An Introduction To Quantitative Finance By Stephen Blyth Pdf

[Shawnna Franz]

Iam currently a physics & math undergraduate interested in quantitative finance. I have taken computational math up to PDEs, proofs-based math up to linear algebra, and am currently taking graduate physics courses (I am saying this so you can get a feel for my background). I was wondering if there was a book (or books) recommended for my situation. Most of the books I've seen recommended on here, or from other searches I've made, seem to be in one of two camps:

I was wondering if there was a book that, while being somewhat introductory (not assuming much background in terms of previous finance vocabulary or experience), wasn't afraid of putting more advanced math in its text. Also, I would strongly prefer books with exercises in them; I know from previous experience that reading theory without doing exercises is quite harmful to your development in a subject. I'm aware this question may seem lazy or repetitive, as there are multiple book recommendations already out there, (e.g. this booklist, or this one), but for the previously mentioned reasons, I was curious to see if there were more specific suggestions. I also have zero context on the industry, so important distinctions like arbitrage theory vs. credit derivatives mean literally nothing to me; this makes it difficult to decide what I should do/read to learn more (which makes big booklists not very helpful to me at the moment). Thanks in advance!

It's hard to find a book that strikes the balance you seek but, to build on Richard Hardy's suggestion, I would recommend a textbook that provides an introduction to finance while not shying away from the mathematical modeling involved in setting up the fundamental problems. I recommend David Luenberger's text: Investment Science: it is very lucidly written, has solid coverage of the key areas, and also has a nice selection of exercises. While it may not be as mathematically intense as you might like, I found it very helpful in developing solid intuition for the fundamentals.

Finally, "Financial Calculus" by Baxter and Rennie offers a brief and accessible path to understanding some of the stochastic calculus behind the pricing and construction of derivative securities. Nice exercises too!

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