Questions tagged [reference-request]
The reference-request tag has no usage guidance.
196
questions
1
vote
0answers
86 views
Long-Term Energy Price Modelling: Log Returns, Distributions, Time-Weighting
I wish to forecast energy prices in the long-term (ca. 20 years) for energy-efficiency investments. While I understand that the energy carriers are particularly sensitive to external (geo-political) ...
0
votes
1answer
87 views
Mathematical proof that the covariance between two portfolios is $w_A^\top\Sigma w_B$
How to prove in a line-by-line derivation that the covariance between two mean-variance efficient portfolios is equal to
$$w_A^\top\Sigma w_B$$
where $w_i$ is a unique portfolio weight vector, and $\...
-2
votes
1answer
65 views
Efficient frontier portfolio's analytical solution for a given expected return $r$
$$\begin{equation}
\boldsymbol{w}(r) = \frac{r\mathbf\Sigma^{-1} \boldsymbol{\mu}}{\boldsymbol{\mu}^{\top} \mathbf{\Sigma}^{-1}\boldsymbol{\mu}}
\end{equation}
$$
is the closed-form analytical ...
1
vote
1answer
51 views
Alternative low-moment measure of skewness
$$
\widehat{\text {Skew}}_{i, t}=\frac{3 \cdot\left[\hat{\mu}_{i, t}-\operatorname{median}\left(r_{i, d, t}\right)\right]}{\hat{\sigma}_{i, t}}
$$
is called Low Moment Skewness by Baltas and Salinas (...
1
vote
2answers
61 views
Proof of Feller condition for CIR square root process. Any reference?
Could you please give me some reference for the proof of the so-called Feller condition as to a stochastic differential equation of the form:
$$dr_t=a(b-r_t)dt+\sigma\sqrt{r_t}dB_t\tag{1}$$
with $\...
1
vote
2answers
147 views
Good references on PNL explain?
Can anyone share good references for how PNL explain should be calculated and presented for the best use of a derivatives trading desk?
1
vote
0answers
44 views
Concentration of measure phenomena in financial mathematics
Concentration of measure is a small area of statistics and probability theory that proved inequalities regarding the statistical properties of sets of random variables that exclude one of those random ...
1
vote
0answers
40 views
Spectral clustering in finance
What are some examples of applying spectral clustering to financial times series data or other areas of finance? Why spectral clustering was used for each application rather than other types of ...
1
vote
1answer
50 views
Clustering the observations in a price or returns series [closed]
Given one stock, what value would there be in clustering the individual sample observations within that stock's historical prices series, or its return series? is univariate clustering done in finance?...
3
votes
1answer
120 views
Which references would be useful as an introduction to econometrics as it pertains to CONTINUOUS TIME models?
It seems like the problem of trying to estimate model parameters for continuous time models is not commonly covered in standard econometric textbooks, even those focusing on time series. I certainly ...
0
votes
0answers
21 views
Symbol for the feasible set of portfolios in mean-variance analysis?
When we optimize some mean-variance efficient portfolio, it lies on the efficient frontier (blue line) which is considered superior to the feasible set of portfolios. The feasible set (red dots), on ...
1
vote
1answer
45 views
Book/Reference on LEAPs/ Long dated options
Can anyone suggest a book on pricing and trading in LEAPs / Long dated options (maturity atleast 6 months )or a generic book which covers this topic in great detail.
I’m specifically looking at how ...
1
vote
0answers
37 views
Source on multivariate correlated geometric Brownian motion returns, not prices
Can anyone provide a source that formulates how to generate multivariate geometric Brownian motion returns using the Cholesky method with target correlation matrix, instead of correlated GBM prices?
...
1
vote
0answers
87 views
Where could I get a mathematical background on circular arbitrage?
I am particularly interested in the dependence of profit on the path length (the number of intermediate currencies) and graphical models / algorithms. More specifically:
How can we model currency ...
-1
votes
1answer
91 views
What are some of the more Math-oriented professional certificates in Finance? (more math-oriented than CFA) [closed]
What are some of the more Math-oriented professional certificates in Finance? In particular, I'm interested in learning about professional certificates that are more Math/Statistics-oriented than the ...
1
vote
1answer
108 views
Reference request for AI / deep learning for finance
Are there any particular references that are recommended for learning about AI / deep learning and how to apply them to quant finance?
I have written programs that price options, done sentiment ...
3
votes
1answer
196 views
ETF pricing papers
May I request for research paper recommendations, if any, on existing models that study how the presence of ETFs affect equilibrium prices of the underlying assets?
I am exploring a project on a ...
0
votes
0answers
66 views
Any books on systematic investing in credit securitized products (RMBS, CLO)?
I'm looking for books/research papers that would have information on systematic strategies used in the Credit Securitized products space (specifically RMBS, CLO, etc.), if there are any? I've been ...
0
votes
0answers
88 views
How to implement copula portfolio optimization?
This a reference request for any python notebooks, packages or blogs that teach how to do asset allocation using multivariate copulas. How can copula portfolio optimization actually be implemented in ...
0
votes
0answers
23 views
Portfolio models that maximize cumulative returns
Portfolio optimization typically looks at minimizing portfolio volatility, or maximizing the portfolio's Sharpe ratio (risk-adjusted return), but are there any recent, reasonable approaches to ...
0
votes
1answer
91 views
Book/ Articles recommendation for Volatility models
I am looking for references on volatility models. I want to gain more insights on these models but have a little background as of now. Thus, looking for references that can pick the topic from basics ...
6
votes
3answers
282 views
Asset pricing textbooks
What are some asset pricing textbooks that give a solid introduction into the field?
I suggest one textbook per answer with a list of its pros and cons.
0
votes
1answer
70 views
Reference of using $\mu = \frac{1}{T}(\log K - \log S_0)$ in binomial tree model
Notations: Given a binomial tree with $N$ periods and time to maturity $T,$ let $\Delta t = T / N.$
It is well-known that CRR uses the up and down multipliers as
$$u = e^{\sigma\sqrt{\Delta t}} \...
1
vote
1answer
50 views
Canonical text on numerical PDEs in finance
I am looking for a text similar to Glasserman's Monte Carlo Methods in Financial Engineering, but with a focus on numerical methods for PDEs. Glasserman's book seems to cover a lot for what is ...
0
votes
0answers
24 views
Fama Foundations of Finance today
Which could be a recent equivalent of Fama's book Foundations of Finance?
By "equivalent" I mean a book which is rigorous, but without being a book on stochastic calculus; which is focused on stock ...
2
votes
1answer
69 views
Where can one get data concerning ETF holdings and changes in their holdings?
I am trying to write my masters thesis in finance and my topic will be ETF related. I wanted to ask whether it is possible to find data for an empirical analysis for my thesis. I have been searching ...
0
votes
0answers
53 views
Intraday volatility measures in comparison to end of day measurement
I'm experimenting with Parkinson's Number and the Garman-Klass estimator I'm wondering what the appropriate number of days to sample over, is the number over 1-day useful at all, or should one take it ...
4
votes
3answers
408 views
Basics of trading strategy development
I am Computer engineer and I know programming in python, go-lang, C++, I am interested in trading, I know how to make system to get data, send orders, back-test, fault-tolerance system, etc
I have ...
0
votes
1answer
29 views
Reference for “an increase in volatility increases value/price of american options”
I'm looking for a textbook/journal article reference for the well-known result that an increase in volatility increases the value/price of a standard American (call and put) option. In the case of ...
5
votes
2answers
226 views
Forecasting volatility farther ahead with autoregressive machine learning
ARIMA and GARCH are old news for predicting volatility time series of asset returns. I am aware of papers that replace ARIMA and GARCH with machine learning algorithms to predict financial volatility ...
2
votes
2answers
82 views
References for Counterparty Credit Risk, especially derivatives exposure
I fortunately landed an internship in Model Risk Management in one of the largest European Banks and now am looking for good references for Counterparty Credit Risk, especially derivatives exposure, ...
0
votes
1answer
145 views
Fixes of quadratic utility when probability of decreasing utility is large
In finance and specifically portfolio theory, a popular utility function is quadratic utility
$$
u(x)=x-\frac{\lambda}{2}(x-\mu_X)^2
$$
where $x$ is wealth and $\lambda$ is the parameter of risk ...
1
vote
0answers
62 views
HJM Model proofs
I am looking for a source that possibly has the proofs for the material in the first paper on the HJM model Heath, David, et al. “Bond Pricing and the Term Structure of Interest Rates: A New ...
4
votes
1answer
174 views
Portfolio optimization w.r.t. value at risk: introductory or survey references
I am looking for references introducing the problem of portfolio optimization when the target characteristic is value at risk. A textbook treatment would be great. Surveys on the topic are also ...
1
vote
0answers
50 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.
2
votes
2answers
114 views
What's some good literature for Fourier transform methods?
I am looking for literature on Fourier methods in Quantitative Finance.
I've been googling and found the book "Fourier Transform Methods in Finance" (Wiley), but the book seems poorly reviewed.
...
0
votes
2answers
446 views
Strategic asset allocation research
I am currently trying to form an overall asset allocation strategy which combines base strategic allocation and tactical shifts. My model already incorporates the tactical shifts using various factors ...
0
votes
0answers
152 views
Practical Skew Model For Equity Options?
I'm looking for a simple model I can use to calibrate equity implied volatility surface. There are several models published in the literature, and most of them seem far too sophisticated for my ...
1
vote
0answers
60 views
Does Vasicek interest rate model had any derivation that follows from a list of assumptions?
I can't find that anywhere online and It doesn't seems to me that this model originated come from intuition or some human motivation but rather it is coming from computerized curve fitting as all the ...
1
vote
1answer
158 views
Mathematical models for personal finance decisions
I'm doing some bibliographic research on mathematical models for personal finance decisions. I should like to ask whether you know any of them, because the research that I did on Google Scholar haven'...
3
votes
0answers
97 views
Inverse Problems in Finance
Are there any canonical references for inverse problems in finance? For example, if I have a measure that evolves with Fokker-Planck dynamics, are there standard approaches used by the community to ...
6
votes
3answers
484 views
Most significant research articles for practical investors with research perspectives
I am an applied mathematician and recently I have decided to study the portfolio management theory. As a final objective, I want to manage my own portfolio and to try make some money on it using my ...
2
votes
1answer
599 views
Reference books for interest rates modeling?
I'm interviewing for a rates modeling quant role in a sell side bank. The role is centered around pricing and risk management of rates trading carried out by the front office.
I've been told to ...
1
vote
0answers
125 views
Term structure of the ATM implied volatility of short term weekly options
It's an empirical fact that the implied volatility of short term weekly options are significantly higher than options that expire in a few weeks, and the volatility of the near term options get even ...
3
votes
1answer
121 views
Good References for Treasury Futures Spreads
I’m reading the excellent Treasury Bond Basis by Burghardt. I was wondering if there’s a similar quality book/paper about Yield curve spreads using treasury futures (i.e. NOL, NOB, FYT).
4
votes
0answers
95 views
Reference request for research on the maximum drawdown **ratio** (NOT value)
Let's suppose the asset price process follows a Geometric Brownian motion $S_t \sim GBM(\mu, \sigma),\,t\ge 0$, and define the two process:
$$
\begin{align}
\text{MSF}_t &:= \max_{\tau\in[0,t]} S_\...
1
vote
1answer
227 views
Good references on Heston Model?
I am looking for good bibliographic references on Heston Model and Stochastic volatility models in general.
Does anyone know any good introductory/intermediate references on this topic?
4
votes
1answer
458 views
Risk neutral valuation formula
I am totally new to Finance and Arbitrage theory and I have started reading Björk (2018) Arbitrage theory in continuous time. Can anyone please explain to me what is the risk-neutral valuation formula ...
3
votes
0answers
86 views
Expected VIX at different levels of SPX
I'm looking for a model that computes the expected VIX based on SPX price moves. For instance, SPX is currently at around 2650, and VIX is at 24. If SPX jumps to 2600, at what level would the VIX be?
...
1
vote
0answers
203 views
Convertible bonds pricer - implementation
Where I can find numerical implementation (in any programming language) of convertible bonds pricer based on the following article:
E. Ayache, P. A. Forsyth, K. R. Vetzal, "The Valuation of ...
