Supplemental books to learn FRM concepts
- Thread starter umachana
- Start date
Hi Uday,
I think the core ideas are: math (log, exponential, functions), bond math, distributions, inference, regression, volatility, VaR, and option pricing.
In regard to those, within the FRM itself I would recommend (although I realize the books are pricey):
* Gujarati's Essentials of Econometrics simply because it is most of the Quant discipline (I mean within the 10% Quant, the quant in the exam is quite a bit broader)
* John Hull's Options, Futures and Other Derivatives (6th Edition). Already many chapters are required for derivatives PLUS Chapter 19 has been dropped in 2008 but it is (in my opinion) a better introduction to volatility than what remains on the assigned list in regard to EWMA/GARCH/MA
* Jorion's FRM Handbook 4th Edition is a strong introduction across-the-board on quant methods (it introduces quant in a way that his book, VaR 3rd edition, does not)
* I can't decide about Wilmott's Intro to Quant Finance, for this purpose. On the one hand, it is clearly a terrific introduction, one of the best. On the other hand, the inclusion of only the small Chapter 22 is a little puzzling. So, in total, this book extends quite a bit beyond testable FRM curriculum topics.
For books not within the FRM, but still relevant to the quant foundation, here are a just a few I like:
* Schaum's Outlines: Statistics. Schuam's is why you don't need to spend a lot of money learning quant. They have a bunch of terrific problem-set based books on stat, calculus, matrix.
* Schaum's Outlines: Calculus.
* For calculus, I've only flirted with The Calculus Lifesaver as someone just gave me a copy. But, I'm really looking forward to reading it, it looks fantastic...e.g., Taylor Series is important in FRM and he's got the best explanation of this series I've read
* I've lately been reviewing Salih Neftci's books and I'm really impressed with their clarity. An Into to math of financial derivatives is quite good
* Regarding fixed income, the gold standard is Fabozzi's Fixed Income Analysis, 2nd Edition. Better than the FRM assigned Tuckman readings.
* In regard to Black-Scholes, here is a gem of a book: Black-Scholes & Beyond. I am often asked about the intuition behind OPM and, as opposed to the pure calculus approach, this book does a better job than i've seen anywhere on conveying the intuition.
Hope that is helpful, these are just my views. Please let me know what you find, always interested!
David
I think the core ideas are: math (log, exponential, functions), bond math, distributions, inference, regression, volatility, VaR, and option pricing.
In regard to those, within the FRM itself I would recommend (although I realize the books are pricey):
* Gujarati's Essentials of Econometrics simply because it is most of the Quant discipline (I mean within the 10% Quant, the quant in the exam is quite a bit broader)
* John Hull's Options, Futures and Other Derivatives (6th Edition). Already many chapters are required for derivatives PLUS Chapter 19 has been dropped in 2008 but it is (in my opinion) a better introduction to volatility than what remains on the assigned list in regard to EWMA/GARCH/MA
* Jorion's FRM Handbook 4th Edition is a strong introduction across-the-board on quant methods (it introduces quant in a way that his book, VaR 3rd edition, does not)
* I can't decide about Wilmott's Intro to Quant Finance, for this purpose. On the one hand, it is clearly a terrific introduction, one of the best. On the other hand, the inclusion of only the small Chapter 22 is a little puzzling. So, in total, this book extends quite a bit beyond testable FRM curriculum topics.
For books not within the FRM, but still relevant to the quant foundation, here are a just a few I like:
* Schaum's Outlines: Statistics. Schuam's is why you don't need to spend a lot of money learning quant. They have a bunch of terrific problem-set based books on stat, calculus, matrix.
* Schaum's Outlines: Calculus.
* For calculus, I've only flirted with The Calculus Lifesaver as someone just gave me a copy. But, I'm really looking forward to reading it, it looks fantastic...e.g., Taylor Series is important in FRM and he's got the best explanation of this series I've read
* I've lately been reviewing Salih Neftci's books and I'm really impressed with their clarity. An Into to math of financial derivatives is quite good
* Regarding fixed income, the gold standard is Fabozzi's Fixed Income Analysis, 2nd Edition. Better than the FRM assigned Tuckman readings.
* In regard to Black-Scholes, here is a gem of a book: Black-Scholes & Beyond. I am often asked about the intuition behind OPM and, as opposed to the pure calculus approach, this book does a better job than i've seen anywhere on conveying the intuition.
Hope that is helpful, these are just my views. Please let me know what you find, always interested!
David
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