Research Methods in Quantitative Finance and Risk Management

The main purpose of this chapter is to discuss important quantitative methods used to do the research in quantitative finance and risk management. We first discuss statistics theory and methods. Second, we discuss econometric methods. Third, we discuss mathematics. Finally, we discuss other methods such as operation research, stochastic process, computer science and technology, entropy, and fuzzy set theory.

[1]  Christopher G. Lamoureux,et al.  Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects , 1990 .

[2]  K. Wei,et al.  An Asset‐Pricing Theory Unifying the CAPM and APT , 1988 .

[3]  Guy Laroque,et al.  On the Behaviour of Commodity Prices , 1992 .

[4]  P. Chalasani,et al.  A Refined Binomial Lattice for Pricing American Asian Options , 1999 .

[5]  San-Lin Chung,et al.  Generalized Cox-Ross-Rubinstein Binomial Models , 2007, Manag. Sci..

[6]  C. Granger,et al.  Spurious regressions in econometrics , 1974 .

[7]  M. Padberg,et al.  Simple Criteria for Optimal Portfolio Selection , 1976 .

[8]  L. C. G. Rogers,et al.  Optimal capital structure and endogenous default , 2002, Finance Stochastics.

[9]  J. M. Bates,et al.  The Combination of Forecasts , 1969 .

[10]  E. Elton.  Modern portfolio theory and investment analysis , 1981 .

[11]  R. Roll,et al.  An analytic valuation formula for unprotected American call options on stocks with known dividends , 1977 .

[12]  R. Geske,et al.  A note on an analytical valuation formula for unprotected American call options on stocks with known dividends , 1979 .

[13]  Kenton K. Yee.  Using accounting information for consumption planning and equity valuation , 2006 .

[14]  C. B. Tilanus,et al.  Applied Economic Forecasting , 1966 .

[15]  Yu-Ting Chen,et al.  An ODE approach for the expected discounted penalty at ruin in a jump-diffusion model , 2007, Finance Stochastics.

[16]  Steven Kou,et al.  Option Pricing Under a Double Exponential Jump Diffusion Model , 2001, Manag. Sci..

[17]  S. Asmussen,et al.  Russian and American put options under exponential phase-type Lévy models , 2004 .

[18]  Ľuboš Pástor.  Portfolio Selection and Asset Pricing Models , 1999 .

[19]  Robert B. Litterman,et al.  Global Portfolio Optimization , 1992 .

[20]  Ernesto Mordecki,et al.  Optimal stopping and perpetual options for Lévy processes , 2002, Finance Stochastics.

[21]  Robert E. Whaley,et al.  On the valuation of American call options on stocks with known dividends , 1981 .

[22]  K. J. Martijn Cremers,et al.  Stock Return Predictability: A Bayesian Model Selection Perspective , 2000 .

[23]  G. Yule.  Why do we Sometimes get Nonsense-Correlations between Time-Series?--A Study in Sampling and the Nature of Time-Series , 1926 .

[24]  S. Heston.  A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options , 1993 .

[25]  F. Delbaen.  Probability and Finance: It's Only a Game! , 2002 .

[26]  Robert B. Litterman,et al.  Asset Allocation , 1991 .

[27]  Hans U. Gerber,et al.  On the discounted penalty at ruin in a jump-diffusion and the perpetual put option , 1998 .

[28]  Louis O. Scott.  Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application , 1987, Journal of Financial and Quantitative Analysis.

[29]  Alan G. White,et al.  Efficient Procedures for Valuing European and American Path-Dependent Options , 1993 .

[30]  Guy Laroque,et al.  On the Behavior of Commodity Prices , 1990 .

[31]  F. Black,et al.  The Pricing of Options and Corporate Liabilities , 1973, Journal of Political Economy.

[32]  Adrian E. Raftery,et al.  Bayesian model averaging: a tutorial (with comments by M. Clyde, David Draper and E. I. George, and a rejoinder by the authors , 1999 .

[33]  J. P. Gould.  Adjustment Costs in the Theory of Investment of the Firm , 1968 .

[34]  G. Shafer,et al.  Probability and Finance: It's Only a Game! , 2001 .