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Financial Quantitative Algorithms

Below you'll find a list usefull papers that I've required to study as a part of the Practitioner's life


Table of Practitioner's Papers


Being two faced on counterparty credit risk exposures

Jon Gregory (2009).

The standardised approach for measuring counterparty credit risk exposures

BCBS (2014).

Valuation of Arithmetic Average of Fed Fund Rates and Construction of the US Dollar Swap Yield Curve

Katsumi Tanaka (2011).

2015 Supervisory Scenarios for Annual Stress Tests Required under the Dodd-Frank Act

Federal Reserve (2015).

Option on the spread of two assets

H. Aliaga (2014).

Four Derivations of the Black-Scholes Formula

F. Rouah (2002).

A Guide to Modelling Counterparty Credit Risk

M. Pykhtin and S. Zhu (2007)

The value of an option to exchange one asset for another

Margrabe (1978)

Pricing method for options based on average asset values

Kemna and Vost (1990)

Options on the maximum or minimum of several assets

H. Johnson (1987)

Managing Smile Risk

Patrick S. Hagan, Deep Kumar, Andrew S. Lesniewski,and Diana E. Woodward (2002)

Managing Smile Risk (All)

Patrick S. Hagan, Deep Kumar, Andrew S. Lesniewski,and Diana E. Woodward (2002)


Ed Thorp (1997)

Local Volatility Enhanced by a Jump to Default

Carr, Madan (2007)

Feynman-Kac formula and decomposition of Brownian paths

Jeanblanc, Pitman and Yor (1996)

Laplace transforms related to excursions of a one-dimensional diffusion

Pitman and Yor (1996)

A Survey and some generalizations of Bessel processes

Going-Jaeschke and Yor (1999)

A Theory of the term structure of interest rates

Cox, Ingersoll, Ross (1985)

The Future is Convex

Jaeckel, Kawai (2005)

Not so complex logarithms in the Heston Model

Kahl, Jaeckel (2006)


Sepp (2007)

Fourier Transform for Option Pricing under Affine Jump-Diffusions: An Overview

Sepp (2003)

A semi closed-form analytic pricing formula for call options in a hybrid Heston-HullWhite model

Karel in 't Hout, Joris Bierkensy, Antoine P.C. van der Ploegz and Jos in 't panhuis (2007)

Option Pricing when Stock returns are discontinuous

Merton (1976)


Goldfarb, Idnani (1983)

An exact analytical solution for discrete barrier options

Fusai, Abrahams, Sgarra (2006)

Arbitrage-Free Smoothing of the Implied Volatility Surface

Fengler (2005)

Implied Vol Constraints

Peter Carr (2004)

Calibrating and pricing with embedded local volatility models

Yong Ren,Dilip Madan and Michael Qian Qian (2007)

A continuity correction for discrete barrier options

Broadie and Glasserman (1997)

Option Valuation Using the Fast Fourier Transform

Peter Carr, Dilip B. Madan (1999)

A Perfect Calibration!Now What?

Wim Schoutens, Erwin Simons, Jurgen Tistaert (2007)

Base Correlation Mapping

Lehman Brothers (2007)

Overcoming the Limitations of Tranche Implied Correlations

Merril Lynch (2004)

Accrual Swaps and Range Notes

P. Hagan

Pricing and Risk Analysis of correlation Products: Evidence of Synthetic CDO Swaps.

Gohou Ferdinand DANON (2007)

Attached Excel spreadsheet.

Gohou Ferdinand DANON (2007)

Linking Caplet and Swaption Volatilities in a BGM/J Framework: Approximate Solutions

Riccardo Rebonato (2000)

The pricing of discretely sampled Asian and lookback options: a change of numeraire approach

J. Andreasen (1998)

The vanna-volga method for implied volatilities

A. Castagna and F. Mercurio (2007)

Synthetic CDO pricing using the double normal inverse Gaussian copula with stochastic factor loadings

A. Luescher (2005)

FX Basket options.

U. Hasler (2005)

Pricing of Convertible Bonds with Hard Call Features.

Jolle O. Wever and Peter P.M. Smid and Ruud H. Koning (2002)

Unified Pricing of Asian Options.

Jan Vecer (2002)

Static replication of barrier options: some general results.

Andersen, Andreasen and Eliezer (2002)

Efficient Simulation of the Heston Stochastic Volatility Model.

Andersen (2006)

A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options.

Heston (1993)

More Than You Ever Wanted To Know About Volatility Swaps.

Demeterfi, Derman, Kamal, Zou (1999)

Valuing American Options by simulation: a simple least squres approach.

Longstaff, Schwartz (2001)

A market-induced mechanism for stock pinning.

Avellaneda, Lipkin (2003)

Efficient analytic approximation of American option values.

Barone-Adesi, Whaley (1987)

Convexity - Lecture 4 NYU.

Lesniewski, (2008)

Regimes of volatility.

Derman (1999)

The valuation of options for alternative stochastic processes.

Cox, Ross (1975)

A stochastic volatility forward libor model with a term structure of volatility smiles.

Piterbarg (2003)

Barrier Options and Their Static Hedges: Simple Derivations and Extensions.

R. Poulsen

Pricing exotic options under local volatility.

Marc Decamps, De Schepper, Goovaerts

Valuing Asian and Portfolio options by conditioning on the Geometric mean price.

Curran (1994)


Ju Zhong (1999)

Accurate pricing formulas for Asian Options

Chen, Lyuu (2007)

1 - LIBOR and OIS

Lesniewski (2013)

2 - Girsanov, Numeraires, and all that

Lesniewski (2013)

3 - Options and Smiles

Lesniewski (2013)

4 - Convexity and CMS

Lesniewski (2013)

5 - Short Rate Models

Lesniewski (2013)

6 - LIBOR Market Model

Lesniewski (2013)

7 - Backward Induction

Lesniewski (2013)

8 - Portfolio Greeks

Lesniewski (2013)

Pandora's Cube

Hagan, Konikov (2004)

Derivation and Application of Greeks

Chen, Li, Shih (2008)

Implied Volatility Functions: Empirical tests

Dumas, Fleming and Whaley (1998)

Derivation of Local Volatility

Rouah (1998)

Convexity Conundrums

Hagan (< 3/2008)


Icap (2008)

LATAM Products

BNParibas (2011)

Valuation CDS

Lehman Brothers (2003) © 2006 H. Aliaga. Design by Cesar.
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