Questions tagged [reference-request]
The reference-request tag has no usage guidance.
23
questions
15
votes
1answer
1k views
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 ...
40
votes
3answers
5k views
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 ...
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"...
17
votes
4answers
4k views
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. ...
7
votes
2answers
386 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)
2
votes
2answers
89 views
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, ...
23
votes
2answers
34k views
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 ...
12
votes
4answers
4k views
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 ...
31
votes
7answers
2k views
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 ...
10
votes
1answer
2k views
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. ...
16
votes
3answers
4k views
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 ...
16
votes
2answers
558 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 ...
11
votes
3answers
2k views
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?
10
votes
4answers
901 views
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 ...
8
votes
3answers
345 views
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 ...
5
votes
1answer
264 views
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. ...
5
votes
4answers
4k views
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 ...
2
votes
1answer
135 views
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 ...
5
votes
1answer
650 views
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, ...
3
votes
3answers
180 views
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 ...
1
vote
1answer
122 views
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 ...
0
votes
1answer
401 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 ...
0
votes
1answer
160 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 ...
