Application Recommended Reading

Below is a list of recommended texts (several of which will be used in the program). The book by Boas contains most of the mathematics that entering students should be familiar with, while the early chapters in Hull's book are a good introduction to the financial products that are the basis of study for the program.

Author Title
Mary L. Boas Mathematical Methods in the Physical Sciences
Sebastien Bossu and Philippe Henrotte Finance and Derivatives: Theory and Practice
John C. Hull Options, Futures and Other Derivatives
Neil A. Chriss Black-Scholes and Beyond: Option Pricing Models
P. Wilmott, S. Howison, J. Dewynne The Mathematics of Financial Derivatives
Patrick Billingsley Probability and Measure
Jonathan E. Ingersoll, Jr. Theory of Financial Decision Making
Tim Weithers Foreign Exchange: A Practical Guide to the FX Markets

Some other recommended readings. These are more to get a feel for how business works on Wall Street and not everything is centered around quants. Here are Neil Chriss' picks:

Author Title
Edwin Lefevre Reminiscences of a Stock Operator
Warren E. Buffett The Essays of Warren Buffett: Lessons for Corporate America
Benjamin Graham, Jason Zweig The Intelligent Investor: The Definitive Book On Value Investing
Daniel Reingold, Jennifer Reingold Confessions of a Wall Street Analyst: A True Story of Inside Information and Corruption in the Stock Market
Joel Greenblatt, Andrew Tobias The Little Book That Beats the Market
Joel Greenblatt, Jr. You Can Be a Stock Market Genius: Uncover the Secret Hiding Places of Stock Market Profits
Peter Kaufman, Warren E. Buffett, Charles T. Munger Poor Charlie's Almanac Expanded Second Edition. The Wit and Wisdom of Charles T. Munger
John A. Tracy, CPA How to Read a Financial Report: Wringing Vital Signs Out of the Numbers
John Burr Williams The Theory of Investment Value
Mark Rubinstein A History of the Theory of Investments: My Annotated Bibliography

Some picks by Robert Frey:

Author Title
Michael Lewis Moneyball: The Art of Winning an Unfair Game
Edwin O. Thorp Beat the Dealer: A Winning Strategy for the Game of Twenty-One
William Poundstone Fortune's Formula: The Untold Story of the Scientific Betting System That Beat the Casinos and Wall Street
Robert J. Frey Lecture notes from Stony Brook, AMS-511 Foundations of Quantitative Finance