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Displayed by: Hits
Category: Options
Rank Title Category Hits Rating Vote
1 A Practitioner's Guide to Pricing and Hedging Callable Libor Exotics in Forward Libor Models Bermudan Option 1071 0.00 0
2 Barrier Options Barrier Option 994 0.00 0
3 Applications of Quanto Quanto 883 0.00 0
4 Static Replication Methods for Vanilla Barrier Options Barrier Option 796 10.00 2
5 APPLICATION OF FINITE DIFFERENCE METHOD FOR PRICING BARRIER OPTIONS Barrier Option 775 1.00 1
6 Efcient Numerical Methods for Pricing American Options Under Stochastic Volatility American Option 755 0.00 0
7 Interest Rate Options - Saurav Sen Interest Rate Options 733 0.00 0
8 Hedging of barrier options Barrier Option 730 7.00 7
9 FX Options and Structured products FX Options 715 0.00 0
10 Exotic Swaps and Options Options 706 0.00 0

Category: Fixed Income Models
Rank Title Category Hits Rating Vote
1 Hull White Monte Carlo simulation Hull White 2334 7.00 4
2 YIELD CURVE ESTIMATION AND PREDICTION WITH VASICEK MODEL Vasicek 1976 0.00 0
3 Lecture notes on Term structure models Fixed Income Models 1828 6.00 4
4 Affine Term-Structure Models: Theory and Implementation Vasicek 1706 0.00 0
5 SIMULATION OF THE SHORT INTEREST RATE BY THE VASICEK MODEL Vasicek 1607 0.00 0
6 interest rate modeling, estimation of the parameters of vasicek model Vasicek 1556 0.00 0
7 STOCHASTIC VOLATILITY, A NEW APPROACH FOR VASICEK MODEL WITH STOCHASTIC VOLATILITY Vasicek 1237 10.00 13
8 Interest Rate Models: Hull White Hull White 1211 6.00 2
9 The General Hull-White Model and Super Calibration Hull White 1192 6.00 3
10 The Hull-White Trinomial Tree of Interest Rates Hull White 1108 9.00 3

Category: Option Pricing Models
Rank Title Category Hits Rating Vote
1 The Heston Model:A Practical Approach Heston 3353 8.00 8
2 Using SABR model to produce smooth local volatility surfaces SABR model 3084 6.00 3
3 An almost exact simulation method for Heston Model Heston 1430 0.00 0
4 Stochastic Volatility Models of Heston Type (lecture with code) Heston 1425 0.00 0
5 Pricing Options on Realized Volatility in Heston Model with Volatility Jumps Heston 1400 9.00 6
6 Calibration of the Heston Model with Application in Derivative Pricing and Hedging Heston 1286 0.00 0
7 Lecture notes on Merton Merton Jump Diffusion 1249 0.00 0
8 Numerical Methods for Stochastic Volatility: Fourier Methods, PDEs and Monte Carlo Heston 1154 10.00 2
9 Pricing Equity Derivatives under Stochastic Volatility : A Partial Differential Equation Approach Heston 1003 6.00 2
10 The calibration of the Heston stochastic volatility model using filtering and maximum likelihood met Heston 894 0.00 0

Category: Option Pricing Methods
Rank Title Category Hits Rating Vote
1 A fast and accurate FFT-based method for pricing early-exercise options under L Fast Fourier Transform 3198 0.00 0
2 Option Pricing - A Simplified Approach Binomial Tree 1216 10.00 2
3 Finite difference notes and Matlab examples by Dr. Zhilin Li Finite Difference 1075 8.00 3
4 Introduction to Monte Carlo Algorithms Monte Carlo 931 0.00 0
5 Option Pricing with The Fourier Transform Method, Based on The Stochastic Volatility Model Fast Fourier Transform 828 0.00 0
6 An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations Monte Carlo 662 0.00 0
7 A C++ Encoded Hull-White Interest Rate Tree-Builder Trinomial Tree 659 8.00 3
8 Accurate Finite Difference Methods for Option Pricing Finite Difference 656 0.00 0
9 Numerical methods for option pricing in jump-diffusion markets Finite Difference 640 0.00 0
10 Accelerating the Calibration of Stochastic Volatility Models Fast Fourier Transform 621 0.00 0

Category: General
Rank Title Category Hits Rating Vote
1 Steven Shreve: Stochastic Calculus and Finance Stochastic Calculus 1443 0.00 0
2 Excellent collection of Quant Finance papers General 1438 10.00 3
3 Malliavin Calculus in Finance Malliavin Calculus 960 0.00 0
4 AN INTRODUCTION TO MALLIAVIN CALCULUS WITH APPLICATIONS TO ECONOMICS Malliavin Calculus 818 2.00 1
5 THE MALLIAVIN CALCULUS Malliavin Calculus 785 0.00 0
6 An Introduction to Brownian Motion and Stochastic Calculus Stochastic Calculus 761 8.00 2
7 Lecture notes on Mathematical Finance by Alvaro Cartea General 698 10.00 1
8 Stochastic Calculus for Finance Stochastic Calculus 670 0.00 0
9 Basics of Stochastic Analysis Stochastic Calculus 659 0.00 0
10 Analytics Architecture for Equity-Linked Derivatives General 633 0.00 0

Category: Interest Rate and Credit Derivatives
Rank Title Category Hits Rating Vote
1 Lecture notes on CDOs and CDO squared CDOs 4420 7.00 12
2 An Examination of the Convexity Adjustment Technique in the Pricing of Constant Maturity Swaps Constant Maturity Swap 2955 3.00 4
3 Copula Functions and their Application in Pricing and Risk Managing Multiname Credit Derivative Prod CDOs 2194 0.00 0
4 THE LEHMAN BROTHERS GUIDE TO EXOTIC CREDIT DERIVATIVES Interest Rate and Credit Derivatives 2156 8.00 4
5 Valuation of a CDO and an nth to Default CDS Without Monte Carlo Simulation CDOs 2118 6.00 2
6 CDO Thesis CDOs 1841 6.00 3
7 Lecture notes on convexity adjustment Constant Maturity Swap 1741 6.00 1
8 Approximating CMS Spread Options using the Swap Market Model Constant Maturity Swap 1738 4.00 5
9 Credit Default Swap (CDS) Primer Credit Default Swap 1737 0.00 0
10 Cross currency swap valuation Cross Currency Swap 1311 0.00 0

Category: Econometrics
Rank Title Category Hits Rating Vote
1 Volatility Forecasting GARCH 2349 6.00 2
2 Generalized Method of Moments - lecture notes by Stanislav Radchenko Bayesian Analysis 1249 9.00 2
3 time series analysis - full book Time Series Analysis 1074 10.00 3
4 Notes on implementation of Vector Autoregression (VAR) model Time Series Analysis 1066 0.00 0
5 Introduction to Garch type models GARCH 921 2.00 3
6 Tutorial Financial Econometrics/Statistics Econometrics 823 6.00 1
7 Time Series Analysis Tutorial Time Series Analysis 817 2.00 2
8 GARCH Modelling GARCH 816 0.00 0
9 LECTURES IN TIME-SERIES ANALYSIS AND FORECASTING Time Series Analysis 753 6.00 1
10 Introduction to Monte Carlo and MCMC Methods MCMC 702 0.00 0

Category: Portfolio Management
Rank Title Category Hits Rating Vote
1 Stat-Arb using Cointegration on the Equity Market Statistical Arbitrage 2172 0.00 0
2 some lecture notes on basics of statistical arbitrage Statistical Arbitrage 1637 6.00 1
3 A Market Neutral Statistical Arbitrage Trading Model Statistical Arbitrage 1632 0.00 0
4 The Black-Litterman Model Black Litterman model 1537 9.00 5
5 A Computational Methodology for Modelling the Dynamics of Statistical Arbitrage Statistical Arbitrage 1328 0.00 0
6 A Statistical Arbitrage Strategy Statistical Arbitrage 1220 0.00 0
7 Presentation on Black Litterman model Black Litterman model 1105 0.00 0
8 The Black-Litterman Model Black Litterman model 1103 10.00 1
9 An intelligent statistical arbitrage trading system Statistical Arbitrage 1014 0.00 0
10 A ROBUST NON-LINEAR MULTIVARIATE KALMAN FILTER FOR ARBITRAGE IDENTIFICATION IN HIGH FREQUENCY DATA Statistical Arbitrage 988 0.00 0

Category: Mortgage Backed Securities
Rank Title Category Hits Rating Vote
1 Pricing Mortgage-backed Securities and Collateralized Mortgage Obligations Mortgage Backed Securities 748 7.00 1
2 Pricing Mortgage-Backed Securities using Prepayment Functions and Pathwise Monte Carlo Simulation. Mortgage Backed Securities 583 0.00 0
3 Pricing Mortgage-Backed Securities Mortgage Backed Securities 454 0.00 0
4 EFFICIENT VALUE-AT-RISK ESTIMATION FOR MORTGAGE-BACKED SECURITIES Mortgage Backed Securities 428 0.00 0
5 What Constitutes a Good Model? An Analysis of Models for Mortgage Backed Securities Mortgage Backed Securities 350 0.00 0
6 Computation of the Endogenous Mortgage Rates with Randomized Quasi-Monte Carlo Simulations Mortgage Backed Securities 340 0.00 0
7 Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Densit Mortgage Backed Securities 299 0.00 0
8 A 3-Factor Valuation Model for Mortgage-Backed Securities (MBS) Mortgage Backed Securities 289 0.00 0
9 Path Generation for Quasi Mortgage Backed Securities 277 0.00 0

Category: Programming
Rank Title Category Hits Rating Vote
1 Applied Econometrics using MATLAB Matlab 1294 10.00 2
2 Option Pricing with Excel Excel 940 0.00 0
3 Numerical Methods with MATLAB: Implementations and Applications Matlab 917 0.00 0
4 C++ Language Tutorial C++ 688 10.00 1
5 An Introduction to Matlab by David F. Griffiths Matlab 428 0.00 0
6 Thinking in C# C# 362 0.00 0
7 Standard Template Library Programmer's Guide C++ 348 0.00 0
8 C++ FAQ LITE — Frequently Asked Questions C++ 301 0.00 0
9 Thinking in C++ book by Bruce Eckel C++ 255 0.00 0
10 Using R for Introductory Statistics R 240 0.00 0

Category: Numerical Methods
Rank Title Category Hits Rating Vote
1 Lecture Notes on Numerical Methods Numerical Methods 807 0.00 0
2 Numerical PDE Methods for Pricing Path Dependent Options Numerical Methods 790 0.00 0
3 Algorithms for programmers Numerical Methods 653 0.00 0
4 Numerical Methods in Finance Numerical Methods 634 0.00 0
5 Numerical Finance I Numerical Methods 543 0.00 0
6 Numerical methods for option pricing Numerical Methods 526 0.00 0
7 NUMERICAL METHODS FOR THE VALUATION OF FINANCIAL DERIVATIVES Numerical Methods 507 0.00 0
8 Uwe Wystup's Lecture on Numerical Methods for Derivatives Pricing Numerical Methods 501 0.00 0
9 Numerical Microsoft Excel Tutorials by Kardi Teknomo Numerical Methods 406 0.00 0
10 Optimization notes and papers Numerical Methods 384 0.00 0

Category: Mathematics
Rank Title Category Hits Rating Vote
1 Differential Equations book by Paul Dawkins Mathematics 569 10.00 1
2 Numerical Methods for Partial Differential Equations: an Overview and Applications Mathematics 535 0.00 0
3 S.O.S. MATHematics Mathematics 488 0.00 0
4 On Stiffness in Affine Asset Pricing Models Mathematics 185 0.00 0

Category: Options Trading
Rank Title Category Hits Rating Vote
1 User Guide for Johansen's Method Pairs Trading 3062 7.00 5
2 Pairs Trading, Convergence Trading, Cointegration Pairs Trading 2394 9.00 3
3 Pairs Trading: A Professional Approach Pairs Trading 1527 0.00 0
4 HEDGING STRATEGIES Dynamic Hedging 1112 0.00 0
5 pairs trading - full book Pairs Trading 1094 10.00 11
6 A New Approach to Modeling and Estimation for Pairs Trading Pairs Trading 1023 0.00 0
7 PAIRS TRADING Pairs Trading 1020 0.00 0
8 SIMULATED TRADING-AN ANALYSIS OF PAIRS TRADING Pairs Trading 844 0.00 0
9 Pairs Trading hosted by Tom Preston Pairs Trading 790 0.00 0
10 Implied Volatility: Statics, Dynamics, and Probabilistic Interpretation Implied or realized volatility 735 0.00 0

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Sector Hedge Fund Credit Derivatives Mortgage Trading Equity Derivates Front Office Fixed Income

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