I have been looking for a low-code or no-code book that focuses on the foundations of financial mathematics and some of the theoretical underpinnings of working with financial data.
Some that I own include …
High-Frequency Trading by Aldridge. It is a little dated (2010), and it feels like a compendium of research papers that were probably relevant at the time. It has the look and feel of the book I want, though.
A Course in Derivative Securities by Back. Has the look and feel of what I want, but is overly focused on derivatives for my taste. The first three chapters should be required reading for all quants.
Advances in Active Portfolio Management by Grinold and Kahn. New (2020), big, and thorough. Extremely complex. Seemingly a compendium of Grinold's many many research papers.
Submitted October 12, 2020 at 11:55AM by chris_conlan