Questions tagged [reference-request]

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1answer
232 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
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1answer
482 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 ...
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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? ...
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0answers
208 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 ...
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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 ...
4
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2answers
138 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 ...
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0answers
89 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 ...
2
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1answer
105 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 ...
1
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1answer
366 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 ...
2
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1answer
90 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 ...
2
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1answer
136 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?
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0answers
62 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
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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.
7
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1answer
301 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.
2
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0answers
71 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 ...
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0answers
143 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 ...
3
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1answer
162 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 ...
3
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1answer
160 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 ...
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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"...
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1answer
176 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 ...
2
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2answers
351 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) ...
5
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2answers
794 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 ...
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2answers
484 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 ...
2
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1answer
193 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 ...
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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 ...
1
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1answer
236 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 ...
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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 ...
2
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2answers
369 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 ...
2
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3answers
172 views

Reference request for arbitrage pricing with martingale theory

I am a mathematician. What's the go-to reference for a proper math-based introduction to martingale theory and arbitrage pricing? The books I am being referred to deal mostly either with the ...
4
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2answers
163 views

What are the quantitative approaches to quantify credit risk for Private Equity and Real Estate?

What are some quantitative approaches to estimating credit risk for investments that aren't publicly traded, such as private equity and direct real estate? I'm particularly interested in estimating ...
1
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3answers
594 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 ...
7
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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)
3
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1answer
267 views

How do I learn the stochastic calculus of Poisson processes?

I'm looking for references on the stochastic calculus of Poisson processes. My books tend to focus on derivative pricing, where Brownian motion reigns supreme. Maybe some jump-diffusion models thrown ...
3
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2answers
205 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 ...
2
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1answer
137 views

Finding robust regions of multidimensional parameter combinations in trading strategies

Trading strategies often have many degrees of freedom. As a toy example let's say you have two moving averages (MA) which trigger a trade each time they cross each other: There are at least two ...
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0answers
82 views

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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0answers
30 views

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 ...
2
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0answers
58 views

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 ...
2
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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 ...
4
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1answer
127 views

Is there evidence that delta-hedging of large investors affects markets?

I would expect that many traders hedge their exposure before market closing based on their positions. In order to determine the timing of readjustment, there should probably two channels affect the ...
10
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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. ...
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0answers
61 views

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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0answers
35 views

Spot an activity of stock tickers

I've got 5 minute interval data of the 500 most viewed tickers. I would like to try to correlate changes in place in ranking of given ticker with volatility of underlying asset (for given stock market)...
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0answers
187 views

Why does the presence of cointegration solve the problem of spurious correlation? [closed]

Many of us are familiar with the connection between spurious correlation and its relationship to cointegration. Granger explains in his seminal 1974 paper "Spurious Regressions in Econometrics" how ...
4
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2answers
323 views

Algorithmic Execution Literature/References

I am going to join the equity execution arm of an investment bank soon. I have minimal exposure to algorithmic execution, and am looking to increase my knowledge on the topic. Can someone provide a ...
3
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1answer
170 views

Expectation of two correlated processes?

Consider the following: $$ dn_t = [\theta_n(t)-a_nn_t]dt + \sigma_ndW_{t}^n \\ dr_t = [\theta_r(t)-\rho_{r,n}\sigma_n\sigma_r-a_rr_t]dt + \sigma_rdW_{t}^r $$ Interpret $dn_t$ as the diffusion for ...
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1answer
40 views

is there a dependence between an annotation date of stocks dividend payment and the end fiscal year

I know that the fiscal year in USA from 1 October till 30 September. I'd like to know: is whether there a dependence between a declaration date and an end of fiscal year? I think this dependence ...
4
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3answers
454 views

Difference between risk and uncertainty

I'm reading the paper "Risk Measures in Quantitative Finance" by Mitra and Ji (2010). On page 2 it reads: We note that some Academics distinguish between risk and uncertainty as first defined by ...
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1answer
172 views

What time series and length should be used for a second-order derivative?

Let's suppose that there is an option on a futures contract, the underlying asset for the future is an index, and the future is a cash settled contract. In this case you have a second-order ...
3
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1answer
109 views

APR and Term to Principal Repayment Schedule Approximation

Is there any established "industry standard" to obtain an approximation for the expected principal repayment schedule for a given loan amount, term in months and APR with monthly payments ? I ...