 | Fooled by Randomness: The Hidden Role of Chance in Life and in the Markets by Nassim Nicholas Taleb
Buy new: $10.88 / Used from: $5.96 My favorite book. I can't recommend it highly enough. This should be required reading for all graduate students in Finance, Macroeconomics, and Actuarial Science.
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 | Against the Gods: The Remarkable Story of Risk by Peter L. Bernstein
Buy new: $13.57 / Used from: $6.40 Traces the role of risk throughout history, with particular emphasis on the capital markets. Read this, along with "Fooled by Randomness" before starting your graduate program.
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 | Principles of Corporate Finance + Student CD + Ethics in Finance PowerWeb + Standard and Poor's (McGraw-Hill/Irwin Series in Finance, Insurance, and Real Est) by Richard A Brealey
Buy new: $133.40 / Used from: $65.98 This is by far the best Corporate Finance book on the market. It is also a great investment because you can use it in your Managerial and your Corporate Finance courses. It is the standard text at top MBA programs.
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 | Investments by Zvi Bodie
Buy used from: $57.50 This is the best Investments book on the market. The Appendix contains a wonderful review of the mathematics needed for the introductory study of Investments. Similar to the Brealey text, this book is the standard at top MBA programs.
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 | Investment Science by David G. Luenberger
Buy new: $96.00 / Used from: $52.84 This is an intermediate-level Investments text. Move onto it after you finish the Bodie text.
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 | Fixed Income Securities: Tools for Today's Markets, Second Edition by Bruce Tuckman
Buy new: $62.72 / Used from: $39.99 I am honestly not a big fan of any of the Fixed Income books on the market. Tuckman is criticized for being a bit too "chatty," but the other available texts, such as Martellini, are too advanced for a first course in the subject.
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 | Options, Futures and Other Derivatives (6th Edition) by John C. Hull
Buy new: $136.74 / Used from: $76.00 This text is fantastic. I wish there was a text on Fixed Income securities in general that was this clear. It is the standard Futures and Options text in top MBA programs.
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 | Valuation: Measuring and Managing the Value of Companies, Fourth Edition by McKinsey & Company Inc.
Buy new: $46.75 / Used from: $41.00 If you are interested in Valuation, then read this book along with my other recommended one in the area.
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 | Investment Valuation: Tools and Techniques for Determining the Value of Any Asset, Second Edition by Aswath Damodaran
Buy new: $52.25 / Used from: $50.99 This book makes the perfect complement to my other recommended Valuation text.
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 | Principles of Financial Engineering (Academic Press Advanced Finance) by Salih N. Neftci
Buy new: $88.80 / Used from: $64.00 Before undertaking more advanced studies (post-MBA), you will need to improve your quantitative skills. If I could only recommend on book for this purpose, it would be this one.
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 | Mathematics for Finance: An Introduction to Financial Engineering (Springer Undergraduate Mathematics Series) by Marek Capinski
Buy new: $32.54 / Used from: $29.00 This is a more affordable and high quality introduction to Financial Mathematics.
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 | Numerical Methods in Finance and Economics: A MATLAB-Based Introduction (Statistics in Practice) by Paolo Brandimarte
Buy new: $97.56 / Used from: $81.00 You will need to be able to do at least a minimum level of programming. Matlab is the most widely used software, but Fortran, C++, and Mathematica are also fairly common. You need to make sure that you are familiar with programming in general (loops, functions, scripts, etc.) before starting any of these languages. My personal favorite is Matlab and this book is outstanding.
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 | Investors and Markets: Portfolio Choices, Asset Prices, and Investment Advice (Princeton Lectures in Finance) by William F. Sharpe
Buy new: $31.96 / Used from: $26.99 Before starting your Discrete-Time Finance Theory course, read this text for review.
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 | Asset Pricing: (Revised) by John H. Cochrane
Buy new: $76.00 / Used from: $61.74 This book is a masterpiece. Seriously, Cochrane is my hero. Get to know this book. You will thank me for it.
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 | Stochastic Calculus for Finance I: The Binomial Asset Pricing Model (Springer Finance) by Steven E. Shreve
Buy new: $31.45 / Used from: $30.45 Shreve is "the man" when it comes to the application of Stochastic Calculus to Finance. This book is a good companion for a Discrete-Time course.
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 | Asset Pricing in Discrete Time: A Complete Markets Approach (Oxford Finance) by Ser-Huang Poon
Buy new: $52.10 / Used from: $33.02 If you are struggling in your Discrete-Time course, then this book might be a good supplement. I didn't love it, but it did provide an alternate "take" on the information.
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 | Investment under Uncertainty by Avinash K. Dixit
Buy new: $76.00 / Used from: $59.94 This is my personal favorite of the continuous-time Finance Theory texts. The material is inherently difficult, but Dixit is a fantastic writer.
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 | Continuous-Time Finance (Macroeconomics and Finance) by Robert C. Merton
Buy new: $68.95 / Used from: $30.94 Duffie and Shreve are widely recommended as well, but I much prefer this book by one of the masters.
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 | Stochastic Differential Equations: An Introduction with Applications (Universitext) by Bernt Oksendal
Buy new: $44.95 / Used from: $32.00 I am assuming that, at this level, you will have had Calculus I, II, and III, real analysis, and differential equations. Measure theory and topology would also be quite useful. If so, then this book is an incredble introduction to Stochastic Calculus.
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 | Elementary Stochastic Calculus With Finance in View (Advanced Series on Statistical Science & Applied Probability, Vol 6) (Advanced Series on Statistical Science & Applied Probability, Vol 6) by Thomas Mikosch
Buy new: $31.20 / Used from: $29.00 This book is every bit as good as the one by Oksendal.
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 | The Theory of Corporate Finance by Jean Tirole
Buy new: $44.00 / Used from: $38.09 This book is an excellent companion to your Ph.D.-level Advanced Corporate Finance course.
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 | Econometric Analysis (5th Edition) by William H. Greene
Buy new: $129.76 / Used from: $61.50 This is a relatively "gentle" introduction to Econometrics. You will find this course much easier if you have taken at least one semester of calculus-based mathematical statistics prior to enrollment.
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 | Analysis of Financial Time Series (Wiley Series in Probability and Statistics) by Ruey S. Tsay
Buy new: $102.00 / Used from: $59.24 This is an excellent supplement to the Greene text, especially if you are interested in asset-pricing.
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