Linked Questions
10 questions linked to/from Online sources for quantitative finance research
1
vote
1
answer
87
views
SOFR Transition for Future Flow Transactions [duplicate]
I’m looking for some papers/articles for the transition from LIBOR to SOFR for future flow transactions/securitizations (such as Diversified Payment Rights).
Would be happy if you could share some as ...
0
votes
0
answers
62
views
Academic literature on quantitative trading [duplicate]
I’m looking for an academic paper (a survey) on quantitative (algorithmic) trading. Not for a list of resources, a survey on popular strategies,history and so on.
Those that I came across are heavily ...
- 1
2
votes
0
answers
42
views
Applications of a certain type of stochastic processes in quantitative finance [duplicate]
A compound Poisson random vector $Y$ is well defined in this site in wikipidia.
Nothing prevents me from compound strictly stationary stochastic processes instead of compound random vectors. The ...
0
votes
0
answers
35
views
Surface SVI and value-at-risk computation [duplicate]
Currently interested in some Value-at-risk calculation methods, I understood in a video by Claude Martini (https://youtu.be/_OZvk-G92EQ), that it is now common to see SSVI-based VaR calculation models ...
5
votes
0
answers
169
views
Most relevant papers on IR / discount rate(s) modelling in the last 5 years
As the question states, what are some relevant recent papers I, as a non-expert, should read on IR modelling, products, and mechanics (that do not involve AI/ML)?
I think my knowledge on this topic ...
- 1,644
2
votes
0
answers
114
views
First known reference using martingale theory to derive BS formula
What is the first known paper which derives the Black-Scholes valuation formula for an option (1973) using martingale machinery - instead of PDEs?
- 7,865
0
votes
0
answers
56
views
Relationship equity and bond shocks of same issuer
I'm running some stress tests and I have data on equity shocks available. Is there a relationship which, for the same issuer, links the returns of the shares with those of the bonds issued?
1
vote
0
answers
52
views
Value: High-minus-low factor fama french - transaction costs
Anyone know any references on how to estimate transaction costs for a give trading strategy?
In more specific terms, if I want to estimate the returns on an HML value strategy as in Fama-French 1993, ...
- 7,837
1
vote
0
answers
48
views
References for path-dependent GBMs or continuous time analog of discrete time filters
Consider a path-dependent GBM model for a stock price:
$$dS_t = \mu(t, S_.)S_tdt + \sigma(t, S_.) S_t dB_t,$$
where $\mu, \sigma : [0,\infty)\times C_{[0,\infty)}\to \mathbb{R}$ are previsible path-...
- 225
0
votes
0
answers
30
views
Reference Request Adjusting implied/historical volatility for earnings
Wanted a reference request for any source has discussed how to clean/adjust historical volatility/ historical implied volatility time series for Earnings. The RV/IV time series data have a lot of ...
- 1