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The (mis)behaviour of markets – Benoit Mandelbrot
Mandelbrot is best know for his famous set and his work on fractals in general. But he also worked in finance, and in fact the fundamental object of mathematical finance (and a lot of physics), the Brownian motion, is a fractal bath. Also makes a strong case that the perimeter of the UK is infinite.
Against the Gods – The remarkable story of risk – Peter Bernstein
This was actually one of the books I mentioned on my personal statement. There’s not a lot of hard maths, but tells the fascinating story of the emergence of probability, insurance and ultimately the risk capital markets from the early gambling dens and coffee shops in the city of London.
The Black Swan, Fooled by Randomness – Nassim Taleb
Taleb’s style is frank and he never holds back from criticisms of poor maths or risk management in the public sphere. Whether you agree with the political consequences he reaches or not, these entertainingly written books contain some fundamental truths about probability and risk management that are some of the most important out there.
An interesting and entertaining book about the Flash Crash of 2010 and the events that might have caused it.
The story of a mathematician who launched a hedge fund based on mathematical techniques, and was part of the trend towards the use of quantitative techniques in asset management and investment.
A Man for All Markets – Edward Thorp
Edward O.Thorp tells the story of his career, as an MIT professor, card counter and the hedge fund manager. You always have to be a little careful about the stories of gamblers and bankers telling you about their own successes and whilst there is no doubt some exaggeration in places, this book is educational, entertaining and very informative.