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- Alpha Masters by Maneet Ahuja (9/10)
- Enjoyable book to read as as freshman with an interest in finance but no idea about the different types of trading roles / strategies out there. The author interviews some of the most famous hedge fund managers (Ray Dalio, David Tepper, John Paulson) book covers different hedge fund managers and discusses strategies from macro, distressed debt, swaps, equities, short sellers, options, shareholder activism, and a little financial engineering.
- Enjoyable book to read as as freshman with an interest in finance but no idea about the different types of trading roles / strategies out there. The author interviews some of the most famous hedge fund managers (Ray Dalio, David Tepper, John Paulson) book covers different hedge fund managers and discusses strategies from macro, distressed debt, swaps, equities, short sellers, options, shareholder activism, and a little financial engineering.
- Fooling Some of the People All of the Time by David Einhorn (8/10)
- Listened to this on audible when walking to class. This is the story David Einhorn tells about his fight with Allied Capital, his own "big short." Covers fraud accounting & general investing. Useful for any business student.
- Listened to this on audible when walking to class. This is the story David Einhorn tells about his fight with Allied Capital, his own "big short." Covers fraud accounting & general investing. Useful for any business student.
- Hedge Fund Market Wizards by Jack Schwager (7/10)
- Same format as Alpha Masters; interviews with top hedge fund managers, although Jack's series came first. I read this one after Alpha Masters and it honestly felt like it didn't live up to the hype.
- Same format as Alpha Masters; interviews with top hedge fund managers, although Jack's series came first. I read this one after Alpha Masters and it honestly felt like it didn't live up to the hype.
- Reminiscences of a Stock Operator by Edwin LeFevre (6/10)
- Biography of a stock trader in bucketshops during the '20s. I don't really remember a ton of valuable takeaways, it got kinda boring.
- Biography of a stock trader in bucketshops during the '20s. I don't really remember a ton of valuable takeaways, it got kinda boring.
- Dark Pools by Scott Patterson (8.5/10)
- Read this five years ago but I remember liking it a lot. History of automated trading and describes some of the strategies the first guys were making. Good story of exchanges, markets, and algorithmic trading from 90s to 2010. Although a lot of the strategies might be arb'ed out or outdated, I might actually pick this back up for some idea generation.
- Read this five years ago but I remember liking it a lot. History of automated trading and describes some of the strategies the first guys were making. Good story of exchanges, markets, and algorithmic trading from 90s to 2010. Although a lot of the strategies might be arb'ed out or outdated, I might actually pick this back up for some idea generation.
- When Genius Failed by Roger Lowenstein (9/10)
- Practical trading book that tells the story of rise/demise of Long Term Capital Management. Another one useful for most undergrads, good on audiobook, and entertaining. Lessons applicable to options trading (realized vars, correlations, etc.)
- Practical trading book that tells the story of rise/demise of Long Term Capital Management. Another one useful for most undergrads, good on audiobook, and entertaining. Lessons applicable to options trading (realized vars, correlations, etc.)
- Advances in Financial Machine Learning by Marcos Lopez de Prado (9/10)
- MLdP is a quant trading genius and this is a pretty useful book for anyone with ML background. I like the chapter on cross validation, strategy risk, and anything backtest related.
- MLdP is a quant trading genius and this is a pretty useful book for anyone with ML background. I like the chapter on cross validation, strategy risk, and anything backtest related.
- Algorithmic Trading by Ernie Chan (8/10)
- Ernie Chan has 3 books out w/ quant strategies and MATLAB code. Good resource for statistical arbitrage and mean-reversion strategies, but I didn't read all of his stuff.
- Ernie Chan has 3 books out w/ quant strategies and MATLAB code. Good resource for statistical arbitrage and mean-reversion strategies, but I didn't read all of his stuff.
- Option Volatility and Pricing by Sheldon Natenberg (8/10)
- Extra point because its always referred to as the "bible" of option trading. It's very straightforward, covers forward pricing, dividends, spreads, volatility skew, implied distributions. Ch 24 is especially important, but otherwise very dry.
- Extra point because its always referred to as the "bible" of option trading. It's very straightforward, covers forward pricing, dividends, spreads, volatility skew, implied distributions. Ch 24 is especially important, but otherwise very dry.
- Option Trader's Hedge Fund: A Business Framework for Trading Equity and Index Options by Mark Sebastian (8/10)
- This was my first options book. Practical trades, discusses some vol modeling, hedging/defending, stories from an early-2000s-ex-market-maker. While I'm really opposed to any book or content that pushes trading in one way, this book approaches options trading from an "insurance" mindset, calling it the "One Man Insurance Company." I vaguely remember most trades being net short premium, but there were a few relative vol trades. He "coaches" options traders, so he has quite a few examples and describes common pitfalls.
- This was my first options book. Practical trades, discusses some vol modeling, hedging/defending, stories from an early-2000s-ex-market-maker. While I'm really opposed to any book or content that pushes trading in one way, this book approaches options trading from an "insurance" mindset, calling it the "One Man Insurance Company." I vaguely remember most trades being net short premium, but there were a few relative vol trades. He "coaches" options traders, so he has quite a few examples and describes common pitfalls.
- Options Volatility Trading by Adam Warner (8/10)
- Good primer on trading VIX options and conceptualizing volatility trading. I especially remember his analogy to weather, VIX futures, and why modeling is important for VX. Adam Warner also has a good book on Volatility ETFs. If you've ever wondered why relationships between SPX and VIX diverged, or why VIX went up but your VIX calls didn't, read this book.
- Good primer on trading VIX options and conceptualizing volatility trading. I especially remember his analogy to weather, VIX futures, and why modeling is important for VX. Adam Warner also has a good book on Volatility ETFs. If you've ever wondered why relationships between SPX and VIX diverged, or why VIX went up but your VIX calls didn't, read this book.
- Option Gamma Trading E-Book Series by Simon Gleadall (9/10)
- Helps conceptualize gamma and its role in exposure to realized volatility, scalping, profitability, and time. If you're looking for a quick read, check it out.
- Helps conceptualize gamma and its role in exposure to realized volatility, scalping, profitability, and time. If you're looking for a quick read, check it out.
- Trading Options as a Professional by James Bittman (9/10)
- Bittman is another ex-market maker from the floor, and I think he now works at Cboe in Education. While his book encompasses what MM were doing ~15 years ago, a lot of the concepts are still important, like pricing synthetics, revcons, dividends, boxes, flying off options, and managing bids/offers.
- Bittman is another ex-market maker from the floor, and I think he now works at Cboe in Education. While his book encompasses what MM were doing ~15 years ago, a lot of the concepts are still important, like pricing synthetics, revcons, dividends, boxes, flying off options, and managing bids/offers.
- Trading Volatility by Colin Bennett (9/10)
- One of the absolute best resources for institutional option trading, skew, correlation, and term structure trading.
- One of the absolute best resources for institutional option trading, skew, correlation, and term structure trading.
- Volatility Trading by Euan Sinclair (8/10)
- Ignore the volatility forecasting sections, but pay closer attention to psychological biases, and money management/kelly.
- Ignore the volatility forecasting sections, but pay closer attention to psychological biases, and money management/kelly.
- Exploiting Earnings Volatility by Brian Johnson (7/10)
- The title is a little cheesy, and it comes with some excel sheets that, if you learn them, could help a good amount with trading earnings. It's not the best system cause it's missing some of the nuances of event pricing, but it teaches a really good amount about the vol surface, how it changes around earnings, and how vol should move as we approach the event. Good overall, and I don't think any other book teaches event pricing. Never took the time to learn his excel sheet, though, but it can spur some good trade ideas.
- The title is a little cheesy, and it comes with some excel sheets that, if you learn them, could help a good amount with trading earnings. It's not the best system cause it's missing some of the nuances of event pricing, but it teaches a really good amount about the vol surface, how it changes around earnings, and how vol should move as we approach the event. Good overall, and I don't think any other book teaches event pricing. Never took the time to learn his excel sheet, though, but it can spur some good trade ideas.
- Dynamic Hedging by Nassim Taleb (9/10)
- Very important book, and still a reference to this day. Pay special attention to chapters on vol surface, shadow greeks, alpha, and arbitrage.
- Very important book, and still a reference to this day. Pay special attention to chapters on vol surface, shadow greeks, alpha, and arbitrage.
These books are all under the same umbrella of how to model arbitrage-free volatility surfaces, local volatility, SVI, skew, correlation, and term structure dynamics. Not useful for retail.
- Volatility Smile by Emanuel Derman (9/10)
- Volatility Surface by Jim Gatheral (9/10)
- Lectures on the Smile by Derman (8/10)
- Financial Mathematics of Market Liquidity by Gueant (7/10)
A Man For All Markets by Ed Thorpe
Stochastic Volatility Modeling by Lorenzo Bergomi
Trading and Exchanges: Market Microstructure by Larry Harris
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