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 Liabilitieshttp://www.cs.princeton.edu/courses/archive/fall09/cos323/papers/black_scholes73.pdf
  2. Portfolio selectionhttp://www.gacetafinanciera.com/TEORIARIESGO/MPS.pdf
  3. Pricing with a Smilehttp://www.math.ku.dk/kurser/2005-1/finmathtowork//DupireRISK.PDF
  4. Capital Asset Priceshttp://www.e-m-h.org/Shar64.pdf
  5. Option Pricing: A Simplified Approachhttp://fisher.osu.edu/~fellingham_1/seminar/CRR79.pdf
  6. Theory of Rational Option Pricinghttp://pchen.ccer.edu.cn/homepage/Homepage%20Chinese/AED2003/readingpapers/StochModel/MertonOption73.pdf
  7. Managing Smile Riskhttp://www.math.columbia.edu/~lrb/sabrAll.pdf
  8. Bond Pricing and the term structure of interest rates by Heath et al.
  9. A Closed Form Solution for Options with Stochastic Volatilityhttp://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.139.3204&rep=rep1&type=pdf
  10. Interpolation methods for Curves http://www.scribd.com/doc/6911816/Hagan-West-Interpolation-methods-for-Curves
  11. Forward Induction and Constructon of Yield Curve Diffusion Models.
  12. Correlation: Pitfalls and Alternativeshttp://www.math.ethz.ch/~mcneil/ftp/risk.pdf
  13. A Perfect Calibration! Now what?http://www.mathfinance.de/workshop/2005/papers/tistaert/extension.pdf
  14. Stupid Data Miner Tricks: Overfitting the S&P500http://shookrun.com/documents/stupidmining.pdf
  15. Spurious regressions in econometrics http://ideas.repec.org/a/eee/econom/v2y1974i2p111-120.html

Other favorite authors of mine include Piterbarg, Rebonato,  and these guys…..http://www.math.umn.edu/~adams/Financial/Materials/tolmasky1.pdf

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

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