Browse links by alphabetical listing
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Displayed by: Rating
Category: Options
| Rank | Title | Category | Hits | Rating | Vote |
|---|---|---|---|---|---|
| 1 | Pricing Multivariate Options by Monte Carlo Simulation | Options | 346 | 10.00 | 2 |
| 2 | Valuing American Options by Simulation: A Simple Least-Squares Approach | American Option | 550 | 10.00 | 1 |
| 3 | THE PRICING OF ASIAN OPTIONS | Asian Option | 491 | 10.00 | 1 |
| 4 | Static Replication Methods for Vanilla Barrier Options | Barrier Option | 796 | 10.00 | 2 |
| 5 | Variance Reduction for Asian Options | Asian Option | 243 | 8.00 | 1 |
| 6 | It | Options | 335 | 8.00 | 5 |
| 7 | Hedging of barrier options | Barrier Option | 730 | 7.00 | 7 |
| 8 | High dimensional American Options | American Option | 353 | 2.00 | 1 |
| 9 | APPLICATION OF FINITE DIFFERENCE METHOD FOR PRICING BARRIER OPTIONS | Barrier Option | 775 | 1.00 | 1 |
| 10 | On the valuation of arithmetic-average Asian options: the Geman-Yor Laplace transform revisited | Asian Option | 311 | 0.00 | 0 |
Category: Fixed Income Models
| Rank | Title | Category | Hits | Rating | Vote |
|---|---|---|---|---|---|
| 1 | Fixed Income Analysis: Securities, Pricing, and Risk Management | Fixed Income Models | 372 | 10.00 | 1 |
| 2 | Implementations of the LIBOR Market Model | LMM | 763 | 10.00 | 1 |
| 3 | INTEREST RATE THEORY THE BGM MODEL | LMM | 1026 | 10.00 | 1 |
| 4 | STOCHASTIC VOLATILITY, A NEW APPROACH FOR VASICEK MODEL WITH STOCHASTIC VOLATILITY | Vasicek | 1234 | 10.00 | 13 |
| 5 | FORWARD RATE VOLATILITIES, SWAP RATE VOLATILITIES, AND THE IMPLEMENTATION OF THE LIBOR MARKET MODEL | LMM | 596 | 10.00 | 2 |
| 6 | Book on Modeling the Term Structure of Interest Rates | Fixed Income Models | 404 | 9.00 | 2 |
| 7 | The Hull-White Trinomial Tree of Interest Rates | Hull White | 1104 | 9.00 | 3 |
| 8 | INTEREST RATE MODEL CALIBRATION AND RISK-MANAGEMENT USING SEMIDEFINITE PROGRAMMING | Fixed Income Models | 268 | 8.00 | 1 |
| 9 | Fixed Income lecture notes by Yuri Balasanov et al | Fixed Income Models | 476 | 8.00 | 2 |
| 10 | A Practical Implementation of the Heath | LMM | 544 | 8.00 | 1 |
Category: Option Pricing Models
| Rank | Title | Category | Hits | Rating | Vote |
|---|---|---|---|---|---|
| 1 | Numerical Methods for Stochastic Volatility: Fourier Methods, PDEs and Monte Carlo | Heston | 1153 | 10.00 | 2 |
| 2 | MANAGING SMILE RISK | SABR model | 498 | 10.00 | 1 |
| 3 | Pricing European-Style Options under Jump Diffusion Processes with Stochastic Volatility: Applicatio | Heston | 459 | 10.00 | 1 |
| 4 | Effective Parameters for Stochastic Volatility Models | SABR model | 209 | 10.00 | 1 |
| 5 | Pricing Options on Realized Volatility in Heston Model with Volatility Jumps | Heston | 1397 | 9.00 | 6 |
| 6 | Calibration of the SABR Model in Illiquid Markets | SABR model | 306 | 9.00 | 1 |
| 7 | Pricing European-Style Options under Jump Diffusion Processes with Stochastic Volatility | Merton Jump Diffusion | 711 | 9.00 | 2 |
| 8 | Levy Models in Option Pricing | Levy model | 425 | 9.00 | 1 |
| 9 | Probability distribution of returns in the Heston model with stochastic volatility | Heston | 501 | 8.00 | 1 |
| 10 | The Heston Model:A Practical Approach | Heston | 3349 | 8.00 | 8 |
Category: Option Pricing Methods
| Rank | Title | Category | Hits | Rating | Vote |
|---|---|---|---|---|---|
| 1 | Option Pricing - A Simplified Approach | Binomial Tree | 1215 | 10.00 | 2 |
| 2 | Monte Carlo Simulation notes by Martin Haugh | Monte Carlo | 548 | 10.00 | 1 |
| 3 | Option Valuation using the Fourier Transform Method | Fast Fourier Transform | 600 | 9.00 | 2 |
| 4 | Finite-Di | Finite Difference | 439 | 9.00 | 3 |
| 5 | Numerical Methods for Option Pricing: Binomial and Finite-difference Approximations | Finite Difference | 394 | 8.00 | 1 |
| 6 | Differential Equations and Asymptotic Solutions for Arithmetic Asian Options | Asymptotic expansion | 217 | 8.00 | 2 |
| 7 | A C++ Encoded Hull-White Interest Rate Tree-Builder | Trinomial Tree | 659 | 8.00 | 3 |
| 8 | Finite difference notes and Matlab examples by Dr. Zhilin Li | Finite Difference | 1074 | 8.00 | 3 |
| 9 | MONTE CARLO SIMULATION AND FINANCE | Monte Carlo | 602 | 7.00 | 2 |
| 10 | The Binomial model | Binomial Tree | 553 | 6.00 | 1 |
Category: General
| Rank | Title | Category | Hits | Rating | Vote |
|---|---|---|---|---|---|
| 1 | Lecture notes on Mathematical Finance by Alvaro Cartea | General | 696 | 10.00 | 1 |
| 2 | Excellent collection of Quant Finance papers | General | 1423 | 10.00 | 3 |
| 3 | Financial Modeling II notes by Dr. Ren-Raw Chen | General | 385 | 10.00 | 1 |
| 4 | Analysis of High Frequency Financial Data | High Frequency Finance | 410 | 10.00 | 1 |
| 5 | Computational Finance - slides and code by Paolo Foschi | General | 450 | 9.00 | 3 |
| 6 | Credit Barrier Models | Hahn Process | 220 | 8.00 | 1 |
| 7 | An Introduction to Brownian Motion and Stochastic Calculus | Stochastic Calculus | 758 | 8.00 | 2 |
| 8 | Computation of Multivariate Barrier Crossing Probability, and Its Applications in Finance | General | 272 | 8.00 | 13 |
| 9 | Lecture notes on Computational finance | General | 574 | 8.00 | 1 |
| 10 | Lecture notes on Analytical Finance by Jan Roman | General | 579 | 8.00 | 6 |
Category: Interest Rate and Credit Derivatives
| Rank | Title | Category | Hits | Rating | Vote |
|---|---|---|---|---|---|
| 1 | Interest Rate Derivatives: Lecture notes | Interest Rate and Credit Derivatives | 660 | 10.00 | 2 |
| 2 | Pricing and Risk Analysis of correlation Products: Evidence of Synthetic CDO Swaps | CDOs | 866 | 10.00 | 1 |
| 3 | VALUING CREDIT DEFAULT SWAPS I:NO COUNTERPARTY DEFAULT RISK | Credit Default Swap | 398 | 10.00 | 2 |
| 4 | Extended CreditGrades Model with Stochastic Volatility and Jumps | Credit Default Swap | 778 | 10.00 | 1 |
| 5 | Decomposing Swap Spreads | Interest Rate Swap | 354 | 10.00 | 3 |
| 6 | Convexity conundrums (Risk magazine by George Kirikos) | Constant Maturity Swap | 724 | 10.00 | 1 |
| 7 | Hedging Variance Options on Continuous Semimartingales | Variance and Volatility Swap | 422 | 8.00 | 5 |
| 8 | Credit Risk Models IV: Understanding and pricing CDOs | CDOs | 822 | 8.00 | 9 |
| 9 | All your hedges in one basket | CDOs | 796 | 8.00 | 3 |
| 10 | Levy Base Correlation | CDOs | 528 | 8.00 | 1 |
Category: Econometrics
| Rank | Title | Category | Hits | Rating | Vote |
|---|---|---|---|---|---|
| 1 | time series analysis - full book | Time Series Analysis | 1070 | 10.00 | 3 |
| 2 | Generalized Method of Moments - lecture notes by Stanislav Radchenko | Bayesian Analysis | 1246 | 9.00 | 2 |
| 3 | Filtering in Finance | Kalman Filter | 493 | 9.00 | 1 |
| 4 | Kalman Filter and its Economic Applications | Kalman Filter | 617 | 8.00 | 1 |
| 5 | Forecasting Financial Time Series Using Model Averaging | Time Series Analysis | 364 | 8.00 | 1 |
| 6 | LECTURES IN TIME-SERIES ANALYSIS AND FORECASTING | Time Series Analysis | 751 | 6.00 | 1 |
| 7 | Least Squares Monte-Carlo and GARCH Methods for American Options: Theory and Applications | GARCH | 568 | 6.00 | 1 |
| 8 | MCMC Methods for Continuous-Time Financial Econometrics | MCMC | 399 | 6.00 | 1 |
| 9 | Volatility Forecasting | GARCH | 2347 | 6.00 | 2 |
| 10 | Tutorial Financial Econometrics/Statistics | Econometrics | 823 | 6.00 | 1 |
Category: Portfolio Management
| Rank | Title | Category | Hits | Rating | Vote |
|---|---|---|---|---|---|
| 1 | Flexible least squares for temporal data mining and statistical arbitrage | Statistical Arbitrage | 806 | 10.00 | 2 |
| 2 | The Black-Litterman Model | Black Litterman model | 1098 | 10.00 | 1 |
| 3 | A STEP-BY-STEP GUIDE TO THE BLACK-LITTERMAN MODEL | Black Litterman model | 821 | 10.00 | 2 |
| 4 | The Black-Litterman Model | Black Litterman model | 1535 | 9.00 | 5 |
| 5 | Statistical Arbitrage Based on No-Arbitrage Dynamic Term Structure Models | Statistical Arbitrage | 571 | 6.00 | 1 |
| 6 | BEHAVIORAL STATISTICAL ARBITRAGE | Statistical Arbitrage | 811 | 6.00 | 2 |
| 7 | some lecture notes on basics of statistical arbitrage | Statistical Arbitrage | 1631 | 6.00 | 1 |
| 8 | book : The Stochastic Programming Approach to Asset, Liability and Wealth Management | Portfolio Management | 244 | 6.00 | 1 |
| 9 | A SURE THING! NO RISK AND SURE PROFITS | Statistical Arbitrage | 591 | 5.00 | 4 |
| 10 | Articles by Aaaron Brown | Portfolio Management | 176 | 4.00 | 1 |
Category: Mortgage Backed Securities
Category: Programming
| Rank | Title | Category | Hits | Rating | Vote |
|---|---|---|---|---|---|
| 1 | Applied Econometrics using MATLAB | Matlab | 1293 | 10.00 | 2 |
| 2 | C++ Language Tutorial | C++ | 685 | 10.00 | 1 |
| 3 | An Introduction to R | R | 208 | 6.00 | 1 |
| 4 | UNIX Books | UNIX | 12 | 0.00 | 0 |
| 5 | Notes on R by Bill Venables & Dave Smith | R | 193 | 0.00 | 0 |
| 6 | Using R for Introductory Statistics | R | 236 | 0.00 | 0 |
| 7 | Thinking in C# | C# | 360 | 0.00 | 0 |
| 8 | C++ FAQ LITE — Frequently Asked Questions | C++ | 299 | 0.00 | 0 |
| 9 | Lecture notes on Advanced C UNIX programming | C++ | 142 | 0.00 | 0 |
| 10 | C UNIX Programming course by Steve Holmes | C++ | 105 | 0.00 | 0 |
Category: Numerical Methods
| Rank | Title | Category | Hits | Rating | Vote |
|---|---|---|---|---|---|
| 1 | Numerical Analysis - Numerical Methods notes by Prof. John H. Mathews | Numerical Methods | 198 | 10.00 | 1 |
| 2 | Algorithms for programmers | Numerical Methods | 653 | 0.00 | 0 |
| 3 | NUMERICAL METHODS FOR THE VALUATION OF FINANCIAL DERIVATIVES | Numerical Methods | 507 | 0.00 | 0 |
| 4 | Introduction to Numerical Methods in Probability for Finance | Numerical Methods | 327 | 0.00 | 0 |
| 5 | Numerical Microsoft Excel Tutorials by Kardi Teknomo | Numerical Methods | 402 | 0.00 | 0 |
| 6 | Uwe Wystup's Lecture on Numerical Methods for Derivatives Pricing | Numerical Methods | 498 | 0.00 | 0 |
| 7 | Numerical Methods in Finance | Numerical Methods | 634 | 0.00 | 0 |
| 8 | numerical method papers by Nick Higham | Numerical Methods | 267 | 0.00 | 0 |
| 9 | Optimization notes and papers | Numerical Methods | 383 | 0.00 | 0 |
| 10 | Numerical PDE Methods for Pricing Path Dependent Options | Numerical Methods | 786 | 0.00 | 0 |
Category: Mathematics
| Rank | Title | Category | Hits | Rating | Vote |
|---|---|---|---|---|---|
| 1 | Differential Equations book by Paul Dawkins | Mathematics | 568 | 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 | 487 | 0.00 | 0 |
| 4 | On Stiffness in Affine Asset Pricing Models | Mathematics | 184 | 0.00 | 0 |
Category: Options Trading
| Rank | Title | Category | Hits | Rating | Vote |
|---|---|---|---|---|---|
| 1 | pairs trading - full book | Pairs Trading | 1090 | 10.00 | 11 |
| 2 | Implied Volatility String Dynamics | Implied or realized volatility | 188 | 10.00 | 1 |
| 3 | Pairs Trading, Convergence Trading, Cointegration | Pairs Trading | 2389 | 9.00 | 3 |
| 4 | ESTIMATING AND PREDICTING VOLATILITY BY USING IMPLIED AND HISTORICAL VOLATILITIES | Implied or realized volatility | 598 | 9.00 | 25 |
| 5 | Modelling the implied volatility surface: an empirical study for FTSE options | Implied or realized volatility | 194 | 8.00 | 1 |
| 6 | User Guide for Johansen's Method | Pairs Trading | 3049 | 7.00 | 5 |
| 7 | Lecture notes on Cointegration by Herman J. Bierens | Pairs Trading | 726 | 7.00 | 3 |
| 8 | The Volatility Smile and Its Implied Tree | Implied or realized volatility | 689 | 6.00 | 1 |
| 9 | Implied Volatility Modeling | Implied or realized volatility | 316 | 6.00 | 6 |
| 10 | Guided tour on Johansen's cointegration analysis | Pairs Trading | 601 | 4.00 | 2 |
