Questions tagged [reference-request]
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165
questions
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votes
1answer
50 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
33 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
142 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
41 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
99 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
262 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
103 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 ...
0
votes
0answers
68 views
What are the go-to textbooks for advanced quant finance topics? [duplicate]
Credit risk,
interest rate modelling,
volatility modelling.
What are the go-to books for each of these 3 topics in quant finance? The target audience should be someone who understands the basics of ...
1
vote
0answers
58 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
152 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
92 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
451 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
371 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
99 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
106 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
93 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
162 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?
2
votes
1answer
246 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
83 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
135 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 ...
3
votes
0answers
47 views
Headquarter Relocation and Stock Return - Influence of Universities
Scott Galloway states in chapter 8, The T Algorithm, in his book The Four: The Hidden DNA of Amazon, Apple, Facebook, and Google, that a successful strategy to become a "trillion dollar company" must ...
4
votes
2answers
129 views
Origin of the term Modern Portfolio Theory
In his times, Markowitz did not claim his ideas were "modern".
Not even the expression "Portfolio Theory" is ever used in his seminal paper and subsequent book, while he speaks instead of "Theory of ...
1
vote
0answers
68 views
LIBOR Market Model (LMM) - references
Could you advice me where I can find the best mathematical description of LIBOR Market Model theory (except the references from the Link). Is there any book/article/pdf file/web page/notes which you ...
2
votes
1answer
93 views
References for Monte Carlo in insurance
As the title suggests, I'm looking for reference works on Monte Carlo methods in insurance.
Wikipedia tells me that the terminus technicus here is dynamic financial analysis. I'm about to start a ...
1
vote
0answers
21 views
Reference request: Terminal wealth distribution including deterministic contribution
I'm looking into some classical utility maximization problems. In particular, I'm interested in looking at the wealth evolution where you invest your money across $n$ assets and each time period you ...
1
vote
1answer
215 views
Is options max pain a useful predictor?
Have there been any academic or industry papers on options max pain? There seems to be a widespread belief (among retail traders) that the underlying price 'gravitates' toward the strike at which the ...
2
votes
1answer
84 views
Adding a new strategy to an existing portfolio
I wanted some help in looking for suitable articles/literature. Suppose an investor has a bunch (bouquet?) of quantitative strategies already generating trading signals for him. If he comes up with a ...
2
votes
1answer
110 views
Convertible Bond Pricer papers
I'm looking to build a convertible bond pricer. Where should I get started? Which papers/books should I look at?
1
vote
0answers
54 views
Probability distributions as solutions to differential equations
As far as what I can tell, the popularity of the Black-Scholes-Merton model partly stems from the fact that it formulates the value of a derivative in a differential form in which the solution has a ...
5
votes
2answers
166 views
Literature recommendation on extreme asset price movements
I'm looking for good papers and books covering extreme stock price movements and mathematical theories of stock market crashs.
7
votes
1answer
281 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.
2
votes
0answers
62 views
What topics come after continuous finance a la Bjork?
Ok so I've understood stochastic calculus and continuous finance. Basically, all of Bjork's "Arbitrage Theory in Continuous Time".
What books/topics come next? I was thinking of taking a more ...
4
votes
0answers
119 views
Reference Request: Control Theory Prerequisites for Quantitative Finance
Right now, even though I have a mathematical background, I did not take up control theory in college. I'm looking for an introductory text on (stochastic?) control theory as applicable to quantitative ...
3
votes
1answer
141 views
Rate of convergence between price and value
In my experience, there are two primary methods of alpha generation. In both cases, assume we know what price is.
Method 1: Inference on what the price/payoff will be.
Method 2: Inference on what ...
3
votes
1answer
154 views
How to estimate a copula for time series
I want to estimate a copula for the innovations of two dependent time series (A and B). I have found no reference with a step by step on how to do this. I have only found summarized papers from which ...
6
votes
2answers
3k views
Local vol, stochastic vol, implied vol
I've been studying volatility modelling over past the few days; in particular, the connections between local vol, stochastic vol, implied vol. I've been reading Gatheral's book "The volatility surface"...
0
votes
1answer
153 views
Momentum Analysis on Indices
I'm interested in analysis of day-on-day momentum of certain large indices. In particular, I'm interested in the predictive power of the sign of the price change of the first hour of trading with ...
2
votes
2answers
324 views
Reference request: hedge fund strategies
I am looking for a survey book on general hedge fund strategies, preferably on the quantitaitive side. An ideal book would survey common hedge fund strategies (e.g. fixed income arb, volatility arb) ...
5
votes
2answers
735 views
What is model-free finance?
I have run across the term "model-free finance" (e.g. there was a Thalesian talk in London recently), yet haven't found any real definition of it nor anything really substantial.
Could you point me ...
10
votes
2answers
459 views
Something fundamentally different about cryptocurrencies?
You read a lot about cryptocurrencies these days, especially bitcoin.
My question: Do you see something fundamentally different about them compared to other asset classes, i.e. other currencies, from ...
1
vote
1answer
159 views
What are good risk management books or docs? [duplicate]
I have an unusual request/question. I was wondering if anyone here could recommend me some books about risk management and equity derivatives.
I am about to do an internship as a risk analyst on an ...
0
votes
1answer
305 views
Private Equity: Direct Alpha vs Excess IRR
I'm trying to understand the advantages and disadvantages of using Direct Alpha versus Excess IRR for computing excess returns over a market index for private assets.
Wikipedia references a highly ...
1
vote
1answer
195 views
Explaining mathematically why to use the ATM vol [closed]
In this question, I got an answer that is much explaining in words what could be explained mathematically. The user who answered referenced the book "The Volatility Surface, by Jim Gatheral's".
But ...
16
votes
2answers
507 views
Does the rise in passive investing make the markets less efficient?
The general idea of efficiency in financial markets is that information is being processed almost instantaneously because active investors arbitrage away any arising price discrepancies.
On the other ...
2
votes
2answers
315 views
What are some classical papers to read for a mathematician looking to get into quant finance?
While searching around for some market making-related stuff I bumped into this paper https://arxiv.org/abs/1105.3115 and thought that I'll start digging through it and its References, out of lack of ...
2
votes
3answers
145 views
Reference request for arbitrage pricing with martingale theory
I am a mathematician. What's the go-to reference for a proper math-based introduction to martingale theory and arbitrage pricing?
The books I am being referred to deal mostly either with the ...
4
votes
2answers
146 views
What are the quantitative approaches to quantify credit risk for Private Equity and Real Estate?
What are some quantitative approaches to estimating credit risk for investments that aren't publicly traded, such as private equity and direct real estate? I'm particularly interested in estimating ...
1
vote
3answers
439 views
Reference: Vanna, volga, vega approximations
I am looking for a reference on how to approximate implied volatility in a stochastic model vis-a-vis vanna, volga, vega, and other model parameters, in particular the derivation of such equations and ...
6
votes
2answers
297 views
What are the books in which to study the basics of the derivative financial instruments?
Books similar to Options, Futures, and Other Derivatives by John C. Hull. I need another academic book that explains the basics of quantitative finance derivatives (forward, futures, options)
3
votes
1answer
227 views
How do I learn the stochastic calculus of Poisson processes?
I'm looking for references on the stochastic calculus of Poisson processes. My books tend to focus on derivative pricing, where Brownian motion reigns supreme. Maybe some jump-diffusion models thrown ...
