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Like the title says.

Does anyone know of any compilations or have any old papers they'd like to share? So far, I've only found a few sporadic pieces that are easily Googled for.

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  • $\begingroup$ what kind of products (equities, fixed income, derivatives, etc.) are you looking at? $\endgroup$
    – AK88
    Commented Apr 3, 2018 at 2:49
  • $\begingroup$ I'm mostly interested in the Fixed Income Quant Research (Tuckman et al) but I figured that the community as a whole would be interested in the whole scope of quant research $\endgroup$
    – Kch
    Commented Apr 3, 2018 at 3:12
  • $\begingroup$ I'm actually looking for the same thing. $\endgroup$
    – VanillaCall
    Commented Jun 17, 2018 at 16:14
  • $\begingroup$ I liked their notes on interest rate curces (par, zero, forward) very much and I always recommend them to colleagues new to the field. $\endgroup$
    – Richi Wa
    Commented Jul 2, 2018 at 7:01

1 Answer 1

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This is NOT a reply. I am just trying to figure out the papers that OP is looking for.

Kch, as per Tuckman's CV, at Lehman he produced the following papers:

  • “Flash: Tri-Party Repo Infrastructure Reform,” CFS, February 2011.
  • “Update: the Clearing Mandate in Dodd-Frank, Systemic Risk, and Competition,” CFS, June 2011.
  • “Amending Safe Harbors to Reduce Systemic Risk in OTC Derivatives Markets,” CFS, April 2010.
  • “Systemic Risk and the Tri-Party Repo Clearing Banks,” CFS, February
  • “Consistent Pricing of FX Forwards, Cross-Currency Basis Swaps, and Interest Rate Swaps in Several Currencies,” w/ J.B. Homé, December, 2003. Internal Circulation Only.
  • “Macro-Awareness in Relative Value Trading,” October, 2003.
  • “The FEDISCOPE,” w/ D. Calistru, September, 2003.
  • “Interest Rate Parity, Basis Swaps, and Cross-Currency Basis Swaps,” w/ P. Porfirio, June, 2003.
  • “Revisiting the Rate-Dependence of Volatility,” w/ G. Marone, February, 2003.
  • “Measures of Asset Swap Spreads and their Corresponding Trades,” January, 2003.

Could you upload the ones that you have and maybe other members will upload what they have?

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