Questions tagged [reference-request]
The reference-request tag has no usage guidance.
201
questions
0
votes
0answers
163 views
Practical Skew Model For Equity Options?
I'm looking for a simple model I can use to calibrate equity implied volatility surface. There are several models published in the literature, and most of them seem far too sophisticated for my ...
1
vote
0answers
60 views
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 ...
5
votes
1answer
473 views
Combining modern portfolio theory and Kelly betting?
I'm using modern portfolio theory to compute the frontier of efficient portfolios. I'd like to pick the best one in the spirit of Kelly betting, ie. maximising expected growth.
I'm looking for a ...
1
vote
1answer
163 views
Mathematical models for personal finance decisions
I'm doing some bibliographic research on mathematical models for personal finance decisions. I should like to ask whether you know any of them, because the research that I did on Google Scholar haven'...
3
votes
0answers
99 views
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 ...
6
votes
3answers
496 views
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 ...
5
votes
1answer
268 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. ...
2
votes
1answer
637 views
Reference books for interest rates modeling?
I'm interviewing for a rates modeling quant role in a sell side bank. The role is centered around pricing and risk management of rates trading carried out by the front office.
I've been told to ...
3
votes
1answer
125 views
Good References for Treasury Futures Spreads
I’m reading the excellent Treasury Bond Basis by Burghardt. I was wondering if there’s a similar quality book/paper about Yield curve spreads using treasury futures (i.e. NOL, NOB, FYT).
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0answers
134 views
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 ...
4
votes
0answers
98 views
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_\...
1
vote
1answer
246 views
Good references on Heston Model?
I am looking for good bibliographic references on Heston Model and Stochastic volatility models in general.
Does anyone know any good introductory/intermediate references on this topic?
4
votes
2answers
140 views
Origin of the term Modern Portfolio Theory
In his times, Markowitz did not claim his ideas were "modern".
Not even the expression "Portfolio Theory" is ever used in his seminal paper and subsequent book, while he speaks instead of "Theory of ...
4
votes
3answers
2k views
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 ...
4
votes
1answer
494 views
Risk neutral valuation formula
I am totally new to Finance and Arbitrage theory and I have started reading Björk (2018) Arbitrage theory in continuous time. Can anyone please explain to me what is the risk-neutral valuation formula ...
3
votes
0answers
86 views
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?
...
1
vote
3answers
626 views
Reference: Vanna, volga, vega approximations
I am looking for a reference on how to approximate implied volatility in a stochastic model vis-a-vis vanna, volga, vega, and other model parameters, in particular the derivation of such equations and ...
1
vote
0answers
214 views
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 ...
3
votes
0answers
47 views
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 ...
2
votes
1answer
106 views
References for Monte Carlo in insurance
As the title suggests, I'm looking for reference works on Monte Carlo methods in insurance.
Wikipedia tells me that the terminus technicus here is dynamic financial analysis. I'm about to start a ...
10
votes
2answers
499 views
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 ...
11
votes
3answers
2k views
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 ...
21
votes
6answers
27k views
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 ...
1
vote
0answers
93 views
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 ...
1
vote
1answer
410 views
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 ...
3
votes
2answers
212 views
Reference request : Introductory technical analysis
I want to thoroughly learn about technical analysis, or more exactly, how technical indicators or overlays are used in quantitative trading strategies.
Being a beginner to the area, I can't ...
7
votes
1answer
305 views
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.
3
votes
1answer
161 views
How to estimate a copula for time series
I want to estimate a copula for the innovations of two dependent time series (A and B). I have found no reference with a step by step on how to do this. I have only found summarized papers from which ...
2
votes
1answer
92 views
Adding a new strategy to an existing portfolio
I wanted some help in looking for suitable articles/literature. Suppose an investor has a bunch (bouquet?) of quantitative strategies already generating trading signals for him. If he comes up with a ...
7
votes
2answers
451 views
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 ...
8
votes
4answers
4k views
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 ...
3
votes
1answer
172 views
Rate of convergence between price and value
In my experience, there are two primary methods of alpha generation. In both cases, assume we know what price is.
Method 1: Inference on what the price/payoff will be.
Method 2: Inference on what ...
2
votes
1answer
139 views
Convertible Bond Pricer papers
I'm looking to build a convertible bond pricer. Where should I get started? Which papers/books should I look at?
1
vote
0answers
64 views
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 ...
5
votes
2answers
177 views
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.
2
votes
2answers
352 views
Reference request: hedge fund strategies
I am looking for a survey book on general hedge fund strategies, preferably on the quantitaitive side. An ideal book would survey common hedge fund strategies (e.g. fixed income arb, volatility arb) ...
2
votes
0answers
72 views
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 ...
4
votes
0answers
146 views
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 ...
0
votes
1answer
179 views
Momentum Analysis on Indices
I'm interested in analysis of day-on-day momentum of certain large indices. In particular, I'm interested in the predictive power of the sign of the price change of the first hour of trading with ...
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 ...
7
votes
3answers
231 views
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 ...
7
votes
2answers
4k 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"...
5
votes
2answers
801 views
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 ...
10
votes
4answers
915 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 ...
2
votes
2answers
1k views
PDE pricing of barrier options in BS
Path-dependent options in BS framework is intuitive to price with monte-carlo under risk-neutral measure, however it appears that several kinds can be priced with PDEs. I understand how does the story ...
2
votes
1answer
199 views
What are good risk management books or docs? [duplicate]
I have an unusual request/question. I was wondering if anyone here could recommend me some books about risk management and equity derivatives.
I am about to do an internship as a risk analyst on an ...
0
votes
1answer
414 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 ...
16
votes
2answers
582 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 ...
1
vote
1answer
244 views
Explaining mathematically why to use the ATM vol [closed]
In this question, I got an answer that is much explaining in words what could be explained mathematically. The user who answered referenced the book "The Volatility Surface, by Jim Gatheral's".
But ...
2
votes
2answers
380 views
What are some classical papers to read for a mathematician looking to get into quant finance?
While searching around for some market making-related stuff I bumped into this paper https://arxiv.org/abs/1105.3115 and thought that I'll start digging through it and its References, out of lack of ...
