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2answers
134 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?
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1answer
60 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?
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0answers
162 views

Use of Local Times in Option Pricing

I know two applications of local time in option pricing theory. First, it allows a derivation of Dupire's formula on local volatility in a neat way (i.e. without resorting to differential operator ...
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0answers
24 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 ...
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0answers
129 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.
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0answers
20 views

A model of macroeconomic phase

I have been pointed towards econometric models of the state, or phase, of the general economy. What I mean more specifically is that we can think of the economy as being ruled by a few models or data ...
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0answers
105 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 ...