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Interest rate models history

I am familiar with some interest rate models, such as the Vasicek, CIR. I also have an understanding of the basic formalization of other models such as Ho-Lee, Hull-White, HJM, Libor market model (LMM)...
KiNest's user avatar
  • 21
2 votes
0 answers
222 views

How did Bachelier characterize the Brownian motion?

The model for a stock price $$ dS_t=\mu dt + \sigma dB_t $$ where $B_t$ is a Brownian motion on $(\Omega, \mathcal{F},P)$, is commonly attributed to the work that Bachelier has carried out in his PhD ...
Mr Frog's user avatar
  • 253
0 votes
1 answer
62 views

Where does the term "volume" come from?

Is there any significant reason why "volume" is the name given to the total turnover of trades? What's the etymology?
Dylan Kerler's user avatar
1 vote
1 answer
867 views

What is the origin of the names of the Greeks?

I am not sure if this is the right place to ask or if I should head over to HSM (where they may object, too), anyhow: What is the origin of the names of the Greeks? Who introduced those weird names, ...
Federico Poloni's user avatar
0 votes
1 answer
77 views

What happened to direct access "electronic day trading" after 1998-2002?

I was looking through book catalogues and databases when I noticed something: most books about direct access "electronic day trading" for retail traders were published between 1998-2002, ...
Flux's user avatar
  • 531
1 vote
0 answers
36 views

When did the first exchange-traded warrants appear?

Exchange-traded options appeared after the Chicago Board Options Exchange (CBOE) opened in 1973. But what about exchange-traded stock warrants? From what I have surmised from reading, exchange-traded ...
Flux's user avatar
  • 531
2 votes
1 answer
348 views

Which of Terry Tao's co-authors on compressed sensing consulted for Renaissance Technologies?

On Feb 11 2018 on Quora, Vladimir Novakovski commented Terry is Tier One in the RenTec world. His coauthor on compressed sensing did some consulting for them, actually. Who's this co-author?
user avatar
1 vote
1 answer
819 views

Textbooks on algorithmic trading

What are good sources and textbooks covering the theory and models behind algorithmic trading and strategies?
develarist's user avatar
  • 3,000
1 vote
0 answers
99 views

Who came up with 3/2 SV model

Sorry, not a very quantitative question, but does anybody know who was the first person to write down and publish the 3/2 stochastic volatility model? I need this for a reference/bibliography.
user avatar
0 votes
1 answer
77 views

World Stock Markets that went up in 2008

We all know that the US stock market(s) collapsed in price in 2008, see https://en.wikipedia.org/wiki/United_States_bear_market_of_2007%E2%80%9309. I was wondering what countries' stock markets went ...
Trajan's user avatar
  • 2,512
0 votes
1 answer
630 views

DAX historical data H1 interval [duplicate]

I need pure DAX historical data on H1 interval (open, high, low, close). I can download data e.g from Dukascopy but this is DEU index (CFD for DAX) not DAX. Where I can find good data (not CFD for ...
Mateusz Zaborski's user avatar
7 votes
1 answer
3k views

James Simons (Renaissance Technologies Corp.) and his model [closed]

I think some of you know the famous billionaire mathematician James Simons. Somewhat as Warren Buffet, this guy cracked the Wall Street with a mathematical model (essentially most statistic and a bit ...
Sandra Ross's user avatar
-2 votes
1 answer
191 views

Finding historical data monthly data [duplicate]

Where can I find historical data for WTI Price, gold price, CRB index for my research work? Is there any website from where I can download these data?
Venkatraman's user avatar
5 votes
3 answers
619 views

Determining optimal trading signals (buy/sell) from past data

Let's say we have a stock which our only actions are buy, sell and hold (with or without shorting). If we have sufficient past data of the stock, how can you determine the optimal trading action ...
Pedro Tabacof's user avatar
18 votes
9 answers
9k views

Why are options called what they are called?

This may be a very obvious question, but can someone tell me where and when the names call and put originated? And similarly, where do the terms American and European option come from? Aside from the ...
pbr142's user avatar
  • 2,390
2 votes
0 answers
54 views

How to make a historical index of a group of materials in which the set of materials changes every month?

The question may sound simple however for the moment it is a brainteaser to get it right, let me explain: the exercise is to be done on +/- 200 groups of materials (matgroups) one matgroup can ...
Kurt Rosseel's user avatar
-4 votes
1 answer
924 views

Why do we need derivatives? [closed]

I read somewhere that derivatives are the biggest weapons of financial destruction. Why do we need derivatives? If exploiting risk-proneness of people to make profit is the goal, why don't we stop ...
Bravo's user avatar
  • 671
5 votes
1 answer
432 views

Inferring highest bid and lowest ask from forex trade data

I have historical trade data for every trade on a forex exchange, whcih includes the following data: Time the trade was made Amount, in currency A Price, in currency B I have also used this to ...
Matt Bell's user avatar
  • 383
6 votes
1 answer
2k views

What is the origin of the words "put" and "call" that characterize derivatives?

And, in a second round, what is the origin of the "long" and "short" in characterizing the respective positions in assets? Any pointers to etymology, first occurrences, or related literature would be ...
Dimitris's user avatar
  • 816
6 votes
1 answer
776 views

FX option history

I am testing my model and I am interested in options prices on EUR|USD for Jan, 2011. The history can be even daily - but I have never had a deal with fx options, so I don't know where start to look ...
SBF's user avatar
  • 2,623
9 votes
4 answers
3k views

Free/cheap source of structured historical quarterly filings?

What is a good place to acquire cheap/free historical quarterly filings data for US Companies? Specifically, I'm interested in the consolidated financial statements. The data should be well-structured ...
evanrsparks's user avatar
28 votes
4 answers
2k views

Who has introduced the term 'vega' and why?

The sensitivity of the option value $V$ to volatility $\sigma$ (a.k.a. vega) is different from the other greeks. It is a derivative with respect to a parameter and not a variable. To quote from Paul ...
olaker's user avatar
  • 5,080
49 votes
9 answers
9k views

Option pricing before Black-Scholes

According to the Wikipedia article, Contracts similar to options are believed to have been used since ancient times. In London, puts and "refusals" (calls) first became well-known trading ...
olaker's user avatar
  • 5,080