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2answers
51 views

What is the data quality of ask (offer) versus bid quotes in FX markets?

I'm working with high frequency FX data. Because the FX market is a decentralized market, different traders often have slightly different prices at the same moment. I can see how this would ...
3
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1answer
229 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 ...
2
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1answer
56 views

Online courses or C++ books combined with Finance (alternatives to Duffy and Joshi)

I am trying to find a book for our study group that teaches the bare minimum C++ needed for financial applications. I am trying to teach it in a project based manner. In case, I don't settle on one ...
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1answer
14 views

Reference for option pricing, binomial multi-period model using martingales and conditional expectations

The title basically says it all. I am looking for a reference text on the pricing of options in a binomial multi-period model. It should be mathemathically rigorous using martingales and conditional ...
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0answers
75 views

recent developments in American options?

I have read the paper written by Egloff (2005) using machine learning techniques to solve the optimal stopping problem. Is there any development in pricing American options during 2005-2016? (based ...
5
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0answers
897 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 ...
5
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0answers
179 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
62 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. ...
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0answers
25 views

Embedding the naive portfolio into economic decision theory

I am trying to gain some insights about the vast literature of portfolio optimization and I hope to get some help when it comes to embed the most standard allocation strategies into a coherent ...
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0answers
36 views

References about market neutral portfolios that isolate unsystematic risk

I am looking for references, information, backtests etc. about market neutral portfolios that go long the index and short stocks of that index with high unsystematic (idiosyncratic) risk. The idea is ...
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0answers
55 views

Financial theory

Ok guys, I'm studying from Danthine and Donaldson - Intermediate Financial Theory. The book itself doesn't have a lot of worked examples, and I'm lacking the basics for understanding some concepts ...
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0answers
38 views

Texts on the Generalized Method of Moments

I was looking for a book that could explain me well the Generalized Method of Moments, its mathematical nuances, and even have a look to the empirical side, maybe with some guided exercises with Stata ...
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0answers
37 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 ...
1
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0answers
48 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
17 views

Reference Request: Portfolio Optimization Conditional on downside threshold

Under a standard portfolio optimization framework we have some idea of a predictive return distribution $r_{t+1}$ and a Utility function $U(r)$, in the best case in a 'nice' form (differentiable ...
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0answers
33 views

Most recent work on American option **ANALYTIC** pricing

I am studying American options and inquisitive on why they lack an analytic pricing formula. I found a paper by Kim,1990 on analytic valuation of these options and then Byun,2005 paper which studies ...
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0answers
65 views

How big is the options market?

I am looking to write an intro to a document describing option pricing. Therefore it would be lovely to motivate it by how large the market is, but I cannot find any good reference. Where can I find ...
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0answers
74 views

Discrete Hedging of Options

Assume that a stock $S_t$ follows simple geometric Brownian motion. Let's say we sold option whose payoff is $f(S_T)$. Now, we are only allowed to trade 2 times in the interval [0,T]. What kind of ...
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0answers
107 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 ...