Clik here to view.
Long Term Volatility Forecast
A summary of an excellent paper Long term volatility forecast, by Ederington, Louis H. and Guan, Wei, forthcoming at Journal of Financial and Quantitative Analysis (JFQA). Motivation: Option pricing...
View ArticleClik here to view.
Combined Portfolio Construction Strategies
A short summary of an excellent paper "Markowitz Meets Talmud: A Combination of Sophisticated and Naive Diversification Strategies" by Jun Tu and Guofu Zhou, published at Journal of Financial...
View ArticleClik here to view.
Realized Variance Estimation
A summary of paper Zero-intelligence realized variance estimation, by Jim Gatheral and Roel C.A. Oomen, published at FINANCE AND STOCHASTICS.Motivation: Accurate real-time volatility forecasts are...
View ArticleStatistical Arbitrage in the U.S. Equities Market
A good paper @ http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1153505.QuotationThe main contribution of the paper is the back-testing and comparison of market-neutral PCA- and ETF- based strategies...
View ArticlePaper to Understand Credit Default Swap Valuation
Credit Default Swap (CDS) has existed since the early 1990s, and the market increased tremendously starting in 2003, the outstanding amount was $62.2 trillion by the end of 2007. You can download the...
View ArticleClik here to view.
A Review of “Quantitative Trading: How to Build Your Own Algorithmic Trading...
This is a review of the book “Quantitative Trading: How to Build Your Own Algorithmic Trading Business”, which is published by Wiley Trading, and written by Dr. Ernest Chan. Dr. Chan is and has been an...
View ArticleClik here to view.
On the Number of State Variables in Options Pricing
Read an interesting paper last week "On the Number of State Variables in Options Pricing" by Gang Li, Chu Zhang. As the title suggests, this paper is trying to identify how many state variables are...
View ArticleClik here to view.
Intermarket Technical Analysis: Trading Strategies for the Global Stock,...
The book Intermarket Technical Analysis: Trading Strategies for the Global Stock, Bond, Commodity, and Currency Markets is published by Wiley Finance, and authored by John Murphy. There is very little...
View ArticleClik here to view.
Inside the Black Box: The Simple Truth About Quantitative Trading
This article is a book review for “Inside the Black Box: The Simple Truth About Quantitative Trading”, which is published by Wiley Finance, and written by Rishi K. Narang. This is an exceptional book...
View ArticleClik here to view.
Quantitative Trading Strategies: Harnessing the Power of Quantitative...
This article is a short review of the book “Quantitative Trading Strategies: Harnessing the Power of Quantitative Techniques to Create a Winning Trading Program”, which is published by McGraw-Hill...
View ArticleCoherent Global Market Simulations and Securitization Measures for...
Counterparty risk has been increasingly popular largely due to the recent credit crisis (a crisis timeline was shared at an older post credit crisis timeline), however, most of valuing, hedging and...
View ArticleClik here to view.
Frequently Asked Questions in Quantitative Finance
The following article is a review of the book, “Frequently Asked Questions in Quantitative Finance”, which is published by (Wiley Series in Financial Engineering) (Paperback), and written by Paul...
View ArticleClik here to view.
Demystifying the Job Search Process in Quantitative Finance
This is a book review for “Demystifying the Job Search Process in Quantitative Finance”, which was published by the Kindle Edition, and written by James Lin.This book was written specifically for the...
View ArticleClik here to view.
Constructing 130/30 Portfolios with the Omega Ratio
Constructing 130/30-Portfolios with the Omega ratio is an interesting paper forthcoming in Journal of Asset Management by Gilli, Manfred, Schumann, Enrico, Di Tollo, Giacomo and Cabej, Gerda. Typical...
View ArticleClik here to view.
A Practical Guide To Quantitative Finance Interviews
This short article is a book review for “A Practical Guide To Quantitative Finance Interviews”, which is a paperback, and was written by Xinfeng Zhou.So, you will be soon graduating, and looking for...
View ArticleClik here to view.
How I Became a Quant: Insights from 25 of Wall Streets Elite
The following article is a book review for “How I Became a Quant: Insights from 25 of Wall Street's Elite”, which was edited by Richard R. Lindsey and Barry Schachter, and is a paperback.The book is a...
View ArticleClik here to view.
A Comparative Study of Range-based Stock Return Volatility Estimators for the...
Needless to say, volatility estimation is crucial for finance application, chasing for a more accurate volatility estimate method seems endless and is always at the center of finance research. In the...
View ArticleClik here to view.
Financial Risk Forecasting
Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market risk. Derived from the authors teaching notes and years spent training...
View ArticleClik here to view.
Credit Informed Tactical Asset Allocation
Tactical asset allocation (TAA) is a dynamic investment strategy that actively adjusts a portfolio’s asset allocation in order to improve the risk-adjusted returns of passive management investing. We...
View ArticleAdding and Subtracting Black-Scholes:A New Approach to Approximating...
To be honest, I haven't read this paper yet as my research interest has moved gradually from no-arbitrage to arbitrage valuation, however, this paper Adding and Subtracting Black-Scholes:A New Approach...
View Article
