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3
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85 views

Bridgewater's Daily Observations

Bridgewater Associates send out Daily Observations to their clients, but I haven't found many traces of these publications online. The series started some 40 years ago by Ray Dalio, and there're just ...
3
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0answers
40 views

Reference Request: Horse Race for Portfolio Allocation

Probably the most popular horse race study for portfolio strategies is Optimal versus Naive Diversification: How Inefficient Is the 1/N Portfolio Strategy?, with DeMiguel, L. Garlappi and R. ...
3
votes
2answers
78 views

Does heteroskedasticity of returns depend on the time frame?

Similarly to my last question, for which I obtained very interesting and useful answers, I would like to know if there has been any study regarding heteroskedasticity and time-frames of the returns. ...
2
votes
2answers
66 views

When to adjust portfolio weights?

In portfolio allocation literature there is lot of effort made in obtaining 'better' portfolio weights, for example via improving parameter estimates, introducing Bayesian approaches, incorporating ...
5
votes
3answers
171 views

Can Gaussianity of returns depend on the time frame?

I would be interested in knowing if the fact that returns are Gaussian is disproved on all time frames, or if, for example, the 5 minute intra-day time frame could exhibits Gaussian returns assuming ...
1
vote
1answer
43 views

Combining modern portfolio theory and Kelly betting?

I'm using modern portfolio theory to compute the frontier of efficient portfolios. I'd like to pick the best one in the spirit of Kelly betting, ie. maximising expected growth. I'm looking for a ...
1
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0answers
25 views

Hypothesis Testing for Portfolio Weights

Investigating international diversification is an ongoing topic in portfolio allocation literature. Britten-Jones and Kempf-Memmel , for example, use derived properties of the distribution of ...
5
votes
1answer
124 views

Why Lie groups, differential geometry and string theory relate to MF?

I'm reading Peter Carr's "A Practitioner’s Guide to Mathematical Finance". When talking about the math used in mathematical finance, he mentions Lie groups, differential geometry, string theory. Can ...
1
vote
1answer
59 views

References for PD / LGD estimates of low-default portfolios

Any recommendations or reading sources for estimating individual PDs and LGDs for a set of low-default assets (souvereigns, investment grade corporates)? Since observing no defaults at all, regular ...
0
votes
1answer
61 views

Looking for paper: “Simulation and calibration of the HJM model” by Andersen

I've Googled for the paper and found this site but it's down (at the moment). Note, this is not a quest for a free copy (or we wouldn't allow it :), the paper is also nowhere to find for a fee. A guy ...
1
vote
1answer
45 views

Differences between editions of Security Analysis by Graham and Dodd?

Where can I find a comparison of the contents, a list of everything that changed or the differences among the different editions of the book Security Analysis by ...
3
votes
1answer
187 views

US options market/microstruture research

Can someone point out where to find up to date market/microstruture research in the options market?
3
votes
2answers
225 views

Book recommendation: math toolkit for quantitative finance and statistics

I am looking for a book which teaches mathematical topics which are relevant to master quantitative finance and statistics. Please note, I do not mean a book which would explain how math is applied ...
0
votes
1answer
167 views

How important is the limit order book?

I'm trying to understand how important the limit order today for NYSE, NASDAQ, Euronext and LSE. For example, when we talk about the volume traded during the day, what share of that volume has been ...
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vote
0answers
32 views

Please recommend a book regarding Monte Carlo simulation in OAS

I couldn't find a book that explains in details how to use Monte Carlo Simulation to generate a number of interest rate scenarios. And then based on the interest rate scenarios, how to calculate the ...
1
vote
2answers
103 views

swaption model for forward swap rate

I have another question about interest rates. In this case it is about swaption and how to come up with a pricing formula. For the rest of my question I use the notation from Brigo. The payoff of a ...
2
votes
2answers
100 views

Using Financial Ratios to get credit rating or PD

Hello I'm looking for papers, aside from ones that use CDS spreads, about credit rating development or estimating default probability based on financial ratios that also include methodology and maybe ...
0
votes
1answer
314 views

Principal Component Analysis and Yield Curves

I've been tasked with researching trading strategies relating PCA to trading fixed income futures instruments. Apparently PCA is frequently used in this area. I'm just looking for some references for ...
3
votes
1answer
135 views

Black-Litterman example

I'm trying to learn Black-Litterman. I feel like I get the overall idea from books like Risk and Asset Allocation by Meucci as well as some of the early papers which develop the model. What I would ...
4
votes
4answers
236 views

Credit Rating or Probability of Default from Financial Ratios

Does anyone know of any papers about credit rating development or probability of default estimation done based on financial ratios that also include methodology and maybe good/bad criteria? Something ...
2
votes
2answers
126 views

VIX-implied Volatility calculator

Does anybody know any implied volatility calculator for VIX Options, possibily in Matlab? For Vanilla Options, I'm currently employing this function which is very fast and reliable (much more than ...
2
votes
1answer
93 views

Book recommendation on robust optimization

I have a bachelors degree in economics and I took undergrad courses on mathematical optimization methods for economics and dynamic optimization in economics and econometrics. Now I'm taking an ...
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votes
4answers
278 views

What are the canonical books for statistics applied to finance?

I have some decent knowledge of probability, stochastic processes and option theory, however I do not have a proper background in statistics. Now I am working quite a lot with data, and trying ...
2
votes
2answers
193 views

What is a canonical book or article to learn pair trading?

Can someone suggest a resource with a clean cut explanation of pair trading?
2
votes
1answer
68 views

An Alphabet Effect?

While I prepared some quick and lazy charts picking just the first 10 symbols out of the SP500 for this other question I observed, that the first 10 symbols (figure 1) actually outperformed the larger ...
1
vote
4answers
106 views

Black scholes text book

I am looking for an easy and well presented introduction to Black-Scholes theory and stochastic calculus aimed at undergraduate mathematics students. Please can you recommend a book? How about Paul ...
1
vote
3answers
156 views

(Beginer on bond market) References on callable bond's pricing

I am searching for references on pricing callable bonds. I've not find any rigorous mathematical approach on the web. All I found was some soft approaches in a discrete framework. Edit: First of ...
1
vote
2answers
124 views

Importance sampling for barrier option like pricing by Monte carlo

I would like to know some references regarding importance sampling algorithms for variance reduction of Monte Carlo barrier options pricing. Please could someone help me leaving some references? If ...
1
vote
1answer
78 views

Proof oriented introductory text?

I'm currently taking this Coursera course on financial engineering, which is fine but it's very focused on applications instead of proofs. They recommend Investment Science as a companion text, but ...
0
votes
1answer
116 views

What are the canonical references on wholesale credit risk management?

I am trying to read up on "Wholesale credit risk ", but I can't find any useful references. Why is the emphasis on wholesale?
2
votes
1answer
207 views

What is some prerequisite book that can help me to read “mathematical methods for financial markets”

What is some prerequisite book in mathematics or finance that can help me to read "mathematical methods for financial markets"? I found a lot of difficulties when try to start to read the PDF of this ...
0
votes
2answers
104 views

What would be a concise method to learn Monte Carlo methods?

Is there a concise way of learning the core Monte Carlo Methods from resources available online? This leads to my next question which is what are the core ideas to learn in Monte Carlo methods?
8
votes
3answers
405 views

Starting mathematics reading for quants

What book should I start with in order to learn about the mathematics behind financial (derivatives I think!) trading that would be used in HF's & IB's (Not sure whether there would be a ...
2
votes
1answer
107 views

Concise way of learning Bond & IR models

What is the most concise way to learn about bond and interest rate models from the book Mathematical Models of Financial Derivatives by Yue-Kuen Kwok? I have studied Oksendals Stochastic Differential ...
1
vote
1answer
133 views

reference question about portfolio optimization

I know the "classical" modern portfolio theory. However I have quite a lot of different sources. It seems that there is not a book which cover this topic in a rigorous way: theory application ...
8
votes
2answers
4k views

Worked examples of applying Ito's lemma

In most textbooks Ito's lemma is derived (on different levels of technicality depending on the intended audience) and then only the classic examples of Geometric Brownian motion and the Black-Scholes ...
0
votes
0answers
212 views

Why use the E-curve as an interest rate benchmark?

EDSF or Eurodollar synthetic forward curve is used as an interest rate benchmark. Why? When should I use the EDSF "E-curve"? Any references would be extremely helpful.
1
vote
1answer
207 views

Non-linear Dynamical Systems and Quantitave Finance

The vast majority of what I have read about quantitave finance is to do with option pricing and time series analysis for forecasting. However the economy as a whole behaves as a dynamic system with ...
5
votes
1answer
266 views

Quant teams predicting the World Cup

It is a good tradition of the quant teams of the major banks to predict the World Cup. As an example see this new paper from Goldman Sachs: The World Cup and Economics 2014 (Brazil will win by the ...
3
votes
1answer
188 views

PDE pricing of barrier options in BS

Path-dependent options in BS framework is intuitive to price with monte-carlo under risk-neutral measure, however it appears that several kinds can be priced with PDEs. I understand how does the story ...
2
votes
0answers
143 views

Reference for Algorithmic Trading [closed]

I have recently started to look up algorithmic trading but I am finding it hard to find references related to this field.I am math major with a sound knowledge in Statistics, various programming ...
3
votes
2answers
219 views

Lookback option explicit formula using Black Scholes

I would like to compute the time-0-price for a lookback option using Black Scholes formula, the explicit formula is given by ...
3
votes
1answer
304 views

a good book on option pricing from theoretical and practical aspect

This is the situation someone I know is in: She has good understandings of stochastic calculus and the very basics about black-scholes and binomial model, but nothing more. Her background is in ...
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votes
2answers
1k views

Topological methods in finance

Recently a promising start-up (Ayasdi) has made headlines. They are a spin-off of the Applied and Computational Algebraic Topology group of Stanford University (ComTop). What they basically do is ...
3
votes
1answer
284 views

Overview of software companies in the industry

I am looking for overview references on software companies that develop applications in the following domains: asset and portfolio management risk management derivatives pricing trading quant ...
6
votes
3answers
285 views

What is the canonical reference for Minimum Variance Portfolio's uniqueness?

I am writing a white paper in which I am trying to compare a strategy to different well-known - and classic - asset allocation optimization approaches. One of the methods I chose is the minimum ...
3
votes
2answers
350 views

Where can I find exercises on building a project finance spreadsheet?

I'm looking for a set of exercises that teach how to build a project finance spreadsheet. I accept there may be no typical project finance, but there are a lot of principles are shared in common ...
8
votes
1answer
445 views

Connections between random walk and heat equation (Material for ~)

I am preparing an undergraduate lecture in quantitative finance and I am looking for material that combines the topics: random walk and heat equation The material should be accessible ...
0
votes
0answers
106 views

Textbook / Reports on Alphanomics

Look at ACCT 340 @ http://www.gsb.stanford.edu/research/courses/acctg.html I've read some of the research papers written by the Professor, and the material is very interesting. However, I'm looking ...
4
votes
1answer
399 views

What is the relative performance of hard-to-borrow securities?

Is there any research on the equity return performance of hard-to-borrow securities? Many shops will simply screen for hard-to-borrow and eliminate these names from their short book. Anecdotally, ...