Great publications in quantitative finance

Posted: April 15, 2010 in Uncategorized
Tags: , , , , ,

After some debate with friends and colleagues we’ve arrived at some of the great publications in finance for the weekend.  I have tried to include links to the articles where possible:

  1. The Pricing of Options and Corporate Liabilities
  2. Portfolio selection
  3. Pricing with a Smile
  4. Capital Asset Prices
  5. Option Pricing: A Simplified Approach
  6. Theory of Rational Option Pricing
  7. Managing Smile Risk
  8. Bond Pricing and the term structure of interest rates by Heath et al.
  9. A Closed Form Solution for Options with Stochastic Volatility
  10. Interpolation methods for Curves
  11. Forward Induction and Constructon of Yield Curve Diffusion Models.
  12. Correlation: Pitfalls and Alternatives
  13. A Perfect Calibration! Now what?
  14. Stupid Data Miner Tricks: Overfitting the S&P500
  15. Spurious regressions in econometrics

Other favorite authors of mine include Piterbarg, Rebonato,  and these guys…..

There are some newer publications that I have been reading that I will share shortly as well!


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