Linked Questions

1 vote
1 answer

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 ...
StructuredQuant's user avatar
0 votes
0 answers

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 ...
Stany's user avatar
  • 1
2 votes
0 answers

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 ...
Letícia Fagundes's user avatar
0 votes
0 answers

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 (, that it is now common to see SSVI-based VaR calculation models ...
Mrcmrc546's user avatar
5 votes
0 answers

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 ...
Frido's user avatar
  • 1,644
2 votes
0 answers

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?
Daneel Olivaw's user avatar
0 votes
0 answers

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?
Lorenzo Viola's user avatar
1 vote
0 answers

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, ...
phdstudent's user avatar
  • 7,837
1 vote
0 answers

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-...
Nap D. Lover's user avatar
0 votes
0 answers

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 ...
volquant's user avatar