Linked Questions
8 questions linked to/from Online sources for quantitative finance research
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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 ...
2
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0
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43
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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 ...
5
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193
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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 ...
- 2,153
2
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0
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118
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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?
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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, ...
- 8,561
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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?
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50
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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-...
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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 ...
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