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accounting factors. An investment manager might implement this analysis by buying the underpriced stocks, selling the overpriced stocks, or both. Statistically oriented quantitative analysts tend to have more of a reliance on statistics and econometrics, and less of a reliance on sophisticated numerical techniques and object-oriented programming. These quantitative analysts tend to be of the psychology that enjoys trying to find the best approach to modeling data, and can accept that there is no "right answer" until time has passed and we can retrospectively see how the model performed. Both types of quantitative analysts demand a strong knowledge of sophisticated mathematics and computer programming proficiency.
843:. The majority of quantitative analysts have received little formal education in mainstream economics, and often apply a mindset drawn from the physical sciences. Quants use mathematical skills learned from diverse fields such as computer science, physics and engineering. These skills include (but are not limited to) advanced statistics, linear algebra and partial differential equations as well as solutions to these based upon
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processes. Merton was motivated by the desire to understand how prices are set in financial markets, which is the classical economics question of "equilibrium", and in later papers he used the machinery of stochastic calculus to begin investigation of this issue. At the same time as Merton's work and
950:
A typical problem for a statistically oriented quantitative analyst would be to develop a model for deciding which stocks are relatively expensive and which stocks are relatively cheap. The model might include a company's book value to price ratio, its trailing earnings to price ratio, and other
493:
Front office work favours a higher speed to quality ratio, with a greater emphasis on solutions to specific problems than detailed modeling. FOQs typically are significantly better paid than those in back office, risk, and model validation. Although highly skilled analysts, FOQs frequently lack
211:
and statistical analysis to successfully win blackjack games. His research was subsequently used during the 1980s and 1990s by investment management firms seeking to generate systematic and consistent returns in the U.S. stock market. The field has grown to incorporate numerous approaches and
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A typical problem for a mathematically oriented quantitative analyst would be to develop a model for pricing, hedging, and risk-managing a complex derivative product. These quantitative analysts tend to rely more on numerical analysis than statistics and econometrics. One of the principal
755:
Post crisis, regulators now typically talk directly to the quants in the middle office - such as the model validators - and since profits highly depend on the regulatory infrastructure, model validation has gained in weight and importance with respect to the quants in the front office.
164:'s 1952 doctoral thesis "Portfolio Selection" and its published version was one of the first efforts in economics journals to formally adapt mathematical concepts to finance (mathematics was until then confined to specialized economics journals). Markowitz formalized a notion of
579:
Machine learning models are now capable of identifying complex patterns in financial market data. With the aid of artificial intelligence, investors are increasingly turning to deep learning techniques to forecast and analyze trends in stock and foreign exchange markets. See
772:
Quantitative developers, sometimes called quantitative software engineers, or quantitative engineers, are computer specialists that assist, implement and maintain the quantitative models. They tend to be highly specialised language technicians that bridge the gap between
764:, or to ensure that the positions being held were correctly valued. An MV quantitative analyst would typically earn a fraction of quantitative analysts in other groups with similar length of experience. In the years following the crisis, as mentioned, this has changed.
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are sometimes used in non-performance critical tasks. LQs spend more time modeling ensuring the analytics are both efficient and correct, though there is tension between LQs and FOQs on the validity of their results. LQs are required to understand techniques such as
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Before the crisis however, the pay structure in all firms was such that MV groups struggle to attract and retain adequate staff, often with talented quantitative analysts leaving at the first opportunity. This gravely impacted corporate ability to manage
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In the aftermath of the financial crisis, there surfaced the recognition that quantitative valuation methods were generally too narrow in their approach. An agreed upon fix adopted by numerous financial institutions has been to improve collaboration.
77:
quants" from market maker firms, concerned with derivatives pricing and risk management, the meaning of the term has expanded over time to include those individuals involved in almost any application of mathematical finance, including the
267:
In 1981, Harrison and Pliska used the general theory of continuous-time stochastic processes to put the Black–Scholes model on a solid theoretical basis, and showed how to price numerous other derivative securities. The various
1032:
analysis, and modelling methods are being increasingly employed in portfolio performance and portfolio risk modelling, and as such data science and machine learning Master's graduates are also hired as quantitative analysts.
2213:
154:, suggesting "in a more literary form, the conceptual setting for the application of probability to stockmarket operations". It was, however, only in the years 1960-1970 that the "merit of was recognized" as
752:. The MV group might well be seen as a superset of the quantitative operations in a financial institution, since it must deal with new and advanced models and trading techniques from across the firm.
490:
quantitative analyst and a quantitative trader is increasingly blurred, and it is now difficult to enter trading as a profession without at least some quantitative analysis education.
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748:
Model validation (MV) takes the models and methods developed by front office, library, and modeling quantitative analysts and determines their validity and correctness; see
541:. Some, such as FQ, AQR or Barclays, rely almost exclusively on quantitative strategies while others, such as PIMCO, Blackrock or Citadel use a mix of quantitative and
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1080:
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1992:
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943:. The mindset, however, is to prefer a deterministically "correct" answer, as once there is agreement on input values and market variable dynamics, there is only
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in other industries. The process usually consists of searching vast databases for patterns, such as correlations among liquid assets or price-movement patterns (
264:, i.e., the right to buy one share of a given stock at a specified price and time. Such options are frequently purchased by investors as a risk-hedging device.
328:
helped to both make the role of a quantitative analyst better known outside of finance, and to popularize the abbreviation "quant" for a quantitative analyst.
2449:
2049:
257:
2076:"An Overview of Machine Learning, Deep Learning, and Reinforcement Learning-Based Techniques in Quantitative Finance: Recent Progress and Challenges"
1916:
McKean, H. P. Jr. (1965). "Appendix (to
Samuelson): a free boundary problem for the heat equation arising from a problem of mathematical economics".
675:
This area has grown in importance in recent years, as the credit crisis exposed holes in the mechanisms used to ensure that positions were correctly
482:, quantitative analysts work to determine prices, manage risk, and identify profitable opportunities. Historically this was a distinct activity from
592:
Major firms invest large sums in an attempt to produce standard methods of evaluating prices and risk. These differ from front office tools in that
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backgrounds, learning finance "on the job". Quantitative analysis is a then major source of employment for those with mathematics and physics
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software engineering experience or formal training, and bound by time constraints and business pressures, tactical solutions are often adopted.
277:
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and quantitative analysts. The term is also sometimes used outside the finance industry to refer to those working at the intersection of
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for any given security (which can be demonstrated, albeit often inefficiently, through a large volume of Monte Carlo simulations).
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whose variance is minimal among all portfolios with a given mean return. Thus, although the language of finance now involves
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and Robert
Litterman: Global Portfolio Optimization, Financial Analysts Journal, September 1992, pp. 28–43
288:. Similarly, and in parallel, models were developed for various other underpinnings and applications, including
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The
Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets
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Typically, a quantitative analyst will also need extensive skills in computer programming, most commonly
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for common stocks which allowed him to quantify the concept of "diversification" in a market. He showed
87:
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35:
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The demand for quantitative skills has led to the creation of specialized
Masters and PhD courses in
1586:, "Pricing interest-rate derivative securities", The Review of Financial Studies, Vol 3, No. 4 (1990)
399:, necessitating technical changes to the latter framework, while the underlying logic is unaffected).
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199:(1965–1977). Considered the "Father of Quantitative Investing", Thorp sought to predict and simulate
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47:
23:
568:, both based in New York. Prediction hired scientists and computer programmers from the neighboring
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and hedging: involves software development, advanced numerical techniques, and stochastic calculus.
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to create sophisticated statistical models using "industrial-strength computers" in order to " the
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models; (ii) The risk neutral value is adjusted for the impact of counter-party credit risk via a
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Derman, E. (2004). My life as a quant: reflections on physics and finance. John Wiley & Sons.
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Factor-Related and
Specific Returns of Common Stocks: Serial Correlation and Market Inefficiency
1400:
1492:
Autoregressive
Conditional Heteroskedasticity With Estimates of the Variance of U.K. Inflation,
203:, a card-game he played in Las Vegas casinos. He was able to create a system, known broadly as
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The
Movements of Interest Rates. Bond Yields and Stock Prices in the United States since 1856
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Because of their backgrounds, quantitative analysts draw from various forms of mathematics:
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1095:) increasingly includes a significant technical component. Likewise, masters programs in
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63:
51:
1865:
The Quants: How a New Breed of Math
Whizzes Conquered Wall Street and Nearly Destroyed It
177:
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the mean return and variance for a given portfolio and argued that investors should hold
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1953:
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1262:, "Stochastic Integral", Proceedings of the Imperial Academy, 20(8), pp. 519–524
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260:. It provided a solution for a practical problem, that of finding a fair price for a
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297:
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261:
180:, management of risk in a quantifiable manner underlies much of the modern theory.
2356:, February 1, 2010, including excerpt "Chapter 2: The Godfather: Ed Thorp". Also,
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1731:
https://web.archive.org/web/20060430115935/http://siam.org/about/pdf/brochure.pdf
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2327:: How a New Breed of Math Whizzes Conquered Wall Street and Nearly Destroyed It
304:. Quants are thus involved in pricing and hedging a wide range of securities –
3184:
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2324:
812:
761:
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510:
2101:
2027:
1317:
Capital asset prices: A theory of market equilibrium under conditions of risk
58:
and other related finance occupations. The occupation is similar to those in
2820:
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2730:
2649:
2353:
1076:
684:
506:
200:
74:
339:
were incorporated into the modelling, previously performed in an entirely "
93:
Some of the larger investment managers using quantitative analysis include
2074:
Sahu, Santosh Kumar; Mokhade, Anil; Bokde, Neeraj
Dhanraj (January 2023).
1937:"Martingales and Stochastic Integrals in the Theory of Continuous Trading"
629:
Often the highest paid form of Quant, ATQs make use of methods taken from
2998:
2634:
2015:
1570:
A One-Factor Model of
Interest Rates and Its Application to Treasury Bond
820:
79:
2092:
2075:
1551:
Bond pricing and the term structure of interest rates: a new methodology
560:
to secure investment returns, along with three other funds at the time,
2842:
1612:
982:
31:
2409:
Quantitative Work Alliance for Finance Education and Wisdom (QWAFAFEW)
548:
One of the first quantitative investment funds to launch was based in
2585:
2431:
at Stack Exchange – question and answer site for quantitative finance
1729:
See Definition in the Society for Applied and Industrial Mathematics
1634:
2002 – Patrick Hagan, Deep Kumar, Andrew Lesniewski, Diana Woodward,
1299:
The Cost of Capital, Corporation Finance and the Theory of Investment
1013:
582:
Applications of artificial intelligence § Trading and investment
135:
2434:
497:
Increasingly, quants are attached to specific desks. Two cases are:
1001:
597:
150:
had posited already in 1863 that stock prices can be modelled as a
2508:
1495:
593:
388:
380:
2428:
731:, assessment of the models used by the bank's various divisions.
46:). Quants tend to specialize in specific areas which may include
2382:
Analysing Quantitative Data for Business and Management Students
685:
Tail risk § Role of the global financial crisis (2007-2008)
680:
670:
2438:
2274:"Finance and Stochastics – incl. Option to publish open access"
1889:
Samuelson, P. A. (1965). "Rational Theory of Warrant Pricing".
2360:
from "Chapter 10: The August Factor", in the January 23, 2010
2231:
990:
498:
406:
372:
351:- to some extent, equity-option prices have incorporated the
115:
Mathematical finance § Derivatives pricing: the Q world
82:. Applied quantitative analysis is commonly associated with
2293:
Capital Ideas: The Improbable Origins of Modern Wall Street
1196:: involves a lot of time series analysis, calibration, and
1068:
are becoming popular with students and with employers. See
2398:
1528:
Efficient analytic approximation of American option values
383:
as previously, and, relatedly, quants must model under a "
2423:
1075:
This has, in parallel, led to a resurgence in demand for
138:"Theory of Speculation", which provided a model to price
2414:
Professional Risk Managers Industry Association (PRMIA)
2408:
621:, as well as the nature of the products being modeled.
505:
as well as (minimizing) the capital requirements under
2399:
Q-Group Institute for Quantitative Research in Finance
2164:"Machine Learning in Finance: Theory and Applications"
1651:
My Life as a Quant: Reflections on Physics and Finance
379:
curve is used for the "risk free rate", as opposed to
347:: (i) Option pricing and hedging inhere the relevant
16:
Use of mathematical and statistical methods in finance
1439:
An equilibrium characterisation of the term structure
1111:
may allow for a quantitative finance specialization.
2393:
1767:
1765:
707:- while this is supplemented with various forms of
556:. By the late-1990s, Prediction Company began using
2976:
2851:
2750:
2670:
2578:
2545:
2506:
2472:
2413:
2050:"Millennium Shuts Down Pioneering Quant Hedge Fund"
2418:
1910:the co-founder of stochastic calculus (along with
73:Although the original quantitative analysts were "
2419:International Association of Quantitative Finance
2403:
2190:"A Machine-Learning View of Quantitative Finance"
1935:Harrison, J. Michael; Pliska, Stanley R. (1981).
2148:International Association of Financial Engineers
1514:A theory of the term structure of interest rates
1389:The Pricing of Options and Corporate Liabilities
533:Outline of finance § Quantitative investing
343:world", entailing three major developments; see
214:Outline of finance § Quantitative investing
2208:
2206:
1830:"Why Edward Thorp Owns Only Berkshire Hathaway"
1121:Society for Industrial and Applied Mathematics
969:Financial modeling § Quantitative finance
939:mathematical tools of quantitative finance is
799:Financial modeling § Quantitative finance
280:(1987), relatedly allowed for an extension to
90:, algorithmic trading and electronic trading.
2450:
1788:Markowitz, H. (1952). "Portfolio Selection".
1070:Master of Quantitative Finance § History
807:Financial economics § Derivative pricing
596:is very rare, with most development being in
537:Quantitative analysis is used extensively by
119:Financial economics § Derivative pricing
8:
803:Outline of finance § Mathematical tools
239:promoted continuous stochastic calculus and
222:Financial economics § Portfolio theory
86:which includes a variety of methods such as
1941:Stochastic Processes and Their Applications
441:. Unsourced material may be challenged and
2457:
2443:
2435:
371:, or CVA, as well as various of the other
187:was first introduced from the research of
2117:
2115:
2113:
2111:
2091:
1952:
667:Investment banking § Risk management
552:and began trading in 1991 under the name
461:Learn how and when to remove this message
316:– additional to classic derivatives; see
258:Nobel Memorial Prize in Economic Sciences
122:
2048:Beilselki, Vincent (September 6, 2018).
1483:, Journal of Finance, May 1982 V. 37: #2
1285:A New Interpretation of Information Rate
663:Financial risk management § Banking
625:Algorithmic trading quantitative analyst
2143:
2141:
2139:
1722:
1631:, 1996, RiskMetrics model and framework
1598:Brownian motion and stochastic calculus
1494:Seminal paper in ARCH family of models
1479:1982 – Barr Rosenberg and Andrew Rudd,
1048:(as well as in specific topics such as
789:Mathematical and statistical approaches
359:- and banks then apply "surface aware"
345:Valuation of options § Post crisis
1530:. Journal of Finance. 42 (2): 301–20.
1429:Monte Carlo methods for option pricing
977:Quantitative analysts often come from
973:Financial analyst § Qualification
965:Financial engineering § Education
893:spot and forward interest rates curves
2232:"The Journal of Portfolio Management"
1983:Rothschild, John (November 7, 1999).
1461:Option pricing: A simplified approach
1115:Academic and technical field journals
850:Commonly used numerical methods are:
728:
7:
2214:"Master's of the Financial Universe"
1857:
1855:
1853:
1851:
1849:
1823:
1821:
439:adding citations to reliable sources
235:into the study of finance. In 1969,
1131:The Journal of Portfolio Management
961:Outline of finance § Education
687:. A core technique continues to be
1804:10.1111/j.1540-6261.1952.tb01525.x
1638:, Wilmott Magazine, January 2002,
1411:The pricing of commodity contracts
891:– used to interpolate values from
875:is also common in risk management;
521:Quantitative investment management
185:quantitative investment management
84:quantitative investment management
14:
2404:CQA—Chicago Quantitative Alliance
1771:L. Carraro and P. Crépel (N.D.).
1522:1987 – Giovanni Barone-Adesi and
1475:Options as a Strategic Investment
1397:Theory of Rational Option Pricing
881:– used to estimate parameters in
474:Front office quantitative analyst
38:. Those working in the field are
2713:Electronic communication network
2394:Society of Quantitative Analysts
2371:(Great Minds in Finance Series)
1995:from the original on Jun 6, 2021
1125:Journal on Financial Mathematics
721:direct analysis of the positions
411:
197:University of California, Irvine
1862:Patterson, Scott (2010-02-02).
1828:Lam, Leslie P. Norton and Dan.
1425:Options: A Monte Carlo Approach
1066:Master of Financial Engineering
1062:Master of Computational Finance
1058:Master of Financial Mathematics
883:statistical regression analysis
839:. Some on the buy side may use
276:in 1977), and the more general
2197:appliededucationpsychology.org
1752:"Top Quantitative Hedge Funds"
1629:RiskMetrics Technical Document
1592:1991 – Ioannis Karatzas &
1465:Binomial options pricing model
1209:Asset and liability management
1087:. Similarly, the more general
1054:Master of Quantitative Finance
869:partial differential equations
859:partial differential equations
825:partial differential equations
570:Los Alamos National Laboratory
517:of client specific solutions.
391:, with replacements including
1:
2707:Multilateral trading facility
2350:Patterson and Thorp interview
2329:. Crown Business, 352 pages.
2014:Kelly, Kevin (July 1, 1994).
1663:List of quantitative analysts
1555:Heath–Jarrow–Morton framework
1473:1980 – Lawrence G. McMillan,
1093:Master of Financial Economics
588:Library quantitative analysis
375:; (iii) For discounting, the
333:financial crisis of 2007–2008
256:, which was awarded the 1997
191:, a mathematics professor at
3130:Returns-based style analysis
2926:Post-modern portfolio theory
2832:Security characteristic line
1954:10.1016/0304-4149(81)90026-0
1918:Industrial Management Review
1891:Industrial Management Review
927:interest rate curve-building
671:Bank § Capital and risk
218:Post-modern portfolio theory
2884:Efficient-market hypothesis
2788:Capital asset pricing model
2725:Straight-through processing
2297:Bernstein, Peter L. (2007)
1777:Encyclopedia of Mathematics
1683:Financial signal processing
1335:Capital asset pricing model
1321:Capital asset pricing model
1079:qualifications, as well as
501:, responsible for managing
486:but the boundary between a
369:credit valuation adjustment
335:, considerations regarding
193:New Mexico State University
166:mean return and covariances
123:§ Seminal publications
3262:
2701:Alternative Trading System
2126:"Finding a job in finance"
1914:) wrote the appendix: see
958:
792:
660:
530:
524:
515:the design and manufacture
244:with Merton's assistance,
112:
1713:Alpha generation platform
1303:Modigliani–Miller theorem
1240:Théorie de la spéculation
1081:commercial certifications
701:Conditional value at risk
619:finite difference methods
389:LIBOR is being phased out
318:contingent claim analysis
286:interest rate derivatives
2765:Arbitrage pricing theory
1985:"The Gnomes of Santa Fe"
1968:Derman, Emanuel (2004).
1518:Cox–Ingersoll–Ross model
1101:computational statistics
1072:for general discussion.
855:Finite difference method
562:Renaissance Technologies
337:counterparty credit risk
95:Renaissance Technologies
50:structuring or pricing,
3044:Initial public offering
2905:Modern portfolio theory
2800:Dividend discount model
2683:List of stock exchanges
1532:Barone-Adesi and Whaley
1275:Modern portfolio theory
1156:Finance and Stochastics
923:internal rate of return
699:approaches, as well as
158:theory was developed.
2932:Random walk hypothesis
2299:Capital Ideas Evolving
2256:"Quantitative Finance"
2212:Lindsey Gerdes (2009)
2016:"Cracking Wall Street"
1972:. John Wiley and Sons.
1678:Black–Scholes equation
1574:Black–Derman–Toy model
1183:Portfolio optimization
1109:industrial engineering
1052:). In particular, the
879:Ordinary least squares
873:Monte Carlo simulation
768:Quantitative developer
302:employee stock options
103:AQR Capital Management
60:industrial mathematics
3070:Market capitalization
2879:Dollar cost averaging
1640:SABR volatility model
1616:Black–Litterman model
1506:Jonathan E. Ingersoll
1375:Fixed income analysis
1370:Inside the Yield Book
1050:financial reinsurance
1046:computational finance
1038:financial engineering
867:– Also used to solve
793:Further information:
783:quantitative research
661:Further information:
643:market microstructure
558:statistical arbitrage
525:Further information:
385:multi-curve framework
365:stochastic volatility
174:only those portfolios
130:started in 1900 with
113:Further information:
88:statistical arbitrage
56:investment management
40:quantitative analysts
36:investment management
20:Quantitative analysis
3241:Mathematical finance
2890:Fundamental analysis
2874:Contrarian investing
2837:Security market line
2742:Liquidity aggregator
2719:Direct market access
2630:Quantitative analyst
2429:Quantitative Finance
2346:Amazon page for book
2260:Taylor & Francis
1708:Mathematical finance
1698:Fundamental analysis
1549:, and Andrew Morton
1229:Seminal publications
1179:Portfolio management
1161:Mathematical Finance
1137:Quantitative Finance
1042:mathematical finance
889:Spline interpolation
833:discrete mathematics
795:Mathematical finance
779:software engineering
705:Extreme value theory
550:Santa Fe, New Mexico
435:improve this section
262:European call option
128:Quantitative finance
99:D. E. Shaw & Co.
3246:Valuation (finance)
3135:Reverse stock split
3080:Market manipulation
3004:Dual-listed company
2864:Algorithmic trading
2794:Capital market line
2596:Inter-dealer broker
2367:Read, Colin (2012)
2362:Wall Street Journal
2320:Patterson, Scott D.
2289:Bernstein, Peter L.
2093:10.3390/app13031956
1989:archive.nytimes.com
1703:Financial economics
1636:Managing Smile Risk
1534:method for pricing
1449:John Carrington Cox
1365:Martin L. Leibowitz
1343:and Sheen Kassouf,
1271:Portfolio Selection
1188:Derivatives pricing
1105:applied mathematics
1097:operations research
979:applied mathematics
941:stochastic calculus
921:of functions (e.g.
913:– used to find the
615:Monte Carlo methods
566:D. E. Shaw & Co
543:fundamental methods
254:Black–Scholes model
233:stochastic calculus
144:normal distribution
28:statistical methods
3236:Financial analysts
3175:Stock market index
3014:Efficient frontier
2953:Technical analysis
2911:Momentum investing
2733:(private exchange)
2623:Proprietary trader
2565:Shares outstanding
2555:Authorised capital
2424:London Quant Group
2369:Rise of the Quants
2308:My Life as a Quant
2236:jpm.iijournals.com
1970:My Life as a Quant
1791:Journal of Finance
1693:Technical analysis
1673:Financial modeling
1557:for interest rates
1367:and Sydney Homer,
1252:, pp. 44–53,
1246:Frederick Macaulay
1214:Structured finance
865:Monte Carlo method
845:numerical analysis
775:software engineers
713:expected shortfall
554:Prediction Company
349:volatility surface
326:My Life as a Quant
294:exotic derivatives
290:credit derivatives
209:probability theory
3223:
3222:
3024:Flight-to-quality
2776:Buffett indicator
2466:Financial markets
2342:978-0-307-45337-2
2168:markets media.com
1875:978-0-307-45339-6
1688:Financial analyst
1668:Quantitative fund
1568:and William Toy,
1359:Theory of Finance
1313:William F. Sharpe
1307:Corporate finance
1291:Franco Modigliani
1089:Master of Finance
945:one correct price
919:maxima and minima
897:volatility smiles
691:- applying both
631:signal processing
527:Quantitative fund
503:counterparty risk
480:sales and trading
471:
470:
463:
270:short-rate models
3253:
3140:Share repurchase
2852:Trading theories
2737:Crossing network
2695:Over-the-counter
2532:Restricted stock
2488:Secondary market
2459:
2452:
2445:
2436:
2278:
2277:
2270:
2264:
2263:
2252:
2246:
2245:
2243:
2242:
2228:
2222:
2210:
2201:
2200:
2194:
2186:
2180:
2179:
2177:
2175:
2160:
2154:
2145:
2134:
2119:
2106:
2105:
2095:
2080:Applied Sciences
2071:
2065:
2064:
2062:
2060:
2045:
2039:
2038:
2036:
2034:
2011:
2005:
2004:
2002:
2000:
1980:
1974:
1973:
1965:
1959:
1958:
1956:
1932:
1926:
1925:
1905:
1899:
1898:
1886:
1880:
1879:
1859:
1844:
1843:
1841:
1840:
1825:
1816:
1815:
1785:
1779:
1773:Bachelier, Louis
1769:
1760:
1759:
1748:
1742:
1739:
1733:
1727:
1594:Steven E. Shreve
1588:Hull-White model
1547:Robert A. Jarrow
1536:American options
1393:Robert C. Merton
1173:Trading strategy
1150:Wilmott Magazine
1030:machine learning
857:– used to solve
841:machine learning
823:centered around
744:Model validation
717:economic capital
466:
459:
455:
452:
446:
415:
407:
353:volatility smile
272:(beginning with
212:techniques; see
195:(1961–1965) and
3261:
3260:
3256:
3255:
3254:
3252:
3251:
3250:
3226:
3225:
3224:
3219:
3210:Voting interest
3120:Public offering
3055:Mandatory offer
3029:Government bond
3009:DuPont analysis
2972:
2968:Value investing
2963:Value averaging
2958:Trend following
2943:Style investing
2938:Sector rotation
2853:
2847:
2826:Net asset value
2752:Stock valuation
2746:
2666:
2574:
2541:
2527:Preferred stock
2502:
2468:
2463:
2390:
2304:Derman, Emanuel
2285:
2283:Further reading
2272:
2271:
2267:
2254:
2253:
2249:
2240:
2238:
2230:
2229:
2225:
2211:
2204:
2192:
2188:
2187:
2183:
2173:
2171:
2170:. 22 April 2013
2162:
2161:
2157:
2146:
2137:
2120:
2109:
2073:
2072:
2068:
2058:
2056:
2047:
2046:
2042:
2032:
2030:
2013:
2012:
2008:
1998:
1996:
1982:
1981:
1977:
1967:
1966:
1962:
1934:
1933:
1929:
1915:
1906:
1902:
1888:
1887:
1883:
1876:
1861:
1860:
1847:
1838:
1836:
1827:
1826:
1819:
1787:
1786:
1782:
1770:
1763:
1756:Street of Walls
1750:
1749:
1745:
1740:
1736:
1728:
1724:
1721:
1659:
1457:Mark Rubinstein
1435:OldĹ™ich VašĂÄŤek
1345:Beat the Market
1341:Edward O. Thorp
1267:Harry Markowitz
1236:Louis Bachelier
1231:
1204:Credit analysis
1194:Risk management
1169:
1117:
975:
957:
936:
809:
791:
770:
746:
737:
715:methodologies,
673:
659:
657:Risk management
639:Kelly criterion
627:
590:
535:
529:
523:
499:XVA specialists
476:
467:
456:
450:
447:
432:
416:
405:
241:continuous-time
162:Harry Markowitz
156:options pricing
132:Louis Bachelier
125:
111:
64:trend following
52:risk management
17:
12:
11:
5:
3259:
3257:
3249:
3248:
3243:
3238:
3228:
3227:
3221:
3220:
3218:
3217:
3212:
3207:
3202:
3197:
3192:
3187:
3182:
3177:
3172:
3170:Stock exchange
3167:
3165:Stock dilution
3162:
3157:
3152:
3147:
3142:
3137:
3132:
3127:
3122:
3117:
3112:
3107:
3102:
3097:
3092:
3090:Mean reversion
3087:
3082:
3077:
3072:
3067:
3065:Market anomaly
3062:
3057:
3052:
3047:
3041:
3036:
3031:
3026:
3021:
3016:
3011:
3006:
3001:
2996:
2991:
2986:
2984:Bid–ask spread
2980:
2978:
2974:
2973:
2971:
2970:
2965:
2960:
2955:
2950:
2945:
2940:
2935:
2929:
2923:
2918:
2913:
2908:
2902:
2897:
2892:
2887:
2881:
2876:
2871:
2866:
2860:
2858:
2849:
2848:
2846:
2845:
2840:
2834:
2829:
2823:
2818:
2813:
2811:Earnings yield
2808:
2806:Dividend yield
2803:
2797:
2791:
2785:
2779:
2773:
2768:
2762:
2756:
2754:
2748:
2747:
2745:
2744:
2739:
2734:
2728:
2722:
2716:
2710:
2704:
2698:
2697:(off-exchange)
2692:
2691:
2690:
2685:
2674:
2672:
2671:Trading venues
2668:
2667:
2665:
2664:
2659:
2658:
2657:
2647:
2642:
2637:
2632:
2627:
2626:
2625:
2620:
2610:
2605:
2600:
2599:
2598:
2593:
2582:
2580:
2576:
2575:
2573:
2572:
2570:Treasury stock
2567:
2562:
2557:
2551:
2549:
2543:
2542:
2540:
2539:
2537:Tracking stock
2534:
2529:
2524:
2519:
2513:
2511:
2504:
2503:
2501:
2500:
2495:
2490:
2485:
2483:Primary market
2479:
2477:
2470:
2469:
2464:
2462:
2461:
2454:
2447:
2439:
2433:
2432:
2426:
2421:
2416:
2411:
2406:
2401:
2396:
2389:
2388:External links
2386:
2385:
2384:
2379:
2365:
2317:
2301:
2295:
2284:
2281:
2280:
2279:
2265:
2247:
2223:
2202:
2181:
2155:
2135:
2122:Emanuel Derman
2107:
2066:
2040:
2006:
1975:
1960:
1947:(3): 215–260.
1927:
1900:
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1874:
1845:
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1654:
1653:
1647:Emanuel Derman
1643:
1632:
1618:
1601:
1590:
1576:
1566:Emanuel Derman
1558:
1539:
1520:
1498:
1484:
1477:
1471:
1445:
1431:
1417:
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1377:
1361:
1347:
1337:
1323:
1309:
1287:
1277:
1263:
1256:
1242:
1230:
1227:
1226:
1225:
1220:
1218:securitization
1211:
1206:
1201:
1191:
1185:
1176:
1168:
1165:
1164:
1163:
1158:
1153:
1146:
1139:
1134:
1127:
1116:
1113:
956:
953:
935:
932:
931:
930:
911:Secant methods
900:
886:
876:
862:
829:linear algebra
790:
787:
769:
766:
745:
742:
736:
733:
693:the parametric
658:
655:
626:
623:
589:
586:
539:asset managers
522:
519:
513:, tasked with
475:
472:
469:
468:
419:
417:
410:
404:
401:
322:Emanuel Derman
252:developed the
229:Paul Samuelson
170:how to compute
148:Jules Regnault
110:
107:
22:is the use of
15:
13:
10:
9:
6:
4:
3:
2:
3258:
3247:
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3148:
3146:
3145:Short selling
3143:
3141:
3138:
3136:
3133:
3131:
3128:
3126:
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3116:
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3058:
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3042:
3040:
3037:
3035:
3034:Greenspan put
3032:
3030:
3027:
3025:
3022:
3020:
3019:Financial law
3017:
3015:
3012:
3010:
3007:
3005:
3002:
3000:
2997:
2995:
2994:Cross listing
2992:
2990:
2987:
2985:
2982:
2981:
2979:
2977:Related terms
2975:
2969:
2966:
2964:
2961:
2959:
2956:
2954:
2951:
2949:
2948:Swing trading
2946:
2944:
2941:
2939:
2936:
2933:
2930:
2927:
2924:
2922:
2919:
2917:
2916:Mosaic theory
2914:
2912:
2909:
2906:
2903:
2901:
2900:Market timing
2898:
2896:
2893:
2891:
2888:
2885:
2882:
2880:
2877:
2875:
2872:
2870:
2867:
2865:
2862:
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2859:
2857:
2850:
2844:
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2835:
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2830:
2827:
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2809:
2807:
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2720:
2717:
2714:
2711:
2708:
2705:
2702:
2699:
2696:
2693:
2689:
2688:Trading hours
2686:
2684:
2681:
2680:
2679:
2676:
2675:
2673:
2669:
2663:
2660:
2656:
2653:
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2633:
2631:
2628:
2624:
2621:
2619:
2616:
2615:
2614:
2611:
2609:
2606:
2604:
2603:Broker-dealer
2601:
2597:
2594:
2592:
2589:
2588:
2587:
2584:
2583:
2581:
2577:
2571:
2568:
2566:
2563:
2561:
2560:Issued shares
2558:
2556:
2553:
2552:
2550:
2548:
2547:Share capital
2544:
2538:
2535:
2533:
2530:
2528:
2525:
2523:
2520:
2518:
2515:
2514:
2512:
2510:
2505:
2499:
2498:Fourth market
2496:
2494:
2491:
2489:
2486:
2484:
2481:
2480:
2478:
2476:
2471:
2467:
2460:
2455:
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2446:
2441:
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2427:
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2417:
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2378:
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2370:
2366:
2363:
2359:
2355:
2351:
2347:
2343:
2339:
2336:
2335:0-307-45337-5
2332:
2328:
2326:
2321:
2318:
2316:
2315:0-470-19273-9
2312:
2309:
2305:
2302:
2300:
2296:
2294:
2290:
2287:
2286:
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2269:
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2257:
2251:
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2227:
2224:
2221:
2220:
2215:
2209:
2207:
2203:
2198:
2191:
2185:
2182:
2169:
2165:
2159:
2156:
2153:
2152:"Student FAQ"
2149:
2144:
2142:
2140:
2136:
2133:
2132:
2127:
2123:
2118:
2116:
2114:
2112:
2108:
2103:
2099:
2094:
2089:
2085:
2081:
2077:
2070:
2067:
2055:
2054:Bloomberg.com
2051:
2044:
2041:
2029:
2025:
2021:
2017:
2010:
2007:
1994:
1990:
1986:
1979:
1976:
1971:
1964:
1961:
1955:
1950:
1946:
1942:
1938:
1931:
1928:
1923:
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1913:
1909:
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1901:
1896:
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1871:
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1846:
1835:
1831:
1824:
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1809:
1805:
1801:
1797:
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1784:
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1778:
1774:
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1656:
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1644:
1641:
1637:
1633:
1630:
1626:
1623:
1619:
1617:
1614:
1610:
1606:
1605:Fischer Black
1602:
1599:
1595:
1591:
1589:
1585:
1581:
1577:
1575:
1571:
1567:
1563:
1562:Fischer Black
1559:
1556:
1552:
1548:
1544:
1540:
1537:
1533:
1529:
1525:
1524:Robert Whaley
1521:
1519:
1515:
1511:
1507:
1503:
1499:
1497:
1493:
1489:
1485:
1482:
1478:
1476:
1472:
1470:
1469:Lattice model
1466:
1462:
1458:
1454:
1450:
1446:
1444:
1443:Vasicek model
1440:
1436:
1432:
1430:
1426:
1422:
1418:
1416:
1412:
1408:
1407:Fischer Black
1404:
1402:
1401:Black–Scholes
1398:
1394:
1390:
1386:
1385:Myron Scholes
1382:
1381:Fischer Black
1378:
1376:
1372:
1371:
1366:
1362:
1360:
1356:
1355:Merton Miller
1352:
1348:
1346:
1342:
1338:
1336:
1332:
1328:
1324:
1322:
1318:
1314:
1310:
1308:
1304:
1300:
1296:
1295:Merton Miller
1292:
1288:
1286:
1282:
1278:
1276:
1272:
1268:
1264:
1261:
1257:
1255:
1254:Bond duration
1251:
1247:
1243:
1241:
1237:
1233:
1232:
1228:
1224:
1223:Asset pricing
1221:
1219:
1215:
1212:
1210:
1207:
1205:
1202:
1199:
1195:
1192:
1189:
1186:
1184:
1180:
1177:
1174:
1171:
1170:
1167:Areas of work
1166:
1162:
1159:
1157:
1154:
1152:
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576:of Finance".
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574:Supercollider
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420:This section
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327:
324:'s 2004 book
323:
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299:
295:
291:
287:
283:
279:
278:HJM Framework
275:
271:
265:
263:
259:
255:
251:
250:Myron Scholes
247:
246:Fischer Black
242:
238:
237:Robert Merton
234:
230:
225:
223:
219:
215:
210:
207:, which used
206:
205:card counting
202:
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45:
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29:
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3195:Tender offer
3115:Public float
3085:Market trend
3075:Market depth
2895:Growth stock
2869:Buy and hold
2778:(Cap-to-GDP)
2618:Floor trader
2608:Market maker
2591:Floor broker
2579:Participants
2522:Golden share
2517:Common stock
2493:Third market
2368:
2361:
2323:
2307:
2298:
2292:
2268:
2259:
2250:
2239:. Retrieved
2235:
2226:
2219:Businessweek
2217:
2196:
2184:
2172:. Retrieved
2167:
2158:
2129:
2083:
2079:
2069:
2057:. Retrieved
2053:
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2031:. Retrieved
2019:
2009:
1997:. Retrieved
1988:
1978:
1969:
1963:
1944:
1940:
1930:
1921:
1917:
1908:Henry McKean
1903:
1894:
1890:
1884:
1864:
1837:. Retrieved
1833:
1798:(1): 77–91.
1795:
1789:
1783:
1755:
1746:
1737:
1725:
1650:
1635:
1597:
1569:
1550:
1527:
1513:
1510:Stephen Ross
1491:
1488:Robert Engle
1480:
1474:
1460:
1453:Stephen Ross
1438:
1424:
1421:Phelim Boyle
1410:
1396:
1388:
1368:
1358:
1344:
1330:
1327:John Lintner
1316:
1298:
1284:
1270:
1249:
1239:
1160:
1155:
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1142:
1136:
1129:
1124:
1083:such as the
1074:
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1026:Data science
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837:econometrics
810:
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674:
647:econometrics
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492:
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457:
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433:Please help
421:
341:risk neutral
330:
325:
306:asset-backed
298:real options
282:fixed income
266:
226:
189:Edward Thorp
182:
178:ItĂ´ calculus
160:
134:'s doctoral
126:
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3200:Uptick rule
3180:Stock split
3160:Squeeze-out
3155:Speculation
3100:Open outcry
2989:Block trade
2921:Pairs trade
2086:(3): 1956.
1924:(2): 32–39.
1897:(2): 13–32.
1834:barrons.com
1625:RiskMetrics
1622:J.P. Morgan
1543:David Heath
1502:John C. Cox
1415:Black model
1351:Eugene Fama
1198:backtesting
1175:development
1018:Mathematica
991:PhD degrees
987:engineering
817:probability
709:stress test
653:analysis.
651:time series
637:, gambling
635:game theory
511:structurers
231:introduced
152:random walk
3230:Categories
3205:Volatility
3185:Stock swap
3105:Order book
2856:strategies
2782:Book value
2650:Arbitrager
2645:Speculator
2377:023027417X
2358:an excerpt
2325:The Quants
2241:2019-02-02
1912:Kiyosi ItĂ´
1839:2021-06-06
1719:References
1584:Alan White
1281:John Kelly
1260:Kiyosi ItĂ´
959:See also:
934:Techniques
813:statistics
762:model risk
750:model risk
735:Innovation
725:desk level
719:analysis,
531:See also:
357:1987 crash
355:since the
331:After the
310:government
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2821:Fed model
2816:EV/EBITDA
2731:Dark pool
2662:Regulator
2507:Types of
2473:Types of
2354:Fresh Air
2102:2076-3417
2028:1059-1028
1868:. Crown.
1580:John Hull
1077:actuarial
955:Education
903:Bisection
600:, though
507:Basel III
451:June 2010
422:does not
314:corporate
227:In 1965,
201:blackjack
75:sell side
68:reversion
3150:Slippage
3110:Position
3095:Momentum
2999:Dividend
2678:Exchange
2635:Investor
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183:Modern
140:options
109:History
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3125:Rally
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2934:(RMH)
2907:(MPT)
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2839:(SML)
2828:(NAV)
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