Questions tagged [reference-request]
The reference-request tag has no usage guidance.
218
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References for Stochastic Control for finance
What are some good references to study Stochastic Control with applications to Finance, like the Merton problem and other variants? Books or review papers?
0
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1
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AFML (by Lopez De Prado) Vs ESL by Trevor Hastie
The books "The Elements of Statistical Learning" by Trevor Hastie, and "Advances in Financial Machine Learning" by Lopez De Prado are highly recommended books for ML. They both ...
1
vote
1
answer
146
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Game theoretic description of stock market
I read the book "Theory of Games and Economic Behavior" by John von Neumann and Oskar Morgenstern. I think that stock market may be described by game theory. But here are the problems:
...
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Is GameStop is a lottery-like stock?
I am finding the evidence or reference saying that GameStop is a lottery-like stock but I could not find that.
What I did find so far is:
Hasso, 2021 documented that
GameStop investors had a history ...
- 277
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0
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Research papers and other resources to learn about useful statistical tools for pairs trading
Brief background: I recently started writing a Python code to find stocks which might be cointegrated. I iterated over a really long list of stocks trying to find a pair which might be cointegrated. ...
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Reference request (Risk Management + Insurance Theory) [duplicate]
I have to study the following topics:
Market and credit risk assessment models
Technical risk assessment models: non-life and life
Models for the valuation of bonds and for the determination of the ...
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2
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42
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What is the source of classify the developed and emerging market worldwide?
I am doing a cross-country research where different countries implement anti-corruption at the different year. I want to examine the impact of the laws in each set of countries (developed and ...
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Reference for path dependent options
I want to study path dependent options for which I am following the book Paul Wilmott on Quantitative finance.But here I dont find the detailed explanations or derivations for the various PDEs .So is ...
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244
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What is Nassim Taleb's Stance on Volatility
Over the years I have read all of Taleb's Incerto. I recall him more or less writing that "stock returns have no second moment". Hence stock volatilities, defined via the standard deviation ...
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What is the relationship between the estimated GARCH(1,1) conditional volatility and the true conditional volatility
Suppose that the data has been generated by a GARCH(1,1) model, i.e.
\begin{align}
y_t &= h_t \epsilon_t, \; \epsilon_t \sim N(0,1) \\
h_t &= \alpha_0 + \alpha_1 \epsilon_{t-1}^2 + \...
- 2,356
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Compound Option Monte Carlo Methods Reference Request
I am interested in valuing option where the underlying security is similar (not exact) to an option. The underlying security might be a Preferred Share (option to convert into common share plus ...
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answer
859
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Quantifying climate change risk
I am looking for resources on applicable and practical solutions for estimation and quantifying climate change risk from asset owners perspective (for example, a portfolio of equity, fixed income, and ...
- 1,708
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How important Payable Days (Account Payable) to a firm's operating?
I am wondering if there is any paper mentioning the importance of Payable turnover or Days Payable Outstanding of a firm. I found that this account has been less researched and I try to use google ...
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Current research in price prediction
I am returning to studying the markets after ten years spent in banking. I would like to ask for directions, what approaches to price prediction are currently used - I want to catch up quickly.
Papers ...
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Reference request: “Sustainable competitive advantage” and "cash holdings"
Sustainable competitive advantage are company assets, attributes, or abilities that are difficult to duplicate or exceed; and provide a superior or favorable long-term position over competitors.
In ...
- 277
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List of Option Payoffs [closed]
Does anyone know of a good resource which lists all commonly used options together with their payoff functions? I'm specifically interested in non-path-dependent options.
- 436
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Finding optimal calendar spreads and diagonals
I am looking for some pointers on risk/return profiles of calendar spreads and diagonals with different strikes and expiration dates, preferably based on historical backtests with SPY options.
Please ...
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Is there a source for structured product statistics?
Is there a source giving statistics for structured products by type, number of issuances, location, etc.?
Thank you
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Replication of "recovery bond"
I just started learning about credit products.
Let $B_t^T$ be the price of a risk free zero coupon bond at time $t$. Similarly, let $C_t^T$ be the price of a zero coupon risky bond from some fixed ...
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Machine/Deep Learning for Exotic Option Pricing - Reference Request
Exotic options, in general, have very time-consuming valuation models. I believe in recent years there has been some research done on using supervised machine/deep learning to predict the valuation ...
- 888
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2
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239
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Starting Point for understanding Financial Theory for a Statistician
I am a Master’s student in Statistics who is interested in the field of Financial Modelling. I have very little experience or knowledge of Finance and have mostly worked on introductory projects in ...
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Other statistical financial modeling textbooks like Risk and asset allocation by Attilio Meucci
I recently read about the book (Risk and asset allocation) written by Attilio Meucci and I found those statistical modeling and inference methods quite robust in my point of view, although there are ...
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1
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Looking for a good introduction to modelling ARCH-type models
I am starting to think about my dissertation topic for my undergraduate degree.
I am interested in comparing volatility of stock indices during COVID-19 to the years leading up to the pandemic. I have ...
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174
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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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358
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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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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 ...
- 2,835
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vote
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65
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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 (...
- 2,835
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2
answers
597
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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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2
answers
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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?
- 1,865
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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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184
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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 ...
- 2,835
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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?...
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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 ...
- 2,356
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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 ...
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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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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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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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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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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
1
answer
222
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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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101
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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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253
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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 ...
- 2,835
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votes
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answer
202
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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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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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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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88
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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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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 ...
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votes
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535
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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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106
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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 ...
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3
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590
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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 ...
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