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.
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Options on Futures, akuna question
From the below question, I am unsure why the option expiring in November is given by the January future. I thought it was a graphical issue, but it is supposed to look like it’s shifted to the right.
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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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Recent developments in interest rate modelling
Brigo and Mercurio published the 2nd edition of their (classic? definitive?) book on interest rate models in 2006. Have there been any major theoretical developments since then? Has anyone published a ...
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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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A book that has exercises which closely resembles the content of Lorenzo's Stochastic Volatility Modeling book?
I'm currently going through Lorenzo Bergomi's book Stochastic Volatility Modeling. The one issue I have is that it does not contain exercises to test your knowledge and learn. Is there a textbook ...
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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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Resource recommendations: Levy process estimation using programming languages
Perhaps this type of question is not very suitable for this forum, but I'll try to make my question a little useful.
I'm studying stochastic processes, more precisely, Levy processes. A Levy process $...
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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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Why do we use the letter $q$ for dividends?
In derivative pricing models, we often use the letter $q$ to designate the dividend yield i.e.:
$$\textrm{d}S_t=S_t((\mu-q) \textrm{d}t+\sigma\textrm{d}W_t)$$
for the price process $S$ of the stock.
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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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Is there a general approach to predicting future (vanilla) option prices in practice?
I realize that this question may be verging on asking for the proprietary/"secret", so if suggestion of a general approach that doesn't divulge details isn't really possible, I understand.
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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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Is there a commonly accepted way to leverage the granularity of high frequency data while working within the constraints of lower frequencies?
Apologies if this is not the correct forum for this question.
Access to high frequency data (trade data, quote data, limit order book updates, etc.) is currently relatively easy through various public ...
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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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Optimal Input and Target Variables for Forecasting Using a Deep Neural Network on Daily Stock/Index Data [closed]
What is the optimal input and target variables for forecasting with a deep neural network on daily stock/index data? More specifically I’m training a temporal convolutional network, but a more general ...
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