Caltech Library Resources for the Linde Institute: Quantitative Finance

Matlab provides a central tool for implementing complicated quantative financial models and is available to Caltech students for free through http://software.caltech.edu/.  Here are some references on financial modeling with Matlab:

• Simulation and Optimization in Finance: Modeling with MATLAB, @Risk, or VBA
• Stochastic Simulation and Applications in Finance with MATLAB Programs 
• Strategic Asset Allocation in Fixed-Income Markets: A MATLAB-based User's Guide 
• MATLAB with Applications to Engineering, Physics and Finance

R is an open source scientific computing program with a broad and sophisticated user base.  Here are some resources for getting started analyzing data with R.

• Web tutorial:  Quick-R provides a good introduction and tutorial on getting acquainted with it.  
• Using R for data management, statistical analysis, and graphics (e-book)
• The R Book by Michael J. Crawley
• R-Bloggers Posts tagged for Quant Finance 

Asset Pricing

• Asset Pricing
• Theory of Asset Pricing
• Empirical Dynamic Asset Pricing: Model Specification and Econometric Assessment
• Expected Returns: An Investor's Guide to Harvesting Market Rewards

Volatility Modeling and Risk Management

• Mathematical Risk Analysis (e-Book)
• Bayesian Methods in Finance
• The Econometrics of Financial Markets
• Bootstrapping stationary ARMA-GARCH models

Asset Allocation and Portfolio Management

• Quantitative Equity Investing: Techniques and Strategies (e-Book)
• The Theory and Practice of Investment Management: Asset Allocation, Valuation, Portfolio Construction, and Strategies 
• Robust Portfolio Optimization and Management 
• Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk 
• Strategic Asset Allocation 
• Performance Evaluation and Attribution of Security Portfolios

Derivatives and Financial Engineering

• Options, Futures and Other Derivatives
• Handbook of Computational Finance (e-book)
• Principles of Financial Engineering
• Statistics and Data Analysis for Financial Engineering (e-book)
• Inside the Black Box: The Simple Truth about Quantitative Trading

Financial News Resources

• Wall Street Journal
• Financial Times
• Seeking Alpha

Macroeconomy and Finance

• Econbrowser - James Hamilton & Menzie Chinn
• Conscience of a Liberal - Paul Krugman
• Calculated Risk - Bill McBride
• Wonkblog - Ezra Kline
• Marginal Revolution - Tyler Cowen
• Economist's View - Mark Thoma

Quantitative Finance and Investing

• Emanuel Derman Blog
• Financial Times Alphaville
• Between the Hedges
• Market Folly