Questions tagged [reference-request]

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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) ...
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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 $\...
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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 ...
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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 (...
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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 $\...
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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?
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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 ...
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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
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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
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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 ...
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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
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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 ...
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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? ...
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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 ...
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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 ...
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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
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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 ...
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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 ...
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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 ...
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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
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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 ...
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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.
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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}} \...
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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 ...
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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
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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 ...
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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
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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
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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
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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
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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, ...
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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 ...
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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
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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 ...
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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.
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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. ...
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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 ...
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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 ...
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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
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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
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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
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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
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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
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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
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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).
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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
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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
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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
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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? ...
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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 ...