Top Research Papers on Quantitative Finance

After emerging from the U.S. housing, finance and eventually real sectors, financial crisis has gradually become global. Although problems of structured finance are not new, primary and secondary mortgage market problems in U.S. are essential reasons of the current crisis. In this context, structured finance products/transactions, based on extremely optimistic expectations, light regulation and supervision framework and weak valuation and reporting structure, are of particular place in the process of crisis. In this paper, the author argues that global finance industry needs better regulatory ...

This book takes the reader through a fast but structured crash-course in quantitative finance, from theory to practice, and gives a quick hands-on introduction to the pricing of financial derivatives.

One of the earliest "alternative" science careers, quantitative finance is now deeply embedded in the world's finance industry

Introduction Mauro Cesa (Risk Magazine) Part 1 - Derivatives Pricing 1 - Smile dynamics IV Lorenzo Bergomi (Societe Generale) 2 - Funding beyond discounting: collateral agreements and derivatives pricing Vladimir Piterbarg (Barclays Capital) 3 - Two curves, one price Marco Bianchetti (Intesa Sanpaolo Bank) 4 - A Libor market model with a stochastic basis Fabio Mercurio (Bloomberg) 5 - Volatility interpolation Jesper Andreasen and Brian Huge (Danske Bank) 6 - Random grids Jesper Andreasen and Brian Huge (Danske Bank) 7 - Being particular about calibration Julien Guyon (Bloomberg) and Pierre Hen...

A handson guide with easy to follow examples to help you learn about option theory, quantitative finance, financial modeling, and time series using Python.

This Special Issue is to draw together connected papers which use the astonishing breadth of data available today, together with advances in computational techniques, to deliver insights into sectors of the financial world which could previously only be speculated upon.

This special issue contains selected papers submitted by participants of the 2nd International Symposium on Partial Differential Equations & Stochastic Analysis in Mathematical Finance, held during 6–10 January 2020 at Sanya, China.

Financial fraud has been with us since the beginning of recorded history. The motivation of some to gain by bypassing legal and moral codes appears to be hardwired into the human race. This paper underscores that one of the reasons for the repeated success of these schemes is that the rest of us are equally hardwired to trust where we should be sceptical, and to place undue trust in our flawed decision-making processes. This paper presents some tools for analysing whether an investment scheme may be fraudulent. Perhaps more importantly, it points to using the most successful fraud of modern hi...

In Computational Finance Using C and C# George Levy raises computational finance to the next level using the languages of both standard C andC#, and Illustrates the use of C# design patterns, including dictionaries, abstract classes, and .NET InteropServices.

This paper emphasizes the importance of identifying changes in financial cycles when predicting monthly US excess stock returns for the period 1977 2017. Incorporating regime switching into the predictive models improves the quality of the excess return forecasts in terms of market timing ability, economic value and stability. The Markov Switching models consisting of predictor variables selected based on their performance during bull and bear markets performs especially well. A mean-variance investor would be willing to pay several hundreds basis points to switch from the static benchmark por...

New stock financing is assuming increasing significance as a source of funds for private firms. The problem of management of external financing has grown as well. As a practical matter, financial managers must depend on the assistance of underwriters with respect to pricing and distribution of new corporate stock. But recent changes, some set in the context of the capital asset pricing model, imply systematic underpricing of new securities 2 by underwriters. If these charges are true, the financial manager is faced with the dilemma of paying monopsony profits, or accepting the cost and risk in...

In this paper, we show how market-technical trends can be calculated automatically from underlying priceprocessesusingastopandreverseprocess.Thebasictoolisasocalledminmaxprocessindicating allrelevantminimaandmaxima.Fortheexistenceoftheminmaxprocess,wegiveaconstructiveproof.Severalsuccessfultrend-followingtradingstrategiescanbeimplementedautomaticallybased onthis1-2-3-trendindicator.

Quantitative fi nance is a fi eld that has risen to prominence over the last few decades. It encompasses the complex models and calculations that value fi nancial contracts, particularly those which reference events in the future, and apply probabilities to these events. While adding greatly to the fl exibility of the market available to corporations and investors, it has also been blamed for worsening the impact of fi nancial crises. But what exactly does quantitative fi nance encompass, and where did these ideas and models originate? We show that the mathematics behind fi nance and behind games of ...

Arbitrage pricing theory underpins the historical growth and contemporary importance of financial derivative markets. The theory is developed systematically for equity, FX, commodity, fixed income, and credit markets. Discrete and continuous time dynamic models of asset prices are studied, developing the analytical insight of standard industry models, numerical schemes, and computational practice. These tools are used routinely by practitioners to value portfolios, hedge risk, determine regulatory capital requirements, and maintain and demonstrate regulatory compliance. The Quantitative Financ...

In the 2010/11 financial year, for example, the Auditor General of South Africa (AGSA) found that only 13 of 283 municipalities achieved a clean audit.

Finance orthodoxy views finance capital as privately supplied, inherently scarce, and limited to assets accumulated by rentiers and held in financial institutions to be “intermediated” between virtuous savers and needful end users. But this “intermediated scarce private capital” orthodoxy is false and profoundly antagonistic to both democracy and productive investment. This article offers a more accurate portrayal that captures the critical role the public plays in generating and allocating its own full faith and credit in monetized form. The financial system then looks like a franchise arrang...

In response to the financial crisis of 2007 – 2009, governments in the United States, Europe and elsewhere have invested billions of dollars in financial institutions to prevent them from going bankrupt and from further disrupting the global economy. Despite these massive public bail-outs, a government and "elite" consensus has emerged that these nationalized or quasi-nationalized financial institutions should be privatized as soon as possible, and that, apart from modest changes in financial regulation, our economies should return to the status quo ante financial structure as soon as possible...

Your broker is responsible to compare products and propose options to provide you with enough information to make an informed decision regarding the best suitable financial product for your unique requirements.

Finance has evolved historically as a distinctive system of activities. If production, consumption, and distribution or exchange – the market interface between production and consumption – are three different spheres of economic activity, then finance is a fourth sphere. It fulfills a specialized function: that of supplying and controlling credit. In a capitalist economy, credit needs to be obtained before a production cycle can start; credit, Keynes argued, is prior to production. Only after production has been financed can it result in employment income, part of which could then be used to g...

The textbook systematizes basic knowledge in the field of finance, financial analysis and financial management, presented in their direct relationship and significance from the point of view of evaluation, diagnosis, forecasting and monitoring of the continuity of the organization's activities. It includes seven chapters grouped into three sections. The first section is devoted to the theoretical foundations of the organization's financial management, stakeholders and sources of the organization's activities. The second section discusses the basics of financial analysis, providing knowledge of...

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[About the book]: The Routledge Companion to Accounting History shows how the seemingly innocuous practice of accounting has pervaded human existence in fascinating ways at numerous times and places; from ancient civilisations to the modern day, and from the personal to the political. Placing the history of accounting in context with other fields of study, the collection gives invaluable insights to subjects such as the rise of capitalism, the control of labour, gender and family relationships, racial exploitation, the functioning of the state, and the pursuit of military conflict. An en...

Finance and financial intermediation are central to modern economies. This book covers all of the material a sophisticated economist needs to know about this area. It begins with an overview of financial markets and their operation. It then covers asset pricing for standard assets and derivatives, and analyses what modern finance says about firm behaviour and capital structure. The book covers money, exchange rates, electronic payments methods, and cryptocurrencies. The book then covers financial intermediation. The book then examines the role played by finance and financial intermediation in ...

In this response to the commentaries, I extend my critique in a new direction, arguing that work on financialization has had the perverse effect of black boxing ‘finance’ and crucial dimensions thereof. In developing this argument, I draw explicitly on, while seeking to generalize from, incisive observations contained in the commentaries. In doing so, I argue that it is important to address limits to financialization—political limits—not identified and addressed in the original article.

Doing business in Africa is no less complex than anywhere else around the world - especially when it comes to understanding some of the critical financial complications.

This article reviews My Life As A Quant: Reflections on Physics and Finance by Emanuel Derman, 292 pp.

In the 1930s, when Keynes was writing about the importance of psychology in The General Theory of Employment, Interest, and Money, psychologists had not yet developed the tools upon which modern be...

Prologue: The Two Cultures. Physics and finance. What quants do. The Black-Scholes model. Quants and traders. Pure thought and beautiful mathematics can divine the laws of physics. Can they do the same for finance? Chapter 1. Elective Affinities. The attractions of science. The glory days of particle physics. Driven by ambitious dreams to Co-lumbia. Legendary physicists and budding wunderkinder. Talent vs. character, plans vs. luck. Chapter 2. Dog Years. Life as a graduate student. Wonderful lectures. T.D. Lee, the brightest star in the firmament. Seven lean years. Getting out of graduate scho...

The development of digital finance in China has significantly reduced enterprise financial risk, and for enterprises with low debt levels and enterprises located in the eastern region, digital finance plays a more critical role in reducing financial risk.

The rapid development of financial industries needs more and more high-quality financial talents. Finance subject establishment should be put in the right place; research on and probe into financial fundamental and forward position theories should be intensified; measures should be taken to renew hardware utilities related to financial teaching, to renew partial textbooks and to reform teaching methods; establishing of finance teaching teams should be put at a high premium; market demand should be taken as primary basis when financial talent fostering goal and mode; coordination rule for finan...

This study is based on the financial performance of Cholamandalam Finance and Muthoot Finance. The aim of the study is to compare the financial performance of both the company for the period of ten years using CAMEL approach, this study helps in understanding the importance of financial management and analyzing the overall performance using the camel rating system for NBFC sector. <br><br>The crucial part of analysis is collection of data and analyzing the data from the company point of view because different company considers different aspect of the calculations of the financials. <br><br>The...

Forecasting Financial Markets (FFM) is an International Conference on Quantitative Finance, which has been held in May/June each year since 1994. Since its inception, the Conference has grown in scope and stature to become a key international meeting point for those interested in Quantitative Finance, with the participation of both market professionals and academics, from across the globe. The purpose of this special issue is to present a selection of papers that make significant contributions in terms of methodology, techniques and econometrics in the field of Quantitative Finance. This issue...

The evolution of corporate capital structure theory in the literature of finance has been marked by the development of an increasingly imaginative rendition of market processes under conditions of uncertainty. Trade-offs between debt and equity sources of financing, and their consequent impact on shareholder wealth, have been the major concern. While the evolution is by no means complete, the notion of an efficient capital market in which investor decisions are focused on security portfolio building activities has provided significant insights into the range of opportunities open to corporate ...

CONTENTS I CALCULUS 1 Calculus 2 Linear Algebra 3 Sequences and Series 4 Differential Calculus 5 Integral Calculus 6 Remarkable Functions 7 Complex Numbers 8 Differential Equations 9 Transforms II PROBABILITY 10 Measure Theory 11 Probability Theory 12 Stochastic Calculus 13 Stochastic Differential Equations III FINANCE 14 Actuarial Calculus 15 Equity Derivatives Models 16 Term-Structure models INDEX

Finansal okuryazarlık üzerine geliştirilecek olan politikalar 2012 yılından beri özellikle Türkiye’nin de dâhil olduğu G20 ve OECD ülkeleri tarafından öncelikli küresel politikalar olarak kabul görmektedir. Son on yılda mobil cihazların kullanımı artmış olmakla beraber bilgiye erişim kolaylaşarak yeni olanaklar ortaya çıkmıştır. Bu araştırma finansal piyasalar ve okuryazarlık üzerine geliştirilmiş olan mobil uygulamaların internet kullanımını yönlendirerek finansal okuryazarlığı etkileyip etkilemediğini ve bireylerin etkin finansal aktör olabilmelerine dair herhangi bir yardımının varlığını in...

The worlds of Wall Street and The City have always held a certain allure, but in recent years have left an indelible mark on the wider public consciousness and there has been a need to become more financially literate. The quantitative nature of complex financial transactions makes them a fascinating subject area for mathematicians of all types, whether for general interest or because of the enormous monetary rewards on offer. An Introduction to Quantitative Finance concerns financial derivatives - a derivative being a contract between two entities whose value derives from the price of an unde...

"What initially looked like an impossible undertaking has become a formidable achievement, stretching from the theoretical foundations to the most recent cutting edge methods. Mille bravos!" - Dr Bruno Dupire (Bloomberg L.P.) The Encyclopedia of Quantitative Finance is a major reference work designed to provide a comprehensive coverage of essential topics related to the quantitative modelling of financial markets, with authoritative contributions from leading academics and professionals. Drawing on contributions from a wide spectrum of experts in fields including financial economics, econometr...

List of Figures . List of Tables. List of Examples . Foreword . Preface to Volume 1 . I.1 Basic Calculus for Finance . I.1.1 Introduction. I.1.2 Functions and Graphs, Equations and Roots. I.1.3 Differentiation and Integration. I.1.4 Analysis of Financial Returns. I.1.5 Functions of Several Variables. I.1.6 Taylor Expansion. I.1.7 Summary and Conclusions. I.2 Essential Linear Algebra for Finance . I.2.1 Introduction. I.2.2 Matrix Algebra and its Mathematical Applications. I.2.3 Eigenvectors and Eigenvalues. I.2.4 Applications to Linear Portfolios. I.2.5 Matrix Decomposition. I.2.6 Principal Com...

U radu se pored osnovnih modela financijeske matematike razmatraju i neki prosireni modeli zajmova sa varijabilnim anuitetima. Pored toga razmatraju se i metode ocjene financijskih projekata, posebno s visekriterijalnog aspekta

1. Introduction 2. Fundamental concepts and techniques 3. Modern portfolio theory 4. Market efficiency 5. Capital structure and dividends 6. Valuing levered projects 7. Option pricing in discrete time 8. Option pricing in continuous time 9. Real options analysis 10. Selected option applications 11. Hedging 12. Agency problems and governance Solutions to exercises Glossary Index.

Factorial moments are convenient tools in nuclear physics to characterize the multiplicity distributions when phase-space resolution ($\Delta$) becomes small. For uncorrelated particle production within $\Delta$, Gaussian statistics holds and factorial moments $F_q$ are equal to unity for all orders $q$. Correlations between particles lead to a broadening of the multiplicity distribution and to dynamical fluctuations. In this case, the factorial moments increase above 1 with decreasing $\Delta$. This corresponds to what can be called intermittency. In this letter, we show that a similar analys...

This book presents a novel approach to characterizing markets in quantitative terms. The examples cut across the world of interest rates, price of gold, stock market and corporate worlds that the stock market rests on, and the pricing of options on financial instruments. The emphasis is on methods of inquiry, methods that can just as easily be applied to other markets and other economic phenomena as well. The goal is to make the methods available to the widest possible audience of quantitative analysts and to the trading desks and investment plans they feed. Quantitative research and modeling ...

This book will introduce you to F#, using Visual Studio, and provide examples with functional programming and finance combined, and covers topics such as downloading, visualizing and calculating statistics from data.

1. Interest Rates and Asset Returns. 2. Presentation of Data and Descriptive Statistics. 3. Calculus Applied to Finance. 4. Probability Distributions: Applications to Asset Returns. 5. Statistical Inference: Confidence Intervals and Hypothesis Testing. 6. Regression Analysis. 7. Time Series Analysis. 8. Numerical Methods. 9. Optimization. 10. Continuous Time Mathematics in Finance: Asset Prices as a Stochastic Process. 11. Multivariate Analysis: Principal Components Analysis and Factor Analysis. Appendix: Statistical Tables. Index.

This introduction to recent developments in modeling equity returns provides a plain-English, formula-free review of quantitative methods—in particular, the trade-offs that must be made among model complexity, risk, and performance. The monograph also includes the results of a 2005 survey of the modeling practiced at 21 large asset management firms.

This thesis contributes to the quantitative finance literature and consists of four research papers.Paper 1. This paper constructs a hybrid commodity interest rate market model with a stochastic local volatility function that allows the model to simultaneously fit the implied volatility of commodity and interest rate options. Because liquid market prices are only available for options on commodity futures (not forwards), a convexity correction formula is derived to account for the difference between forward and futures prices. A procedure for efficiently calibrating the model to interest rate ...

The field of quantitative analysis is often mistaken to be a discipline free from ethical burdens. The quantitative financial analyst or ‘quant’ profession holds a position of significant responsibility as the keeper of mathematical models used in complex derivative security pricing and risk management. Despite this responsibility very few postgraduate programs address the teaching of ethics and professional standards in their curriculum, and the credibility of the profession has suffered as a result of several high-profile financial losses. Some of these failures could have been avoided and t...

The financial crisis of 2008-2009 took place exactly half a century after the publication of the seminal Modigliani and Miller (M&M) theorem, often called the capital structure irrelevance prin ...

In 1994 and 1998 F. Delbaen and W. Schachermayer published two breakthrough papers where they proved continuous-time versions of the Fundamental Theorem of Asset Pricing. This is one of the most remarkable achievements in modern Mathematical Finance which led to intensive investigations in many applications of the arbitrage theory on a mathematically rigorous basis of stochastic calculus. Mathematical Basis for Finance: Stochastic Calculus for Finance provides detailed knowledge of all necessary attributes in stochastic calculus that are required for applications of the theory of stochastic in...

Guide on resources for finance and quantitative finance SMU resources for analyst reports, industry reports and company annual reports.