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Are you really interested in learning quant finance (learning how to mathematically model various parts of financial markets, pricing/measuring risk of specific instruments, etc.) or are you interested in programming systems for the financial industry (trading/risk/compliance/banking/etc)?

This book, "Algorithmic Trading and DMA: An introduction to direct access trading strategies" (http://www.amazon.com/Algorithmic-Trading-DMA-introduction-s...) is pretty darn good if you are a programmer. However, if you really meant "quant finance," then others can give you better suggestions :)

edit: I just remembered, Paul Wilmott and Hull have several introductory books if you are interested in what is usually called "quantitative finance." This means how to price options, futures, etc. From what I recall, this does NOT mean using statistical correlations to trade two similar stocks, making market-making models, etc.




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