7
$\begingroup$

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.

$\endgroup$
  • $\begingroup$ what kind of products (equities, fixed income, derivatives, etc.) are you looking at? $\endgroup$ – AK88 Apr 3 '18 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 Apr 3 '18 at 3:12
  • $\begingroup$ I'm actually looking for the same thing. $\endgroup$ – VanillaCall Jun 17 '18 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. $\endgroup$ – Richard Jul 2 '18 at 7:01
1
$\begingroup$

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?

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.