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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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Options on Futures, akuna question

From the below question, I am unsure why the option expiring in November is given by the January future. I thought it was a graphical issue, but it is supposed to look like it’s shifted to the right. ...
ayamathss1's user avatar
1 vote
1 answer
127 views

Literature on hedging contract for difference (CFDs)

I’m looking for research specifically for CFD brokers wanting to hedge risk when a customer buys CFDs. Preferably research on using derivatives like options, futures etc to hedge the risk, instead of ...
Xerium's user avatar
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7 votes
0 answers
154 views

Recent developments in interest rate modelling

Brigo and Mercurio published the 2nd edition of their (classic? definitive?) book on interest rate models in 2006. Have there been any major theoretical developments since then? Has anyone published a ...
Jamie Ballingall's user avatar
0 votes
1 answer
166 views

Macaulay Duration of a Callable Bond [closed]

I could not find any formula of Macaulay duration for a callable bond in the literature. Can anybody show how to derive it or give a reference where it is already obtained. EDIT My goal is to find a ...
Sane's user avatar
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1 vote
1 answer
186 views

A book that has exercises which closely resembles the content of Lorenzo's Stochastic Volatility Modeling book?

I'm currently going through Lorenzo Bergomi's book Stochastic Volatility Modeling. The one issue I have is that it does not contain exercises to test your knowledge and learn. Is there a textbook ...
THATS MY QUANT MY QUANTITATIVE's user avatar
1 vote
2 answers
150 views

Suggested readings for a beginner with Math backgroung [closed]

Before asking any reference, I think it makes sense to give some feature of the recipient. I am a pure mathematician. After the PhD I went to industry to work as software engineer. Recently I started ...
Joe's user avatar
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1 vote
0 answers
80 views

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 $...
André Goulart's user avatar
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0 answers
35 views

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{...
QMath's user avatar
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258 views

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 ...
Hans-Peter Schrei's user avatar
3 votes
1 answer
117 views

Nominal vs. real (inflation-adjusted) prices/returns in cross-sectional asset pricing

I have the impression that asset pricing models such as the CAPM or Fama & French 3 factor model typically concern nominal rather than real (inflation-adjusted) prices/returns. If this is indeed ...
Richard Hardy's user avatar
5 votes
1 answer
249 views

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. ...
Daneel Olivaw's user avatar
1 vote
2 answers
205 views

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 ...
daxson's user avatar
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2 votes
1 answer
285 views

Is there a general approach to predicting future (vanilla) option prices in practice?

I realize that this question may be verging on asking for the proprietary/"secret", so if suggestion of a general approach that doesn't divulge details isn't really possible, I understand. ...
QMath's user avatar
  • 249
2 votes
0 answers
99 views

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 ...
Nick's user avatar
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2 votes
2 answers
272 views

Is there a commonly accepted way to leverage the granularity of high frequency data while working within the constraints of lower frequencies?

Apologies if this is not the correct forum for this question. Access to high frequency data (trade data, quote data, limit order book updates, etc.) is currently relatively easy through various public ...
QMath's user avatar
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4 votes
1 answer
202 views

Estimating the knockout probability of a discretely observed autocall note

For simplicity, let's suppose the underlier follows a Geometric Brownian Motion $S_t\sim\text{GBM}(\mu, \sigma), t\ge 0$ with $S_0=1$. A discretely-observed binary autocall note is a derivative ...
Vim's user avatar
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0 votes
1 answer
68 views

Optimal Input and Target Variables for Forecasting Using a Deep Neural Network on Daily Stock/Index Data [closed]

What is the optimal input and target variables for forecasting with a deep neural network on daily stock/index data? More specifically I’m training a temporal convolutional network, but a more general ...
Lejoon's user avatar
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0 answers
44 views

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 ...
we_are_all_in_this_together's user avatar
2 votes
0 answers
129 views

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 ...
UNOwen's user avatar
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4 votes
1 answer
738 views

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 ...
Richard Hardy's user avatar
1 vote
0 answers
49 views

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-...
Nap D. Lover's user avatar
1 vote
0 answers
276 views

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 ...
vonjd's user avatar
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2 votes
0 answers
116 views

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?
Daneel Olivaw's user avatar
1 vote
1 answer
191 views

Where to find dissertations in risk management

I'm looking for open databases of master's dissertations/theses in risk management & quantitative finance written by risk practitioners. The goal is to find current research topics or problems in ...
SuavestArt's user avatar
3 votes
4 answers
559 views

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?
cookiemonster's user avatar
0 votes
1 answer
353 views

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 ...
TryingHardToBecomeAGoodPrSlvr's user avatar
1 vote
1 answer
566 views

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: ...
mkultra's user avatar
  • 278
1 vote
1 answer
86 views

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 ...
Phil Nguyen's user avatar
2 votes
0 answers
232 views

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. ...
TryingHardToBecomeAGoodPrSlvr's user avatar
0 votes
2 answers
43 views

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 ...
Nguyen Lis's user avatar
0 votes
1 answer
174 views

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 ...
smbch's user avatar
  • 45
5 votes
0 answers
300 views

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 ...
guest1's user avatar
  • 51
3 votes
0 answers
88 views

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 + \...
Stéphane's user avatar
  • 2,486
2 votes
0 answers
60 views

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 ...
nemiii's user avatar
  • 21
15 votes
1 answer
2k views

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 ...
AK88's user avatar
  • 1,850
1 vote
0 answers
204 views

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 ...
Daniel Bencik's user avatar
0 votes
1 answer
45 views

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 ...
Phil Nguyen's user avatar
0 votes
3 answers
202 views

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.
R. Rayl's user avatar
  • 466
4 votes
0 answers
164 views

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 ...
vonjd's user avatar
  • 27.5k
2 votes
1 answer
76 views

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
John11's user avatar
  • 121
3 votes
0 answers
47 views

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 ...
user357269's user avatar
0 votes
0 answers
274 views

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 ...
Dhruv Mahajan's user avatar
1 vote
2 answers
313 views

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 ...
napoleon's user avatar
3 votes
0 answers
171 views

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 ...
Trading Program's user avatar
2 votes
1 answer
223 views

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 ...
lef00035's user avatar
1 vote
1 answer
225 views

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) ...
Anthony's user avatar
  • 75
0 votes
1 answer
766 views

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 $\...
develarist's user avatar
  • 3,030
-2 votes
1 answer
807 views

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 ...
develarist's user avatar
  • 3,030
1 vote
1 answer
93 views

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 (...
develarist's user avatar
  • 3,030
2 votes
2 answers
1k views

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 $\...
Strictly_increasing's user avatar

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