Mark Salmon, Chris Adcock (2014)
- High-Frequency Trading and Probability Theory — Zhaodong Wang, Weian Zheng, China East Normal University Staff (2014)
- High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems — Irene Aldridge (2009)
- Risk Estimation on High Frequency Financial Data: Empirical Analysis of the DAX 30 — Florian Jacob (2015)
Market Making
- Cleft Capitalism: The Social Origins of Failed Market Making in Egypt — Amr Adly (2020)
- Market making and the changing structure of the securities industry — Yakov Amihud, Thomas S. Y. Ho, Robert A. Schwartz (1985)
- Market making and the changing structure of the securities industry — Yakov Amihud, Thomas S. Y. Ho, Robert A. Schwartz (2002)
- Mathematical Modeling for Market Making and Related Problems of Financial Liquidity — Centre de Mathématiques Ecole Polytechnique (2022)
- Option Market Making — Allen Jan Baird (1992)
- Practical Guide to Trading, Market Making, and Investing — Andrew Cohen (2023)
- Respatialising Finance: Power, Politics and Offshore Renminbi Market Making in London — Sarah Hall (2021)
- The forward market in foreign exchange: A Study in Market-making, Arbitrage and Speculation — Brendan Brown (1983)
Market Microstructure
- Advances in Quantitative Analysis of Finance and Accounting: Essays in Microstructure in Honor of David K Whitcomb — Ivan E. Brick, Cheng F. Lee, Tavy Ronen, Chew-Few Lee (2006)
- Dynamic Markov Bridges and Market Microstructure: Theory and Applications — Umut Çetin, Albina Danilova (2018)
- Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading — Joel Hasbrouck (2006)
- Financial markets and trading: An Introduction to Market Microstructure and Trading Strategies — Anatoly B. Schmidt (2011)
- Information and Learning in Markets: The Impact of Market Microstructure — Xavier Vives (2008)
- Market Microstructure in Practice — Sophie Laruelle, Charles-Albert Lehalle (2013)
- Market Microstructure: Intermediaries and the Theory of the Firm — Daniel F. Spulber (1998)
- Trading and Exchanges: Market Microstructure for Practitioners — Larry Harris (2002)
Mathematical Finance
- A Course in Credibility Theory and its Applications (Universitext) — Hans Bühlmann, Alois Gisler (2006)
- Adaptive regression — Yadolah Dodge, Jana Jureckova (2000)
- Advances in K-means Clustering — JunJie Wu (2012)
- Advances in multivariate data analysis — Classification Group of SIS. Meeting (2004)
- Advances in Superprocesses and Nonlinear PDEs — Janos Englander (2013)
- An Elementary Introduction to Mathematical Finance: Options and other Topics — Sheldon M. Ross (2002)