Questions tagged [reference-request]
use this tag to signal questions about books or papers on a specific topic. Please have a careful look at questions already answered on the same topic in this category.
29
questions
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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?
- 1,875
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3
answers
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What papers have progressed the field of quantitative finance in recent years (post 2000)?
My question is pretty simple: what papers do you feel are foundational to quantitative finance? I'm compiling a personal reading list already, drawn from Wilmott forums, papers referenced in ...
18
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1
answer
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How much can be said about the Greeks without picking a model?
Let $C(S, K, \sigma, r, T)$ be the price of a call option. How much can be said about the Greeks without picking a model? Or at least without full Black-Scholes?
Below, I write down everything I know ...
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21
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4
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What books should any quantitative portfolio manager or risk manager have as reference? [closed]
I'm interested to know what are the critical reference texts you rely on for portfolio or risk management? I mean those texts that you come back to because they are chock full of insight and know-how. ...
8
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2
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6k
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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"...
- 493
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2
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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)
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3
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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, ...
- 68
4
votes
1
answer
520
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CAPM yields very poor fit (low R-squared). Is that normal?
I am playing around with the CAPM for a small European stock market (about 100 stocks). First, I use five years of monthly data (January 2017 to December 2021) to estimate betas for each firm using ...
- 2,658
36
votes
7
answers
3k
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Why do some anomalies persist while others fade away?
In their 1990 book, A Non-Random Walk Down Wall Street, Andrew Lo and Craig MacKinlay document a number of persistent predictable patterns in stock prices. One of these "anomalies" is variously known ...
- 13.4k
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votes
2
answers
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Worked examples of applying Ito's lemma
In most textbooks Ito's lemma is derived (on different levels of technicality depending on the intended audience) and then only the classic examples of Geometric Brownian motion and the Black-Scholes ...
- 27.3k
18
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4
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Topological methods in finance
Recently a promising start-up (Ayasdi) has made headlines. They are a spin-off of the Applied and Computational Algebraic Topology group of Stanford University (ComTop). What they basically do is ...
- 27.3k
17
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2
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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 ...
- 27.3k
15
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1
answer
1k
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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 ...
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12
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4
answers
7k
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What are the canonical books for statistics applied to finance?
I have some decent knowledge of probability, stochastic processes and option theory, however I do not have a proper background in statistics.
Now I am working quite a lot with data, and trying ...
- 1,474
11
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3
answers
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Reference on Markov chain Monte Carlo method for option pricing?
I have to implement option pricing in c++ using Markov chain Monte Carlo. Is there some paper which describes this in detail so that I can learn from there and implement?
- 119
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1
answer
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Shape and geometry of the yield curve
Let the initial yield curve $T\mapsto y(0,T)$ be given for a term structure family of bonds $B(0,T)$ having different maturities. I am trying to figure out the geometric properties of the yield curve. ...
- 636
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4
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How do you check your option calculations?
I'm implementing a bunch of different algorithms to price options/find Greeks: finite difference, Monte Carlo, binomial...
I'm not really sure how to check my calculations. I tried using QuantLib to ...
user16469
8
votes
3
answers
381
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Can Gaussianity of returns depend on the time frame?
I would be interested in knowing if the fact that returns are Gaussian is disproved on all time frames, or if, for example, the 5 minute intra-day time frame could exhibits Gaussian returns assuming ...
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votes
1
answer
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Reference Request: Horse Race for Portfolio Allocation
Probably the most popular horse race study for portfolio strategies is
Optimal versus Naive Diversification: How Inefficient Is the 1/N Portfolio Strategy?, with DeMiguel, L. Garlappi and R. Uppal. ...
- 1,456
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4
answers
4k
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Credit Rating or Probability of Default from Financial Ratios
Does anyone know of any papers about credit rating development or probability of default estimation done based on financial ratios that also include methodology and maybe good/bad criteria?
Something ...
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5
votes
1
answer
720
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What is the relative performance of hard-to-borrow securities?
Is there any research on the equity return performance of hard-to-borrow securities?
Many shops will simply screen for hard-to-borrow and eliminate these names from their short book.
Anecdotally, ...
- 13.5k
3
votes
2
answers
745
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Lookback option explicit formula using Black Scholes
I would like to compute the time-0-price for a lookback option using Black Scholes formula, the explicit formula is given by
$$S_0[(\frac{2r+\sigma^2}{2r})\Phi((\frac{2r+\sigma^2}{2\sigma/\sqrt{T}}))-...
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3
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What is the data quality of ask (offer) versus bid quotes in FX markets?
I'm working with high frequency FX data. Because the FX market is a decentralized market, different traders often have slightly different prices at the same moment. I can see how this would ...
user20644
2
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1
answer
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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 ...
2
votes
1
answer
172
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How to find the transition distribution functions of these two processes?
What are the transition distribution (or density) functions of processes defined by
$dX_t=\mu dt +\sigma dW_t$
and
$dX_t= \theta(\mu-X_t) dt +\sigma dW_t,$
where $\theta>0$, $\mu$ is a real ...
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2
votes
0
answers
225
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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. ...
1
vote
2
answers
158
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VaR backtesting. Reasons for over- and underestimation of value at risk estimates?
I use an ARMA-GARCH model for univariate distributions and a copula model for the multivariate distribution. For the value at risk (VaR) estimation, I do a Monte Carlo simulation. I'm looking for some ...
- 11
0
votes
1
answer
647
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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 ...
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0
votes
1
answer
452
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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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