Questions tagged [papers]

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Entry points to finance for Applied Mathematics (Numerical Analysis/High Performance Scientific Computing) PhD Student [duplicate]

I'm looking to go into quantitative finance after my phd in around 2 years. With a background in pdes/numerics/heterogenous and distributed computing, I think my skill set is applicable in this area, ...
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0answers
46 views

What are your favourite papers about European/American options?

I'm looking for some papers to support some options lessons for non-quant people (mostly traders) and I'd like to know what papers would you recomend that don't have a very strong focus on the ...
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2answers
1k views

Is there anywhere I can read the paper, “The Gamma-Vanna-Volga Cost Framework for Constructing Implied Volatility Curves”

Hello there was a paper published by: M. Arslan, G. Eid, J. El Khoury and J. Roth titled "The Gamma-Vanna-Volga Cost Framework for Constructing Implied Volatility Curves" (2009). I believe they ...
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0answers
57 views

Where do some numbers in finance papers which seem to appear out of nowhere come from?

On p. 1671 in the paper Kempf/Manconi/Spalt (2017, RfS), Distracted shareholders and corporate actions it says (I think it is in the context of a log regression): Those effects are economically ...
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0answers
52 views

Searching for two papers of H.Leland with regards to capital structure

I am searching for two papers of H. Leland which I assume previously were online, as many published papers have cited them. The first work (Lecture notes) extends the Leland(1994a) model by ...
11
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3answers
7k views

What mathematical theory is required for high frequency trading?

I am an applied math postdoc and I have been presented with the option of leaving academia to work in high frequency trading. I wanted to get a feel for the field and the theory underlying it so I ...
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0answers
67 views

Any papers on use of convolution neural network for predicting price and hedagability when market making

My idea: CNN takes following input ...
2
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4answers
314 views

What are the benefits of publishing papers in mathematical finance/trading?

What are the benefits of publishing papers in mathematical finance and trading. Let us assume that the primary goal of a person/entity is to make money and reduce losses. Wouldn't publishing ...
3
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1answer
476 views

DB quant research

I'm trying to find DB quant research papers in "Signal Processing" series - particularly interested in "Signal Processing: The options issue" (2010). Would appreciate if anyone could share it.
2
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1answer
259 views

In the “betting against beta” paper, what exactly is the “BAB factor”?

I refer here to the paper "Betting against beta" by Pedersen and Frazini. In the model, they construct the following factor, on page 5. I don't quite understand how this portfolio is being ...
7
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1answer
297 views

Is there a compilation of old Lehman research out there?

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.
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2answers
4k views

What are the quantitative finance papers that we should all have in our shelves?

Which quantitative finance papers should we all know about? What are the seminal references in various quantitative finance areas such as empirical asset pricing and theoretical asset pricing?