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For those who want to start learning Quantitative trading without paying hefty broker fees, I would recommend free services like Yahoo Finance or Google Finance.
There is a nice comprehensive list created by Cliff Ngan, I thought it will be useful in this thread. Hats off to Cliff for creating this smart cheat sheet!
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by DERVIS BAYAZIT
1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
2 One Factor Interest Rate Models . . . . . . . . . . . . . . . . . . 7
2.1 Merton Model(1973) . . . . . . . . . . . . . . . . . . . . . . . . . 7
2.2 Vasicek Model(1977) . . . . . . . . . . . . . . . . . . . . . . . . . 8
2.3 Dothan Model (1978) . . . . . . . . . . . . . . . . . . . . . . . . . 10
2.4 Brennan-Schwartz Model (1980) . . . . . . . . . . . . . . . . . . . 11
2.5 Cox-Ingersoll-Ross (CIR) Model(1985) . . . . . . . . . . . . . . . 14
2.6 Ho-Lee Model(1986) . . . . . . . . . . . . . . . . . . . . . . . . . 14
2.7 Exponential Vasicek Model(EV) . . . . . . . . . . . . . . . . . . . 15
2.8 Black-Derman-Toy Model (1990) . . . . . . . . . . . . . . . . . . 17
2.9 Hull-White Extended Short Rate Models (1990) . . . . . . . . . . 17
2.9.1 Hull-White- Extended Vasicek Model . . . . . . . . . . . . 18
2.9.2 Hull-White Extended CIR Model . . . . . . . . . . . . . . 20
2.10 Black-Karazinsky Model (1991) . . . . . . . . . . . . . . . . . . . 20
vii
2.11 Geometric Brownian Motion (GBM) Model . . . . . . . . . . . . 21
2.12 Marsh-Rosenfeld Model(1983) . . . . . . . . . . . . . . . . . . . . 22
3 Yield Curve Modelling . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
3.1 Nelson-Siegel Yield Curve Model . . . . . . . . . . . . . . . . . . 25
3.2 Vasicek Yield Curve . . . . . . . . . . . . . . . . . . . . . . . . . 26
4 Applications . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35
4.1 Data Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35
4.2 Yield Curve Fitting with Nelson-Siegel Model . . . . . . . . . . . 37
4.3 Yield Curve Estimation with Vasicek Model . . . . . . . . . . . . 44
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