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 4 of 5)
Numerical Methods
- Monte Carlo and Quasi-Monte Carlo Methods 2002: Proceedings of a Conference held at the National University of Singapore, Republic of Singapore, November 25-28, 2002 — Harald Niederreiter (2004)
- Monte Carlo and Quasi-Monte Carlo Methods 2006 — Alexander Keller, Stefan Heinrich, Harald Niederreiter (2007)
- Monte Carlo and Quasi-Monte Carlo Methods 2010 — Leszek Plaskota, Henryk Woźniakowski (2012)
- Monte Carlo methods in financial engineering — Paul Glasserman (2004)
- Neutral and Indifference Portfolio Pricing, Hedging and Investing — Srdjan Stojanovic (2011)
- Numerical Methods in Finance: Bordeaux, June 2010 — René Carmona, Pierre Del Moral, Peng Hu, Nadia Oudjane (2012)
- Option Theory with Stochastic Analysis — Fred E. Benth (2004)
- Stochastic Simulation And Monte Carlo Methods Mathematical Foundations Of Stochastic Simulation — Carl Graham (2013)
- Tools for Computational Finance — Rüdiger Seydel (2002)
- Topics in Numerical Methods for Finance — Mark Cummins, Finbarr Murphy, John J. H. Miller (2012)
Options and Volatility
- Asymptotic Chaos Expansions in Finance — David Nicolay (2014)
- Binary Options: Strategies for Directional and Volatility Trading — Alex Nekritin (2012)
- Fitting local volatility: Analytic and Numerical Approaches in Black-Scholes and Local Variance Gamma Models — Andrey Itkin (2020)
- Incomplete Information and Heterogeneous Beliefs in Continuous-time Finance — Alexandre Ziegler (2003)
- More Evidence Against the Random Walk Hypothesis: Exchange-traded Funds (ETFs) Market and Volatility Trading — Shunxin Jiang (2015)
- Multiscale stochastic volatility for equity, interest rate, and credit derivatives — Jean-Pierre Fouque, George Papanicolaou, Ronnie Sircar, Knut Sølna (2008)
- Option pricing models and volatility using Excel-VBA — Fabrice Douglas Rouah, Gregory Vainberg (2007)
- Option Volatility Trading Strategies — Sheldon Natenberg (2007)
- Pricing of Bond Options — Detlef Repplinger (2008)
- Pricing of Derivatives on Mean-Reverting Assets — Bjö Lutz, Björn Lutz (2009)
- Semiparametric Modeling of Implied Volatility (Springer Finance) — Matthias R. Fengler (2006)
- Stochastic volatility in financial markets: Crossing the Bridge to Continuous Time — Fabio Fornari, Antonio Mele (2000)
- Stochastic volatility modeling — Lorenzo Bergomi (2015)
- The mathematics of derivatives securities with applications in MATLAB — Mario Cerrato (2012)
- The Statistical Mechanics of Financial Markets — Johannes Voit (2006)
- The Volatility Surface: A Practitioner's Guide — Jim Gatheral (2006)
- Trading Options Greeks: How Time, Volatility, and Other Pricing Factors Drive Profits — Dan Passarelli, William J. Brodsky (2012)
- Volatility Surface and Term Structure — Kin Keung Lai, Jerome Yen, Shifei Zhou, Hao Wang (2013)
- Volatility Trading — Euan Sinclair (2008)
Portfolio Optimization
- A Benchmark Approach to Quantitative Finance — Eckhard Platen, David Heath (2006)
- Advanced financial modelling — Hansjörg Albrecher, W. J. Runggaldier, Walter Schachermayer (2009)
- Computational methods in financial engineering — Manfred Gilli, Erricos John Kontoghiorghes, Berc Rustem, Peter Winker (2008)
- Continuous-time stochastic control and optimization with financial applications — Huyên Pham (2009)
- Efficient Asset Management: a practical guide to stock portfolio optimization and asset allocation — Richard O. Michaud, Robert O Michaud (1998)
- Elliptically Contoured Models In Statistics And Portfolio Theory — Arjun K. Gupta, Tamas Varga, Taras Bodnar (2013)
- High-Frequency Trading Models — Gewei Ye (2010)
- Linear and Mixed Integer Programming for Portfolio Optimization — Renata Mansini, Włodzimierz Ogryczak, M. Grazia Speranza (2015)
- Modeling risk: Applying Monte Carlo Risk Simulation, Strategic Real Options, Stochastic Forecasting, and Portfolio Optimization — Johnathan Mun (2010)
- Multicriteria portfolio management — Panos Xidonas, George Mavrotas, Theodore Krintas, John Psarras, Constantin Zopounidis (2012)
- On-Line Portfolio Selection — Bin Li, Steven Chu Hong Hoi (1999)
- Optimal Mean Reversion Trading: Mathematical Analysis and Practical Applications — Tim Siu-Tang Leung, Xin Li (2015)
- Optimal Models and Methods with Fuzzy Quantities — Bing-Yuan Cao (2010)
- Optimal portfolios: Stochastic Models for Optimal Investment and Risk Management in Continuous Time — Ralf Korn (1997)
- Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE — Nizar Touzi (2012)
- Option pricing and portfolio optimization — Ralf Korn, Elke Korn (2001)
- Portfolio optimization — Michael J. Best (2010)
- Portfolio Optimization and Performance Analysis (Chapman & Hall/Crc Financial Mathematics Series) — Jean-Luc Prigent (2007)
- Portfolio selection and asset pricing — Shouyang Wang, Yusen Xia (2002)
- Portfolio Theory and Arbitrage — Ioannis Karatzas, Constantinos Kardaras, IOANNIS KARATZAS; CONSTANTINOS KARDARAS (2021)
- Quantitative Finance with Python: A Practical Guide to Investment Management, Trading, and Financial Engineering — Chris Kelliher (2022)
- Quantitative Risk and Portfolio Management: Theory and Practice — Kenneth James Winston (2023)
- Reviews in Modern Quantitative Finance — Andrey Itkin (2024)
- Risk and Asset Allocation — Attilio Meucci (2007)
- Risk and Portfolio Analysis — Henrik Hult (2012)
- Stochastic modeling and optimization — David D. Yao, Hanqin Zhang (2003)
- Stochastic optimization models in finance — W. T. Ziemba (1975)
- Stochastic Portfolio Theory — E. Robert Fernholz (2002)
- The Evaluation and Optimization of Trading Strategies — Robert Pardo (2008)
- Tychastic Measure of Viability Risk — Jean-Pierre Aubin, Luxi Chen, Olivier Dordan (2014)
Quantitative Finance
- A First Course in Quantitative Finance — Thomas Mazzoni (2018)
- Advances in Quantitative Analysis of Finance and Accounting — Cheng-Few Lee (2006)
- Advances in Quantitative Analysis of Finance and Accounting: New Series — Cheng F. Lee, Thomas J. Frecka (1990)
- An Introduction to Continuous-Time Stochastic Processes: Theory, Models, and Applications to Finance, Biology, and Medicine — V. Capasso, David Bakstein (2004)
- Applications of Fourier Transform to Smile Modeling — Jianwei Zhu (2010)
- Applied Quantitative Finance: Using Python for Financial Analysis — Mauricio Garita (2020)
- Bayesian Machine Learning in Quantitative Finance: Theory and Practical Applications — Wilson Tsakane Mongwe, Rendani Mbuvha, Tshilidzi Marwala (2026)
- Deep Learning in Quantitative Trading — Zihao Zhang, Stefan Zohren (2025)
- Elementary probability theory — Kai Lai Chung, Farid Aitsahlia (2003)
- Experiments in Quantitative Finance — Joel Gibbons (2017)
- Financial Markets in Continuous Time — Rose-Anne Dana, Monique Jeanblanc (2003)
- Frequently Asked Questions in Quantitative Finance — Paul Wilmott (2006)
- General Pontryagin-Type Stochastic Maximum Principle and Backward Stochastic Evolution Equations in Infinite Dimensions — Qi Lü, Xu Zhang (2014)
- Introduction to Machine Learning in Quantitative Finance — Hao Ni, Guangxi Yu, Jinsong Zheng, Xin Dong (2021)
- Introduction to Quantitative Finance: A Three-Principle Approach — Christopher Hian Ann Ting (2015)
- Introductory Mathematical Analysis for Quantitative Finance — Daniele Ritelli, Giulia Spaletta (2020)
- Investment Strategies Optimization based on a SAX-GA Methodology — António M.L. Canelas (2013)
- Malliavin Calculus for Lévy Processes with Applications to Finance — Giulia Di Nunno (2008)
- Markov Decision Processes with Applications to Finance — Nicole Bäuerle, Ulrich Rieder (2011)
- Mathematical Methods For Financial Markets — Monique Jeanblanc, Marc Yor, Marc Chesney (2009)
- Measure, integral and probability — Marek Capiński (1999)
- Optimal Investment (SpringerBriefs in Quantitative Finance) — L. C. G. Rogers (2013)
- Optimal statistical inference in financial engineering — Masanobu Taniguchi, Junichi Hirukawa, Kenichiro Tamaki (2007)
- Paul Wilmott Introduces Quantitative Finance — Paul Wilmott (2001)
- Project financing: Asset‐Based Financial Engineering — John D. Finnerty (1996)
- Quantitative Finance for Physicists — Anatoly B. Schmidt (2004)
- Quantitative Finance: An Object-Oriented Approach in C++ — Erik Schlogl (2008)
- Sparse Grid Quadrature in High Dimensions with Applications in Finance and Insurance — Markus Holtz (2010)
- Stochastic Analysis and Applications 2014 — Dan Crisan, Ben Hambly, Thaleia Zariphopoulou (2014)
- Stochastic Integration in Banach Spaces — Vidyadhar Mandrekar, Barbara Rüdiger (2014)
Reinforcement Learning for Finance
- Deep Hedging and Reinforcement Learning for Dynamic Derivatives Risk Management under Market Frictions — Murali Krishna Pasupuleti
- Foundations of Reinforcement Learning with Applications in Finance — Ashwin Rao, Tikhon Jelvis (2022)
- Reinforcement Learning for Finance: Solve Problems in Finance with CNN and RNN Using the TensorFlow Library — Samit Ahlawat (2023)
- Statistical Reinforcement Learning — Tetsuro Morimura (2012)
Risk Management
- Advanced Mathematical Methods for Finance — Giulia Di Nunno, Bernt Øksendal (2011)
- Analysis of Financial Time Series — Ruey S. Tsay (2001)
- Applied Quantitative Finance — W. Härdle, T. Kleinow, G. Stahl (2002)
- Computational Intelligence Applications to Option Pricing, Volatility Forecasting and Value at Risk — Fahed Mostafa, Tharam Dillon, Elizabeth Chang (2017)
- Counterparty credit risk and credit value adjustment: A Continuing Challenge for Global Financial Markets — Gregory, Jon Ph. D. (2012)
- Counterparty Credit Risk, Collateral and Funding — Damiano Brigo, Massimo Morini, Andrea Pallavicini (2013)
- Credit Risk — Niklas Wagner (2008)