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.
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questions with no upvoted or accepted answers
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Bridgewater's Daily Observations
Bridgewater Associates send out Daily Observations to their clients, but I haven't found many traces of these publications online. The series started some 40 years ago by Ray Dalio, and there're just ...
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recent developments in American options?
I have read the paper written by Egloff (2005) using machine learning techniques to solve the optimal stopping problem.
Is there any development in pricing American options during 2005-2016? (based ...
- 247
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Use of Local Times in Option Pricing
I know two applications of local time in option pricing theory.
First, it allows a derivation of Dupire's formula on local volatility in a neat way (i.e. without resorting to differential operator ...
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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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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 ...
- 27.3k
4
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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_\...
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0
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226
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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 ...
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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 + \...
- 2,416
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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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3
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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 ...
3
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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 ...
- 169
3
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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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3
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0
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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 ...
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0
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Method of conditional expectations for basket
I am reading paper "An analysis of pricing methods for baskets options".
Unfortunatly, I can not find the working paper "Beisser, J. (1999): Another Way to Value Basket Options, Working ...
- 239
2
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0
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Is the time derivative of asset returns expressible as an SDE?
Consider the following SDE for $(S_t)_{t\geq 0}$ under $\mathbb{Q}$,
\begin{equation}
\mathop{dS_t}=S_t\left(r\mathop{dt}+\sigma(t,S_t)\mathop{dW_t}\right),
\end{equation}
which (in Langevin form) may ...
- 128
2
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114
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First known reference using martingale theory to derive BS formula
What is the first known paper which derives the Black-Scholes valuation formula for an option (1973) using martingale machinery - instead of PDEs?
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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. ...
2
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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 ...
- 21
2
votes
1
answer
201
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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 ...
- 21
2
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0
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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 ...
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2
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0
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Reference for delta hedging programmatically
I learned some of the basic theory of Bjork (chap 1-9)
and would now like to study some (discrete delta) hedging using programming software.
We had an exercise in school where we hedged a call ...
- 21
2
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0
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131
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References about market neutral portfolios that isolate unsystematic risk
I am looking for references, information, backtests etc. about market neutral portfolios that go long the index and short stocks of that index with high unsystematic (idiosyncratic) risk. The idea is ...
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0
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91
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Financial theory
Ok guys, I'm studying from Danthine and Donaldson - Intermediate Financial Theory. The book itself doesn't have a lot of worked examples, and I'm lacking the basics for understanding some concepts ...
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0
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Texts on the Generalized Method of Moments
I was looking for a book that could explain me well the Generalized Method of Moments, its mathematical nuances, and even have a look to the empirical side, maybe with some guided exercises with Stata ...
- 676
2
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0
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Textbook / Reports on Alphanomics
Look at ACCT 340 @ http://www.gsb.stanford.edu/research/courses/acctg.html
I've read some of the research papers written by the Professor, and the material is very interesting. However, I'm looking ...
user2936
1
vote
0
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Resource recommendations: Levy process estimation using programming languages
Perhaps this type of question is not very suitable for this forum, but I'll try to make my question a little useful.
I'm studying stochastic processes, more precisely, Levy processes. A Levy process $...
- 111
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vote
0
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References for path-dependent GBMs or continuous time analog of discrete time filters
Consider a path-dependent GBM model for a stock price:
$$dS_t = \mu(t, S_.)S_tdt + \sigma(t, S_.) S_t dB_t,$$
where $\mu, \sigma : [0,\infty)\times C_{[0,\infty)}\to \mathbb{R}$ are previsible path-...
- 225
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0
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173
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What is an algo wheel and where can I find references?
The term "algo wheel" has been flying around for some time yet I have yet to find a consistent definition. It obviously has to do with making trading strategies more comparable, but where ...
- 27.3k
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vote
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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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0
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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 ...
- 2,970
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0
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556
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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?
...
- 2,970
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vote
0
answers
145
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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 ...
- 161
1
vote
0
answers
139
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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 ...
- 153
1
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0
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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.
user34971
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0
answers
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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 ...
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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 ...
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0
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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 ...
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1
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0
answers
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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 ...
- 83
1
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0
answers
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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 ...
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Reference request: hedging options and The Greeks
I am reading a math-heavy book on option pricing in cont-time, but I am embarrassed to say that I have little intuition of how hedging works in practice, how the Greeks are used, and so on.
What's ...
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1
vote
0
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Multi-factor affine yield models reference (a la Duffie and Kan)
http://www.darrellduffie.com/uploads/pubs/DuffieKan1996.pdf
I was trying to read above paper on the topic of multi-factor affine models, but I presume the contents have been dealt with more ...
- 11
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vote
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P2P lending and correlation with other major asset classes
I am looking for a credible study (i.e. a good/reputable source) into the correlation of returns on assets in Market Place Lending / Online Direct Lending / Alternative Finance with other major asset ...
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Please recommend a book regarding Monte Carlo simulation in OAS
I couldn't find a book that explains in details how to use Monte Carlo Simulation to generate a number of interest rate scenarios. And then based on the interest rate scenarios, how to calculate the ...
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1
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1
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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 ...
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References/Direction on what functional of wealth to optimize for a given goal?
I seem to have gotten stuck trying to approach trading strategy development from a financial mathematics(?) perspective.
To start, let:
$T \gt 0.$
$\mathcal{T}$ be a closed non-empty set of $\mathbb{...
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Quantitative trading strategies with a focus on low-frequency dislocations
I am looking for references that are specific to quantitative trading strategies that exploit low-frequency dislocations in markets, which lend themselves as overlays for a strategic asset allocation ...
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Input/References on Generating Exit Signals for Positions that Profit Very Highly from Extreme and "Unpredictable" Events?
For focus, let us restrict the scope of this to vanilla options-based positions/strategies.
In a lot of the accounts that I've seen of those that engage in this sort of investment/trading strategy (...
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Good guide to test a new 'factor' and control using other factors in regression model (like Fama French)?
I'm trying to get a better understanding of different ways one can test a new factor within the Fama-French framework?
For example, some questions I have are:
I want to test if Warren Buffet is in a ...
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0
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240
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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 ...
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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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