A well organized reference book with both a theory refresher and code examples for each topic: univariate and multivariate regressions, GARCH, cointegration, state space models and much more. This is a practical book for that may be also be used with R, the open-source alternative to S-PLUS. A solid background in statistics is recommended.
First published in 1973 and revised nine times since, this classic offers practical advice that is backed by no non-sense explanations.
On the theory side, you will find this book useful if you are looking for an introductory explanation on these topics: modern portfolio theory and CAPM, efficient markets, random walk.
Mr. Mandelbrot explains the shortcomings of modern finance theory in simple terms. Even though no practical alternative is given, the book was remarkably prescient (published a few years before the 2008 crisis) and encourages research into new models, possibly based on fractals.
A splendid introduction to bonds. The book is well structured and makes a great reference.
This text provides the essentials for understanding bonds: yield calculation, interest rate risk, credit risk, and the pros and cons of most bond investments: treasuries, munis, GNMAs, corporates, zeros, bond funds, money market funds.