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:
- The Pricing of Options and Corporate Liabilities – http://www.cs.princeton.edu/courses/archive/fall09/cos323/papers/black_scholes73.pdf
- Portfolio selection – http://www.gacetafinanciera.com/TEORIARIESGO/MPS.pdf
- Pricing with a Smile – http://www.math.ku.dk/kurser/2005-1/finmathtowork//DupireRISK.PDF
- Capital Asset Prices –http://www.e-m-h.org/Shar64.pdf
- Option Pricing: A Simplified Approach – http://fisher.osu.edu/~fellingham_1/seminar/CRR79.pdf
- Theory of Rational Option Pricing – http://pchen.ccer.edu.cn/homepage/Homepage%20Chinese/AED2003/readingpapers/StochModel/MertonOption73.pdf
- Managing Smile Risk –http://www.math.columbia.edu/~lrb/sabrAll.pdf
- Bond Pricing and the term structure of interest rates by Heath et al.
- A Closed Form Solution for Options with Stochastic Volatility – http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.139.3204&rep=rep1&type=pdf
- Interpolation methods for Curves – http://www.scribd.com/doc/6911816/Hagan-West-Interpolation-methods-for-Curves
- Forward Induction and Constructon of Yield Curve Diffusion Models.
- Correlation: Pitfalls and Alternatives – http://www.math.ethz.ch/~mcneil/ftp/risk.pdf
- A Perfect Calibration! Now what? – http://www.mathfinance.de/workshop/2005/papers/tistaert/extension.pdf
- Stupid Data Miner Tricks: Overfitting the S&P500 – http://shookrun.com/documents/stupidmining.pdf
- 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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