Most of these comments might be obvious for the most of you but having these insights was a very useful experience. Further, my background is nor maths nor finance. My day job (CRM and IT) has nothing do with mathematical finance and I don't intend to get a quant job. It's a hobby and I do all the reading in my spare time. This post might be useful for people in the same or similar situation. If you are a quant or have a maths degree you can skip it.
This is my basic book list including the my wish list (thanks a lot to Mark for his recommended books list: http://www.markjoshi.com/RecommendedBooks.html
- Principles of Mathematical Analysis by Walter Rudin (my basic book on Analysis)
- Yet Another Introduction to Analysis by Victor Bryant
On the 'Basic Maths' wish list:
- Elementary Probability Theory: With Stochastic Processes and an Introduction to Mathematical Finance by K.L. Chung
- Stochastic Differential Equations: An Introduction with Applications by Bernt Oksendal
- The Concepts and Practice of Mathematical Finance by Mark Joshi
- Mathematical Techniques in Finance: Tools for Incomplete Markets by Ales Cerny
On the 'Mathematical Finance' wish list
- Volatility and Correlation: The Perfect Hedger and the Fox by Riccardo Rebonato
- Dynamic Asset Pricing Theory by Darrell Duffie
C++ and Programming
- C++ Design Patterns and Derivatives Pricing by Mark Joshi
- Thinking in C++ by Bruce Eckel (http://mindview.net/Books/TICPP/ThinkingInCPP2e.html
- Professional C++ Programming by Nicholas Solter and Scott Klepper
- Design patterns: elements of reusable object-oriented software by the Gang of Four (Gamma, Helm, Johnson, Vlissides)
Here my insights and tips:
Don't buy too many books at once. Learn the two Joshi books by heart. Make sure you understand *all* the concepts in these books. Read slowly, take detailed notes. Re-read passages you don't understand again and again. Do all the exercises. And do something I haven't done so far but I will start with right now: Write down what you have read in your own words. Even better: Write your own summary/book.
Choose C++ as the programming language and don't look left and right. Don't listen to comments like "oh, programming language X is much better than C++ because...". If you can't or don't want to use C++: Java is ok, Matlab is ok, R is ok, X is ok but just focus on one language/system. Apply design patterns wherever it makes sense.
Keep a wish list with books you would like or need to read. But as I said, don't buy too many at once. It takes a lot of time to read and understand one book so I am restricting myself to buy the books on the wish list until I have finished the basic ones. And this will take two years at least (for me).
Get proficiency in Excel and implement the examples shown in the books.
Keep a list of finance and maths buzzwords you don't know/understand. Add all the information you can find (books, magazines, web etc.) to these words.
Last but not least: Read newspapers and magazines to be informed what's going on (FT, Economist, NZZ etc.)
Any comments, tips and critics are appreciated.
Mark, if this post is in the wrong section please feel free to advise me to move it.