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I'm looking for a book/pdf/guide to quantitative finance that contains all of the necessary mathematical prerequisites, as well as modern quantitative finance topics. Preferably something written at the advanced undergraduate/beginning graduate level.

Any recommendations are greatly appreciated. I cannot seem to find a comprehensive text that is written in a reasonably rigorous way (makes use of theorems from lin alg, probability, analysis, etc).

Thanks!

Anthony Peter
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Start with these

Quantitative Trading Strategies - Harnessing The Power of Quantitative Techniques To Create A Winning Trading Program

Quantitative Trading - Ernest Chan

What Works Well On Wall Street – James O’Shaughnessy

Trading And Exchanges: Market Microstructure For Practitioners

The Evaluation And Optimisation Of Trading Strategies [Second Edition]

Sam
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  • Unfortunately I think these are exactly the types of books I do not want to read. These books are on trading, and practical understandings of exchanges, clearinghouses, etc. I am looking for a mathematically rigorous text as described above. These books are not written for persons with mathematical backgrounds. Thanks! – Anthony Peter Dec 31 '18 at 04:50
  • @AnthonyPeter have you considered the fact that this field has no such mathematical component? – Sandeep Silwal Dec 31 '18 at 05:03
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    @SandeepSilwal I can't tell if you're serious or taking a swipe at mathematical finance – spaceisdarkgreen Dec 31 '18 at 06:21
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    @SandeepSilwal Either a joke or you're just misinformed... – Anthony Peter Dec 31 '18 at 06:50