The Canon
Reading List
The standard texts top quant programs assign, mapped to our courses and cited the way a real syllabus does. SVInstitute's lessons are original; these are the canonical references a student progresses through, tier by tier.
100
Novice — Foundations
Required
- — Analysis of Financial Time Series (Ch. 1)
Recommended
- — All of Statistics
Required
- — Statistical Inference
Recommended
- — Probability and Statistics
- — A First Course in Probability
200
Intermediate — Inference & Modeling
Required
- — Statistical Inference
Recommended
- — All of Statistics
Required
- — Analysis of Financial Time Series
Recommended
- — Time Series Analysis
- — The Econometrics of Financial Markets
Required
No assigned text — original lessons and current papers.
Recommended
- — Data-Snooping, Technical Trading Rule Performance, and the Bootstrap
- — Market Efficiency and the Returns to Technical Analysis
- — Analysis of Financial Time Series — Ch. 2–3 (the filter & range mathematics)
300
Advanced — Stochastic & Volatility
Required
- — Stochastic Calculus for Finance II
- — Options, Futures, and Other Derivatives
Recommended
- — Arbitrage Theory in Continuous Time
- — Stochastic Differential Equations
- — The Concepts and Practice of Mathematical Finance
Required
- — The Volatility Surface
Recommended
- — Volatility and Correlation
- — Stochastic Volatility Modeling
Required
- — The Volatility Surface
- — Options, Futures, and Other Derivatives (implied distributions)
Recommended
- — Financial Modelling with Jump Processes
Required
- — Options, Futures, and Other Derivatives
Recommended
- — Volatility Trading
- — Option Volatility and Pricing
400
Graduate — Specialization & Capstone
Required
- — Quantitative Risk Management
Recommended
- — Risk Management and Financial Institutions
- — Value at Risk
Required
- — The Volatility Surface
Recommended
- — Stochastic Volatility Modeling
Required
- — Quantitative Risk Management (copulas)
Recommended
- — Multivariate Time Series Analysis
- — Financial and Macroeconomic Connectedness
Required
- — Advances in Financial Machine Learning
Recommended
- — The Elements of Statistical Learning
- — Machine Learning in Finance
Required
- — Algorithmic and High-Frequency Trading
Recommended
- — Market Microstructure Theory
- — Empirical Market Microstructure
Required
No assigned text — original lessons and current papers.
Recommended
- — Advances in Financial Machine Learning (backtest overfitting)
500
Quant Research — Mastery
SVI 501 Measure-Theoretic Probability & Martingales
Required
- — Probability with Martingales
Recommended
- — Probability: Theory and Examples
- — Probability and Measure
SVI 502 Rigorous Stochastic Analysis
Required
- — Brownian Motion and Stochastic Calculus
Recommended
- — Stochastic Differential Equations
- — Continuous Martingales and Brownian Motion
SVI 503 Stochastic Control & BSDEs
Required
- — Continuous-time Stochastic Control and Optimization with Financial Applications
Recommended
- — Controlled Markov Processes and Viscosity Solutions
SVI 504 Continuous-Time Asset-Pricing Theory
Required
- — Asset Pricing
Recommended
- — Dynamic Asset Pricing Theory
- — Financial Asset Pricing Theory
SVI 505 Advanced Statistics & Financial Econometrics
Required
- — Statistical Inference
- — Analysis of Financial Time Series
Recommended
- — Time Series Analysis
- — Econometrics
SVI 506 Optimization & Scientific Computing
Required
- — Monte Carlo Methods in Financial Engineering
Recommended
- — Convex Optimization
- — Numerical Optimization
SVI 510 The Research Frontier
Required
No assigned text — original lessons and current papers.
Recommended
No assigned text — original lessons and current papers.
SVI 590 Doctoral Capstone — Original Research
Required
No assigned text — original lessons and current papers.
Recommended
No assigned text — original lessons and current papers.