25 votes
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Shape and geometry of the yield curve

You can't make any concrete statements about the monotonicity, convexity or even sign of the yield curve. Yields are almost always positive, and in the past (2007 and earlier) you could find people ...
Chris Taylor's user avatar
  • 5,901
19 votes

Quantifying climate change risk

Here are some resources that I found useful when learning about this subject, in which I'm very interested. (Some may be more general ESG than just just climate.) Citigroup. Environmental and Social ...
Dimitri Vulis's user avatar
17 votes
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How much can be said about the Greeks without picking a model?

Find the topic of model-independent properties of option prices very interesting as well. Here are some results that I am aware of and the respective references in the literature. Some are already ...
LocalVolatility's user avatar
16 votes
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Local vol, stochastic vol, implied vol

Along with Gatheral's book, I'd recommend reading Lorenzo Bergomi's "Stochastic Volatility Modelling". The first 2 chapters are available for download on his website. That being said, let me try to ...
Quantuple's user avatar
  • 14.6k
12 votes

Self study references for a Mathematician

In general, quantitative finance requires mathematics, finance, and numerical programming. The mix of the three and the areas of focus within the three will depend on the particular area you intend ...
hjs's user avatar
  • 301
12 votes

Asset pricing textbooks

I discuss the books I mentioned in the comments. They all deal with standard (theoretical) asset pricing (starting with one period utility maximisation and then branch off). Other books like Björk, ...
Kevin's user avatar
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10 votes

Book/ Articles recommendation for Volatility models

I have also currently started to learn about the subject. This is some of the material I have encountered: Many people recommend the book "The Volatility Surface: A Practitioner's Guide" by ...
Jesper Tidblom's user avatar
8 votes

Good references on PNL explain?

I'm not aware of any great reference. However Peter Nash Effective product control: controlling for trading desks. Wiley (2018) chapter 10 Review of Mark-to-Market P&L is a good start. Andrew ...
Dimitri Vulis's user avatar
7 votes
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Why is volatility said to be persistent?

Two theoretical explanations regarding the long memory are given by: The mixture of distributions hypothesis of Tauchen and Pitts (1983). Essentially this hypothesis states that trading volume and ...
Malick's user avatar
  • 2,572
7 votes

Statistics for quantitative finance

Tsay's Analysis of Financial Time Series should be what you're looking for.
Bob's user avatar
  • 106
7 votes

Something fundamentally different about cryptocurrencies?

Status of this answer: latest update July 7, 2022. There is a new paper out which is quite interesting and which basically says that cryptocurrencies are indeed a new asset class, potentially useful ...
vonjd's user avatar
  • 27.4k
7 votes

Most significant research articles for practical investors with research perspectives

A lot has happened since Markowitz and Sharpe. While their work is still considered foundational, the empirical/practical relevance of their models has been questioned by later work. Here are a few ...
Alex C's user avatar
  • 9,372
6 votes

Statistics for quantitative finance

I think that "An Introduction to Statistical Learning: with Applications in R (Springer Texts in Statistics)" suggested by KarolisR could be useful but too much machine learning oriented. Moreover, ...
stochazesthai's user avatar
6 votes
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How do you check your option calculations?

1: Follow the calculations in The Complete Guide to Option Pricing Formulas. The book has many formulas, sample values and outputs. Highly recommended for validating your results. Apparently, this is ...
SmallChess's user avatar
  • 2,265
6 votes
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Expectation of two correlated processes?

Note that, as in this question, for $s\ge t\ge 0$, \begin{align*} n_s = e^{-a_n(s-t)}n_t + \int_t^s \theta_n(u)e^{-a_n(s-u)} du + \int_t^s \sigma_n e^{-a_n(s-u)} dW^n_u, \end{align*} and \begin{align*...
Gordon's user avatar
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6 votes
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What are the books in which to study the basics of the derivative financial instruments?

As mentioned by @Adam, Stochastic Calculus for Finance by Shreve is a good start if you have a reasonably strong mathematical background. Volume I is simpler, as it presents derivative pricing methods ...
Daneel Olivaw's user avatar
6 votes
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Does the rise in passive investing make the markets less efficient?

On more than a few occasions, I have attempted to extrapolate the current trend towards passive allocation to its logical conclusion: more passive allocation means more inefficiency. I am not aware ...
David Addison's user avatar
6 votes

Reference books for interest rates modeling?

To understand the fundamentals of rates trading, I would begin by understanding the fundamentals of derivatives markets. Usually, it is easiest to understand the concepts through simple equity ...
AdB's user avatar
  • 704
6 votes

Asset pricing textbooks

I would recommend Cochrane as well. Pros Deals with both theoretical and empirical asset pricing. Nice mix of intuition and math. Cochrane has videos from his class on Asset Pricing on Youtube, so ...
Alba's user avatar
  • 186
6 votes

Proof of Feller condition for CIR square root process. Any reference?

It is covered very nicely in Iain Clark's Foreign Exchange Option Pricing, A Practitioner’s Guide (pages 98-104). The book also contains references to the relevant literature including Feller's ...
Magic is in the chain's user avatar
6 votes

References for Stochastic Control for finance

Peter Forsyth of UWaterloo is my favourite author on this topic (one of my top three in MathFin!) Personal Homepage with Lots of Papers Optimal allocation under wealth goals, optimal decumulation ...
James Spencer-Lavan's user avatar
6 votes
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CAPM yields very poor fit (low R-squared). Is that normal?

Question 1 There may be at least two reasons for this (aside from possible programming errors or poor data): The model is actually a very poor approximation of reality, as Matthew Gunn indicates in ...
Richard Hardy's user avatar
5 votes
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A good book on option pricing from theoretical and practical aspect

My recommendations would be the following: For starters in Quantitative Finance: Hull - Options futures and other derivatives Wilmott - Quantitative Finance For an introduction to volatility: ...
KT8's user avatar
  • 855
5 votes

Online courses or C++ books combined with Finance (alternatives to Duffy and Joshi)

I agree with Student T regarding a lack of texts that will teach C++ specifically geared towards finance, and I would also say that isn't the best way to learn the language anyway. I taught a C++ ...
MarkD's user avatar
  • 551
5 votes

FX Modeling references

Personally, I prefer the book Foreign Exchange Option Pricing by Iain Clark and the book FX Options and Smile Risk by Antonio Castagna. The book FX Options and Structured Products by Uwe Wystup is ...
Gordon's user avatar
  • 21.1k
5 votes
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Algorithmic Execution Literature/References

You now have four reference books for algo trading Market Microstructure in Practice (L and Laruelle) for an introduction and microstructure related aspects The Financial Mathematics of Market ...
lehalle's user avatar
  • 12.1k
5 votes

What are some classical papers to read for a mathematician looking to get into quant finance?

The field is in flux right now. Since you are at the master's level I think you should focus on more general works in mathematics. If you were my student and we were ignoring specific things such as ...
Dave Harris's user avatar
  • 4,299
5 votes

Local vol, stochastic vol, implied vol

Gatheral's book is one of the best reference around so it's worth bearing with it, especially as he covers the relationship between implied, local, and stochastic volatility: local volatility ...
Antoine Conze's user avatar
5 votes
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Basics of trading strategy development

It is good for beginner to start with fundamentals. It can be a book "Systematic Trading: a unique new method for..." by Robert Carver (2015). Then it is good to read/listen to Ernest P. Chan, really ...
ltrd's user avatar
  • 501
5 votes
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Why do we use the letter $q$ for dividends?

It seems it didn't take long before the case of continuous dividends was considered in the literature. Robert Merton's 1973 paper "Theory of Rational Option Pricing" considers the case of ...
Bob Jansen's user avatar
  • 8,552

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