how i became a quant

very good book to get a feel for the kind of personalities in the quant world and peeks into the various places that quants work. also small glimpses into the types of problems quants work on. neil chriss has some interesting refs for using binomial and trinomial tree to match price/volatility of all available options simultaneously for european and american options. also, some other work he did on optimization of portfolio transition/liquidation combining transaction cost/liquidity with risk of holding a position too long. probably worth a look. peter j\"{a}ckel makes some interesting comments about (not surprisingly) the monte carlo method with low-discrepancy sequences in finance, in particular about getting good results with sobol' numbers in high dimensions. andrew weisman, big shot at merrill lynch, gives some warnings about the silicon ceiling: don't appear too nerdy or academic or people will think you can't make decisions. other aspects of the culture are more like a dog pack than a meritocracy. also, information-free performance enhancements: smoothing, selling volatility, and doubling up. use cvar to help with nonsymmetric hedge fund returns, resampled optimization to deal with difficult error estimation. risk metrics are ordinal, not cardinal, quantities. chapter 23 has an interesting reference to market microstructure -- using supply and demand curves on the level of bid/ask spread and probabilities of tick movements. also, a ref to a publisher that prints classic biographicals on turn-of-the-century market operators.