STUDY in financial engineering

What should one learn? There is by now a huge number of books available.
Standard books are

1. Hull - Options future and other derivatives – this is sometimes called the “bible book.” Main downside is that it is oriented towards MBAs rather than quantitative PhDs.
2. Baxter and Rennie – accessible introduction to martingale approach but oriented towards theory rather than practicalitues
3. Wilmott (Derivatives) – good on the PDE approach but not so good on other approaches.
4. The concepts and practice of mathematical finance, CUP 2003, my objective here was to cover what a good quant ought to know.
5. It includes programming projects that I strongly advise you to do before applying for jobs. The second edition appeared in 2008.
6. C++ design patterns and derivatives, CUP 2004, this is a second book on C++, the objective was to teach the reader how to use the language properly. The second edition appeared in 2008.
7. Quant job interview questions and answers. here they are with answers and possible followup questions. This is currently available only from amazon.com.
8. More mathematical finance, Sep 2011. This is the sequel to “Concepts”.

It takes up where Concepts left off and contain much more discussion of the numerics and the models.
Stochastic calculus is useful, but not as important as it at first appears.
It is hard to find the time to pick it up on the job so it’s worth learning in advance. It’s also worth spending some time going over basic probability theory – eg Chung’s books. Some books on stochastic calculus and
martingales which I like are

• Williams, Probability with martingales, a remarkably easy to read

rigorous account of discrete time martingale theory. (You need to
know the discrete time stuff to learn the continuous case.)

• Rogers and Williams, particularly Volume 1.
• Chung and Williams, you need to know continuous time martingales

first, but if you do it is a nice read.