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.
243 questions
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EURUSD exchange rate compared to NASDAQ/EURONEXT exchange rate
Is there a paper that compares the EURUSD exchange rate vs the relative values of the american stock market vs european stock market ? As an example, we could do a weighted sum of every major stock ...
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Reference for a result on hedging American options
This is from Lamberton and Lapeyre introduction to stochastic calculus applied the finance in the section about pricing American options. Does anyone know a reference for this result? It says it’s ...
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What define if volatility is high or not?
How is volatility regimes commonly defined in the literature? What are metrics used to define high volatility regime?
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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 ...
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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 ...
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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 ...
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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 ...
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371
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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 ...
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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 ...
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390
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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 ...
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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 ...
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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 ...
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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 ...
- 28k
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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.
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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
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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 ...
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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 ...
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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) ...
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