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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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 ...
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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 ...
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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 ...
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How high of a Sharpe ratio is implausibly high for a low-frequency equity strategy?
I am looking to convince someone that an annualized Sharpe Ratio of 7 is 'extremely high' for a low frequency (daily rebalancing, say) long-short technical strategy on U.S. equities. I was hoping for ...
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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. ...
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Is statistical arbitrage on FX possible?
Do you know of any papers which consider pairs trading (or statistical arbitrage) on foreign exchange?
I couldn't find any. I asked this question on several forums and got no reply. Thus, I guess ...
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What are the textbooks used to teach Quantitative Trading at universities?
For example, Stanford has a class (STATS242 - Algorithmic Trading and Quantitative Strategies) on quantitative trading. But i am not able to determine what are the textbook(s) used in this course. The ...
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Are there ways to measure the risk aversion of a representative investor, based on publicly available market data?
Are there ways to measure the risk aversion of a representative investor, based on publicly available market data? Public available data could include asset price, volume, and flow data, and may be ...
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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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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 ...
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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 ...
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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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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 ...
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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 ...
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Why is volatility said to be persistent?
Persistence in volatility of stock returns is one of the common 'stylized facts' when it comes to analyzing time series. However, I am wondering for theoretical arguments why (estimated) volatility ...
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How should FX options be priced when a currency is artificially capped?
The question is inspired by yesterday's (06/09/11) historic announcement by the Swiss National Bank that it would impose a ceiling on the franc of 1.20 against the euro.
I would like to know if there ...
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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. ...
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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?
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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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Self study references for a Mathematician
I just finished my undergraduate (BSc) degree in Pure Mathematics & Applied Mathematics. I am starting my postgraduate degree in Pure Mathematics in a month's time.
I am considering pursuing a ...
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Starting mathematics reading for quants
What book should I start with in order to learn about the mathematics behind financial (derivatives I think!) trading that would be used in HF's & IB's (Not sure whether there would be a ...
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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
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What is a real world example of negative forward interest rate?
As the title says, I am looking for a real world example where a forward interest rate is negative.
Theoretically this is not a problem at all, if I look for a 3M forward interest rate that starts ...
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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"...
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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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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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Why Lie groups, differential geometry and string theory relate to MF?
I'm reading Peter Carr's "A Practitioner’s Guide to Mathematical Finance". When talking about the math used in mathematical finance, he mentions Lie groups, differential geometry, string theory. Can ...
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Connections between random walk and heat equation (Material for ~)
I am preparing an undergraduate lecture in quantitative finance and I am looking for material that combines the topics:
random walk and
heat equation
The material should be accessible (intuitive!), ...
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What are the canonical global-macro investing books?
What is a good reading list for Global Macro investing? What does Bridgewater, Bervan Howard, Soros, AQR etc. use to teach their staff about macroeconomic investing?
Let us assume a top-class ...
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Reference material about Quantified Asset Allocation?
I am looking for papers that would describe asset allocation with geometry, group theory, markov chains or things like that. Keeping asset allocation in a range is easy but to keep it more precisely ...
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Where to find good notations to teach investment portfolio maths?
I don't know whether this question is in order here. I do a bit of teaching and I am preparing my own notes but I thought that his should not be necessary.
In which book/pdf on the web can we find a ...
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What is the canonical reference for Minimum Variance Portfolio's uniqueness?
I am writing a white paper in which I am trying to compare a strategy to different well-known - and classic - asset allocation optimization approaches.
One of the methods I chose is the minimum ...
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Quant teams predicting the World Cup
It is a good tradition of the quant teams of the major banks to predict the World Cup. As an example see this new paper from Goldman Sachs:
The World Cup and Economics 2014 (Brazil will win by the ...
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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.
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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 ...
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Statistics for quantitative finance
I am looking for an advanced introduction to statistics. I am currently interviewing for hedge fund positions, and a solid base in statistics would be quite helpful. As a math major I have significant ...
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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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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 ...
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Book recommendation: math toolkit for quantitative finance and statistics
I am looking for a book which teaches mathematical topics which are relevant to master quantitative finance and statistics.
Please note, I do not mean a book which would explain how math is applied ...
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Online courses or C++ books combined with Finance (alternatives to Duffy and Joshi)
I am trying to find a book for our study group that teaches the bare minimum C++ needed for financial applications.
I am trying to teach it in a project based manner. In case, I don't settle on one ...
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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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Why is GARCH more often applied in risk analysis than stochastics?
I am trying to look out for something I can engage in for my final year project (M.Sc) but my interests lie more in risk analysis (specifically credit risk). I have tried searching the web but really ...
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How do earnings estimates respond to changes in underlying fundamentals and economic conditions?
Sell-side analysts' earnings estimates for individual companies, typically reported by I/B/E/S, are a key ingredient to many quantitative models. However, revisions to analyst estimates tend to lag ...
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Why do we use the letter $q$ for dividends?
In derivative pricing models, we often use the letter $q$ to designate the dividend yield i.e.:
$$\textrm{d}S_t=S_t((\mu-q) \textrm{d}t+\sigma\textrm{d}W_t)$$
for the price process $S$ of the stock.
...
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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 ...
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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 ...
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Static and Dynamic Hedging of Vol/Var Swaps
Why can a variance swap be perfectly statically hedged whereas a volatility swap requires dynamic hedging?
Possible reference request to the corresponding literature.
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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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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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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.
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