Financial Numerical Recipes in C++ introduces the Quant approach to this programming language

Financial Numerical Recipes in C++ introduces the Quant approach to this programming language

This books put out by Bernt Arne Ødegaard is a great book for a number of reasons. First, the book is free online at http://finance.bi.no/~bernt/gcc_prog/recipes/recipes/ or I am sure you can find a downloadable version somewhere. As for the material, it was so good to see like Mark Joshi’s book how the two concepts of Quant (financial engineering) and C++ programming. Both concepts are introduces in this book but at an intermediate level. You must have a fairly advance knowledge in both.
Let’s talk about the material now. We get the usual programming concepts in C++. The other bonus in this book is how Bernt breaks down the quant concepts of each algorithms and reasons behind them. He covers all items like interpolation and how to build inheritance into your base classes.
He then goes into futures contracts. He does a very good job in explaining bonds, binomial trees (the best I have seen yet of all books), option pricing, sections on simulators, and more advance concepts like Asian options. Look backs, etc.

Some of the appendixes are critical in explain normal distribution concepts including complicate multivariates and a whole slew of end to end on this topic.
I must stress what I find as a great one two punch is use this book with Mark Joshi’s I have done a recent review on. I mean between both books, you should get a fantastic way to build your confidence I merging the complexities of quant models and algorithms with C++ development. C++ alone is complex but the algorithms broken down by both books merge the two quite well.
Do know that Financial Numerical Recipes in C++ notes the algorithm and formula with notations at the end. After that, do expect a listing C++ source code which will quickly ramp up your knowledge in both. This is important if you really want to build your confidence really fast for those interviews leading to high paying Quant positions.

More Exceptional C++ by Herb Sutter is not another 2nd part rip off book to improve you programming skills to get another job

More Exceptional C++ by Herb Sutter is not another 2nd part rip off book to improve you programming skills to get another job
As I said, this is another another one of those rip off book extending from a previous one. This is just as critical in owning if you really want to pass those hard to achieve a successful career in C++ development.
Let’s start breaking down the book shall we?
The author seems to have a secret love for generic programming with the Standard Template Libary. In a nutshell, you will get further drilled on all the containers like vector, deque, set, and map. You will also learn about lazy optimization and even more exception safety(including reasons for constructor failures) within C++. Another important interview item is the pure and impure virtual functions with controlled polymorphism. If you ever want to design wonky code, this book will show you how to do recursive declarations and simulating nested functions (WHY? I HAVE NO IDEA) but it can be done just like in Java. This also goes into unused C++ features like macros, typedef, namespaces, forward declaration and #definition.
The one section I really admired in this book was on C++ serialization for multi threaded environments. There were three separate appendixes for this which included a break down on the different types of mutexes and atomic routines. It even showed test results of all the different atomic functions instead of using mutexes. These appendixes talks about the classic ‘copy on write’ techniques used and how to properly implement synchronization techniques.
All in all, this book and Exceptional C++ are critical books to read to modernize your skills if you want to get a slick career in C++. C++ can be a complex language but both these introduce complex concepts of the programming language as well breaks it down for you if you are unaware of certain topics. I would definitely compare these books to the Java series of learning from Kathy Sierra and Bert Bates.

Exceptional C++ by Herb Sutter will be most useful for any advanced C++ programmer or developer

Exceptional C++ by Herb Sutter will be most useful for any advanced C++ programmer or developer

A couple of things about this book and author Herb Sutter you should know about. When I found out the author was from Toronto, I was hoping that would have been a great local hook up Sadly, he has moved on to living in Seattle working for some small unknown software company called Microsoft. He has been there for over eight years as an architect which is pretty impressive. Also, he also sits on a lot of the C++ Executive Coding Standard meetings. Nice.
Ok onto this book. When I first start reading, it was more treated a like a test of 47 detailed level questions on C++. It was at the beginning difficult to wrap my head around the concept of items instead of reading in a chronological order like any other software engineering book. Strange as it was but quickly got used to it.
Now let’s start breaking down what you can expect in this book. There were some surprising sections on iterators, unknown secrets with strings or generally using generic concepts. This will help build your knowledge in designing and implemented smart reusable and extensible. Just think of this another way to keep your job or maybe even get promoted. One important section was the detailed briefing on making sure you understand how to write exception safety code. I don’t know of a lot of books that describe at the level of detail in others. Other sections focus on the importance of smart inheriting for easy to work with object orientation. Also, expect to see a new concept this author which he introduces you to which he calls the Pimple Idiom. This should be thought of as an adapter design pattern. Other sections include smart memory management, auto_ptr, casting, the truth of Booleans.
So ask yourself again, why are you not reading this book to enhance your potential with C++ ?

The Essential STL (Standard Template Library) from Scott Meyers is one of those books to enhance your C++ job interview opportunities

The Essential STL (Standard Template Library) from Scott Meyers is one of those books to enhance your C++ job interview opportunities
Among a series of books I have delved into, this one was definite recommendation for those either updating their C++ skill level or just wanting to know the Stanard Template to understand the detailed level of the Standard Template Library. As I am part of the crucial Quant groups on Linked In, I have come across so many job descriptions not just wanting you to have knowledge in the C++ native language but also STL. This has proven to be a very important element in your C++ development. I must say, this book has introduced me to important facts I never knew about C++.
The book is broken down into very critical sections if you really want a clear shot of being successful in any C++ interviews. There is a very sexton on the different type of containers you will need to understand to become a very success quant trader or quant developer. There is another detailed chapter on vectors and string alone. There are your friends when it comes to quick number crunching as you go up against millions of elements from live market data feeds like Bloomberg or Reuters. Another section which few developers seem to misunderstand is about iterators within those containers. There is also a section which will introduce you to the concept of using algorithms instead of rolling your own. This of course to give full analysis of what optimized code to write versus code which may have unneeded extra steps? One of the most confusing (and also most asked C++ questions during interviews) is about Functors, Functor Classes, Functions and so. Always make sure if you have a solid grasp before you allows yourself to be peppered by technical interview on these C++ topics. As you can tell, Scott Meyers has most likely given it his all to write a book with so much detail on this underestimated library called Standard Template Library.

Is this the ultimate Bit Torrent Complete Collection for Quant practioners?

Is this the ultimate Bit Torrent Complete Collection for Quant practioners?
Here is a complete Quant collection of documents which could be critical for your success in the field. I am not sure if these documents are proprietary or commercial. Below is the list which indicated a variety of topics from introdocuctory on different type of models to more advanced topics. I do believe this could one of those goldmine discoveries you come across in a lucky way. I found this collection on Torrentz.com and then used utorrrent from utorrent.com which is a Bit Torrent client for downloading torrent files. Do a search for Quant and you should find it. As you look at the list of documents, you will find all financial and academic institutions represented. Some of these may be old from take oven or bankrupt banks, but who cares, it is the knowledge you are after right? Check out the list below:

17/04/2010 03:44 PM 774,126 [ABN-AMRO] A Breathrough in Synthetic Credit Investments.pdf
17/04/2010 03:29 PM 36,004 [Adelson & Jacob Consulting] The Need to See Past the Data.pdf
17/04/2010 04:07 PM 858,140 [Advances in Futures and Options Research, Barone-Adesi] On the Valuation of American Put Options on Dividend-Paying Stocks.pdf
17/04/2010 04:12 PM 361,432 [Agder University College, Koekebakker] Electricity Term Structure Modelling.pdf
17/04/2010 03:53 PM 164,284 [Aite Group] Trends in OTC Equity Derivatives - Where do we go from here.pdf
17/04/2010 04:09 PM 482,816 [Amen] Introduction To Foreign Exchange.ppt
17/04/2010 03:35 PM 801,330 [Andrew Davidson & Co] An Implied Prepayment Model for MBS.pdf
17/04/2010 04:09 PM 379,655 [Andrew Davidson & Co] Divide and Conquer - Exploring New OAS Horizons.pdf
17/04/2010 03:56 PM 191,893 [Andrew Davidson & Co] Fixed-Rate Agency MBS Prepayments and Model Enhancements.pdf
17/04/2010 04:08 PM 276,788 [Andrew Davidson & Co] Interest Rate Modeling - A Conscientious Choice.pdf
17/04/2010 03:40 PM 374,476 [Andrew Davidson & Co] LOANDYNAMICS - AD&CO's Approach to Modeling Credit Risk.pdf
17/04/2010 04:05 PM 790,911 [Andrew Davidson & Co] The Relationship Between the Yield Curve and Mortgage Current Coupon.pdf
17/04/2010 04:11 PM 6,265,941 [Applied Mathematical Finance, Chung] Pricing Quanto Equity Swaps in a Stochastic Interest Rate Economy.pdf
17/04/2010 04:12 PM 734,588 [Applied Mathematical Finance, Hagan] Interpolation Methods for Curve Construction.pdf
17/04/2010 03:38 PM 449,763 [Applied Mathematical Finance, West] Calibration of the SABR Model in Illiquid Markets.pdf
17/04/2010 03:57 PM 270,149 [Applied Spectroscopy, Lodder] Quantile Analysis - A Method for Characterizing Data Distributions.pdf
17/04/2010 04:06 PM 98,018 [ASX Australian Exchange] A Guide to the Pricing Conventions of SFE Interest Rate Products.pdf
17/04/2010 04:14 PM 5,267,007 [AVT] Initial Estimating and Refining Volatility.pdf
17/04/2010 04:14 PM 1,098,398 [AXA Investment] Why the Implied Correlation of Dispersion Has to be Higher Than the Correlation Swap Strike.pdf
17/04/2010 04:07 PM 2,118,454 [Bae] Managing Global Financial Risk Using Currency Futures and Currency Options.pdf
17/04/2010 03:57 PM 316,225 [Bank of America, Andersen] Efficient Simulation of the Heston Stochastic Volatility Model.pdf
17/04/2010 03:59 PM 459,361 [Bank of America-Merrill Lynch] The Big Bang - A Guide to the Standardized CDS Contract.pdf
17/04/2010 03:56 PM 803,810 [Bank of America] An Introduction to Agency MBS Derivatives.pdf
17/04/2010 04:00 PM 141,572 [Bank of America] Credit Strategy - Monolines - A Potential CDS Settlement Disaster.pdf
17/04/2010 03:56 PM 164,508 [Bank of America] Fixed-Rate IO Mortgages.pdf
17/04/2010 03:50 PM 463,397 [Bank of America] Guide to Credit Default Swaptions.pdf
17/04/2010 03:47 PM 340,671 [Bank of America] Hybrid ARM MBS - Valuation and Risk Measures.pdf
17/04/2010 04:02 PM 671,660 [Bank of America] Introduction to Agency CMO Structures.pdf
17/04/2010 03:51 PM 107,982 [Bank of America] Introduction to Cross Currency Swaps.pdf
17/04/2010 03:29 PM 27,361 [Bank of America] Option Prices Imply a Dividend Yield - Examining Recent Trading in JPM.pdf
17/04/2010 04:10 PM 1,092,687 [Bank of America] Outlook for the RMBS Market in 2007.pdf
17/04/2010 03:52 PM 392,812 [Bank of America] Prepayments on Agency Hybrid ARM MBS.pdf
17/04/2010 04:10 PM 672,431 [Bank of America] Pricing Mortgage-back Securities.pdf
17/04/2010 03:59 PM 423,945 [Bank of America] Residential Mortgages - Prepayments and Prepayment Modeling.pdf
17/04/2010 04:03 PM 417,447 [Bank of America] The Agency ARM MBS Sector.pdf
17/04/2010 04:05 PM 378,502 [Bank of America] Trust IO-PO Market.pdf
17/04/2010 04:12 PM 502,008 [Bank of America] Understanding Mortgage Dollar Rolls.pdf
17/04/2010 04:12 PM 501,380 [Bank of Canada, Bolder] Yield Curve Modelling at the Bank of Canada.pdf
17/04/2010 03:28 PM 452,762 [Bank of Canada, Ron] A Practical Guide to Swap Curve Construction.pdf
17/04/2010 04:10 PM 867,895 [Barclays] BESA South Africa Government Inflation-linked Bond Index Guide.pdf
17/04/2010 04:06 PM 3,312,619 [Barclays] CDS Curve Trading Handbook 2008.pdf
17/04/2010 04:01 PM 684,918 [Barclays] Convertible Bonds - A Technical Introduction.pdf
17/04/2010 04:09 PM 751,805 [Barclays] Correlation Modelling - From Vanilla to Exotic.pdf
17/04/2010 04:13 PM 988,447 [Barclays] Dividend Swap Indices - Access to Equity Income Streams Made Easy.pdf
17/04/2010 04:08 PM 597,981 [Barclays] European Alpha Anticipator - Decoding the Fed and Monolines.pdf
17/04/2010 03:28 PM 197,427 [Barclays] Forward Starting Equity.pdf
17/04/2010 04:08 PM 1,318,365 [Barclays] Global Inflation-Linked Products - A User's Guide.pdf
17/04/2010 03:55 PM 1,537,183 [Barclays] Inflation Derivatives - A User's Guide.pdf
17/04/2010 04:05 PM 604,994 [Barclays] The Barclays Capital Guide to Cash Flow Collaterialized Debt Obligations .pdf
17/04/2010 04:09 PM 1,282,578 [Barra] Global Equity - Risk Model Handbook.pdf
17/04/2010 03:36 PM 443,814 [Barra] Single Country Equity - Risk Model Handbook.pdf
17/04/2010 04:11 PM 972,501 [Bear Stearns] Across the Curve in Rates and Structured Products and Across the Grade in Credit Products Outlook 2007.pdf
17/04/2010 04:09 PM 1,124,468 [Bear Stearns] Bear Stearns Quick Guide to Non-Agency Mortgage-Back Securities.pdf
17/04/2010 04:15 PM 1,469,760 [Bear Stearns] Introduction to Asset-Backed CDS.pdf
17/04/2010 04:01 PM 318,301 [Bear Stearns] RMBS Residuals - A Primer.pdf
17/04/2010 03:29 PM 42,272 [Bear Stearns] S&P 500 Index Variance - Buying Earnings Volatility.pdf
17/04/2010 04:00 PM 238,973 [Bear Stearns] The Outlook for Fixed Income 2007.pdf
17/04/2010 04:06 PM 98,789 [Bear Stearns] Understanding CMO Toggle Floaters.pdf
17/04/2010 03:28 PM 130,733 [Bear Stearns] Variance Swaps - An Introduction.pdf
17/04/2010 04:16 PM 262,307 [Benth] Analytical Approximation for the Price Dynamics of Spark Spread Options.pdf
17/04/2010 03:42 PM 442,897 [Bloomberg Magazine, Berger] Modeling Future Interest Rates - Taming the Unknownable.pdf
17/04/2010 03:56 PM 732,486 [Bloomberg Magazine, Carr] The Innovator.pdf
17/04/2010 03:57 PM 316,245 [Bloomberg Magazine, Carr] The Value of Volatiliity.pdf
17/04/2010 03:32 PM 192,257 [Bloomberg, Baver] Variance Gamma Option Model.pdf
17/04/2010 03:25 PM 196,307 [Bloomberg, Berger] Modeling Interest Rates - Fundamental Issues.pdf
17/04/2010 03:46 PM 188,490 [Bloomberg, Berger] Stochastic Interest Rates - A Crucial Correlation.pdf
17/04/2010 04:16 PM 262,805 [Bloomberg, Carr] Hedging Variance Options on Continuous Semimartingales.pdf
17/04/2010 03:47 PM 1,605,632 [Bloomberg, Dupire] Modelling Volatility Skews.ppt
17/04/2010 03:58 PM 1,070,107 [Bloomberg, Konikov] Basket Default Swaps.pdf
17/04/2010 04:12 PM 360,394 [Bloomberg, Stein] FX Market Behavior and Valuation.pdf
17/04/2010 03:57 PM 1,995,997 [Bloomberg, Stein] Mortgage Backed Valuation.pdf
17/04/2010 03:54 PM 703,408 [Bloomberg, Stein] Valuation of Exotic Interest Rate Derivatives - Bermudans and Range Accruals.pdf
17/04/2010 04:09 PM 205,782 [Bloomberg, Yekutieli] Implementation of the Hestom Model for the Pricing of FX Options.pdf
17/04/2010 04:11 PM 2,786,802 [Bloomberg] Credit Default Swaps.pdf
17/04/2010 03:56 PM 265,006 [BNP Paribas, Atlan] Hybrid Equity-Credit Modelling.pdf
17/04/2010 04:13 PM 1,712,153 [BNP Paribas] Conditions et tarifs - Produits et services pour les particuliers.pdf
17/04/2010 04:16 PM 149,143 [BNP Paribas] Corridor Variance Swaps - A Cheaper Way to Buy Volatility.pdf
17/04/2010 03:51 PM 126,210 [BNP Paribas] DivDax. Trade 2009-2010 dividend swap.pdf
17/04/2010 04:08 PM 370,810 [BNP Paribas] European Volatility Tracker - Feb 2006.pdf
17/04/2010 03:58 PM 831,632 [BNP Paribas] Guide to Structured Products.pdf
17/04/2010 03:33 PM 539,858 [BNP Paribas] Index Variance Arbitrage.pdf
17/04/2010 03:57 PM 390,684 [BNP Paribas] Inflation Linked Bond Markets - 2009 Real Rate & Curve Modeling.pdf
17/04/2010 04:06 PM 2,165,052 [BNP Paribas] Produits Derives - Change, Taux et Actions.pdf
17/04/2010 03:53 PM 159,226 [BNP Paribas] Quantitative Option Strategy.pdf
17/04/2010 03:54 PM 226,959 [BNP Paribas] Smile Trading.pdf
17/04/2010 04:02 PM 940,529 [BNP Paribas] Structured Retail Products.pdf
17/04/2010 04:16 PM 153,913 [BNP Paribas] The Bermuda Triangle of Super Senior Risk.pdf
17/04/2010 04:13 PM 4,992,281 [BNP Paribas] The High Yield Handbook, Part 1.pdf
17/04/2010 04:15 PM 4,677,265 [BNP Paribas] The High Yield Handbook, Part 2.pdf
17/04/2010 04:12 PM 336,240 [BNP Paribas] Understanding Credit Derivatives Vol. 1 - Market Overview.pdf
17/04/2010 03:41 PM 424,851 [BNP Paribas] Understanding Credit Derivatives Vol. 2 - CDS Basics.pdf
17/04/2010 03:57 PM 509,689 [BNP Paribas] Understanding Credit Derivatives Vol. 4 - CDS Pricing.pdf
17/04/2010 03:49 PM 563,107 [BNP Paribas] Understanding Credit Derivatives Vol. 5 - First-to-Default Baskets.pdf
17/04/2010 03:46 PM 517,030 [BNP Paribas] US Index Option Strategies.pdf
17/04/2010 03:46 PM 718,755 [BNP Paribas] Volatility Investing Handbook.pdf
17/04/2010 04:00 PM 135,472 [BNP Paribas] What Future for Dividends in Europe.pdf
17/04/2010 03:55 PM 154,612 [Bond Exchange of South Africa] Bond Pricing Formula - Specifications.pdf
17/04/2010 04:11 PM 714,699 [Bond Market Association] An Analysis and Description of Pricing and Information Sources in the Securitized and Structured Finance Markets.pdf
17/04/2010 03:54 PM 394,662 [Booz Allen Hamilton] The M&A Collar Handbook - How to Manage Equity Risk.pdf
17/04/2010 03:42 PM 376,587 [Borak] FFT Based Option Pricing.pdf
17/04/2010 04:01 PM 184,134 [Borovkova] Analysis and Modelling of Electricity Futures Prices.pdf
17/04/2010 04:15 PM 2,118,454 [Bowling Green State University, Bae] Managing Global Financial Risk Using Currency Futures and Currency Options.pdf
17/04/2010 03:54 PM 298,350 [CARR Futures, Burghardt] The Convexity Bias in Eurodollar Futures.pdf
17/04/2010 03:58 PM 203,314 [Carr Futures, Panos] Trading the Unemployment Report.pdf
17/04/2010 04:07 PM 727,163 [CBOT] CBOT Electricity Futures and Options Reference and Applications Guide.pdf
17/04/2010 04:09 PM 396,968 [CBOT] CBOT Soybean Crush Reference Guide.pdf
17/04/2010 03:42 PM 376,452 [Center for Futures Education] The Fundamentals and Techniques of Trading Commodity Spreads.pdf
17/04/2010 03:29 PM 27,769 [CFA Institute] Global Investment Performance Standards (GIPS) - Corrections.pdf
17/04/2010 03:55 PM 802,397 [CFA Institute] Global Investment Performance Standards (GIPS).pdf
17/04/2010 03:56 PM 164,977 [Chris] Market Risk for Volatility and Variance Swaps.pdf
17/04/2010 03:49 PM 349,515 [Citibank] A General Review of CDO Valuation Methods.pdf
17/04/2010 04:09 PM 549,452 [Citibank] Convertible Bonds - A Guide.pdf
17/04/2010 03:27 PM 221,503 [Citibank] Correlation Trading Strategies.pdf
17/04/2010 03:43 PM 516,912 [Citibank] CPDOs - The New Best Seller.pdf
17/04/2010 03:49 PM 349,515 [Citibank] General Review of CDO Valuation Methods.pdf
17/04/2010 04:13 PM 1,033,348 [Citibank] Guide to Mortgage-Back Securities.pdf
17/04/2010 03:35 PM 182,618 [Citibank] Index-Linked Investment Products.pdf
17/04/2010 04:14 PM 1,984,683 [Citibank] Interest Rates Workbook.pdf
17/04/2010 04:05 PM 792,016 [Citibank] Introducing the Experimental Prepayment Model.pdf
17/04/2010 04:01 PM 1,514,170 [Citibank] Latin America Training and Development Center - Asset Backed Finance.pdf
17/04/2010 03:54 PM 1,617,063 [Citibank] Latin America Training and Development Center - Basic Corporate Finance.pdf
17/04/2010 04:09 PM 1,140,284 [Citibank] Latin America Training and Development Center - Basic Treasury.pdf
17/04/2010 04:14 PM 1,822,199 [Citibank] Latin America Training and Development Center - Basics of Trade Services and Trade Finance.pdf
17/04/2010 04:04 PM 980,910 [Citibank] Latin America Training and Development Center - Debt Financing.pdf
17/04/2010 04:12 PM 706,857 [Citibank] Latin America Training and Development Center - Equity Financing.pdf
17/04/2010 04:13 PM 1,664,727 [Citibank] Latin America Training and Development Center - Financial Statement Analysis.pdf
17/04/2010 04:10 PM 1,864,150 [Citibank] Latin America Training and Development Center - Futures.pdf
17/04/2010 04:13 PM 1,036,072 [Citibank] Latin America Training and Development Center - Interest Rates.pdf
17/04/2010 04:12 PM 957,648 [Citibank] Latin America Training and Development Center - Introduction to Risk Management.pdf
17/04/2010 04:15 PM 201,728 [Citibank] Mortgage Basics Overview.ppt
17/04/2010 04:09 PM 211,694 [Citibank] Total Rate of Return Indexes - April 2005 Performance.pdf
17/04/2010 03:32 PM 133,385 [Citibank] Using Asset Swap Spreads to Identify Goverment Bond Relative-Value.pdf
17/04/2010 03:42 PM 76,880 [Citibank] Valuing Fixed-Rate IO Mortgages.pdf
17/04/2010 04:06 PM 343,744 [City Credit Capital, Patten] An Introduction to Contracts for Difference.pdf
17/04/2010 03:36 PM 71,526 [CK Locke and Partners] CFD Trading Manual.pdf
17/04/2010 03:44 PM 771,676 [CME] Interest Rate Products - Advanced Topics.pdf
17/04/2010 04:03 PM 357,965 [Columbia University, Derman] Trading Volatility as an Asset Class.pdf
17/04/2010 04:13 PM 1,665,682 [Columbia University, Zhao] Bayesian Adaptive Portfolio Optimization.pdf
17/04/2010 03:36 PM 67,461 [Commodities Now, Sikorski] EU Emissions Trading - What Does It Mean for an Electricity Generator.pdf
17/04/2010 03:44 PM 355,373 [Computing, Spath] Exponential Spline Interpolation.pdf
17/04/2010 03:56 PM 124,600 [Convertible Bonds, Berger] Valuing Options on Dividend-Paying Stocks.pdf
17/04/2010 03:35 PM 176,875 [Copenhagen Business School, Nielsen] Dividends in the Theory of Derivative Securities Pricing.pdf
17/04/2010 03:36 PM 433,472 [Cotton] Stochastic Volatility Corrections for Interest Rate Derivatives.pdf
17/04/2010 03:50 PM 220,158 [Courant Institute, Carr] Trading Autocorrelation.pdf
17/04/2010 04:15 PM 245,839 [Courant Institute, Friz] Valuation of Volatility Derivatives as an Inverse Problem.pdf
17/04/2010 03:45 PM 543,821 [Creative Computing, Stineman] A Consistently Well-Behaved Method of Interpolation.pdf
17/04/2010 04:13 PM 3,056,875 [Credit Suisse] CFBS's Starter Kit for Non-Agency Residential Mortgage-Backed Securities.pdf
17/04/2010 04:12 PM 2,578,845 [Credit Suisse] Credit Portfolio Modeling Handbook.pdf
17/04/2010 04:11 PM 979,000 [Credit Suisse] Credit Suisse's Guide to Global Fixed Income Indices.pdf
17/04/2010 04:04 PM 1,111,050 [Credit Suisse] Fixed-Rate Alt-A MBS - Commonly Asked Questions Answered.pdf
17/04/2010 04:13 PM 990,433 [Credit Suisse] Institutional Considerations - The next move on the MBS 'chessboard'.pdf
17/04/2010 04:11 PM 1,525,586 [Credit Suisse] Institutional Considerations in the MBS Markets.pdf
17/04/2010 03:56 PM 820,386 [Credit Suisse] Option Market Feedback - What can the option markets tell investors and modelers.pdf
17/04/2010 04:01 PM 721,661 [CSMA] CMBS Total Rate of Return Swaps.pdf
17/04/2010 04:16 PM 16,079,972 [Damodaran On-line, Damodaran] Applied Corporate Finance, 2nd Ed.pdf
17/04/2010 03:48 PM 435,748 [DerivativeFitch] Considerations for Rating Commodities-Linked Credit Obligations.pdf
17/04/2010 03:47 PM 729,160 [DerivativeFitch] First Generation CPDO - Case Study on Performance and Ratings.pdf
17/04/2010 04:12 PM 4,507,451 [Derivatives Consulting Group] Introduction to Equity Derivatives.pdf
17/04/2010 04:11 PM 299,429 [Derivatives Strategy, Leib] The Art of Option Writing - August 2000.pdf
17/04/2010 03:34 PM 80,886 [Derivatives Week] Variance Swap Volatility and Option Strategies.pdf
17/04/2010 03:42 PM 292,061 [Deutsche Bank] Asset Valuation & Allocation Models.pdf
17/04/2010 03:29 PM 25,132 [Deutsche Bank] Credit Derivatives - Issues & Trends.pdf
17/04/2010 04:07 PM 384,319 [Deutsche Bank] Credit Derivatives and Structured Credit.pdf
17/04/2010 04:08 PM 169,343 [Deutsche Bank] Depositary Receipts Handbook.pdf
17/04/2010 03:51 PM 111,386 [Deutsche Bank] FAS 133 Amendments.pdf
17/04/2010 04:16 PM 147,561 [Deutsche Bank] High-Yield Credit Derivatives.pdf
17/04/2010 04:07 PM 653,712 [Deutsche Bank] Modeling Variance Swap Curves - Theory and Application.pdf
17/04/2010 03:54 PM 165,478 [Deutsche Bank] Pricing Exotic FX & Equity Derivatives.pdf
17/04/2010 04:03 PM 418,412 [Deutsche Bank] Quantitative Credit Strategy - Aug, 25 2006.pdf
17/04/2010 03:53 PM 160,561 [Deutsche Bank] The Arbitrage CDO Market.pdf
17/04/2010 03:43 PM 241,089 [Deutsche Borse Group] Guide to the Volatility Indices of Deutsche Borse.pdf
17/04/2010 03:38 PM 450,424 [Diko] Risk Premia in Electricity Forward Prices.pdf
17/04/2010 03:52 PM 393,786 [Dresdner Kleinwort Wasserstein] Structured Products Vicious Circle - How Structured Products Exaggerate Long-Dated Implied Volume Moves.pdf
17/04/2010 03:58 PM 849,371 [Dresdner Kleinwort, Bossu] A New Approach for Modelling and Pricing Correlation Swaps.pdf
17/04/2010 04:14 PM 991,979 [Dresdner Kleinwort, Bossu] Equity Correlation Swaps - A New Approach for Modelling & Pricing.pdf
17/04/2010 04:02 PM 1,087,191 [Dresdner Kleinwort, Bossu] Introduction to Volatility Trading and Variance Swaps.pdf
17/04/2010 03:57 PM 872,615 [Dresdner Kleinwort, Clark] Numerical Methods for Stochastic Volatility - Fourier Methods, PDEs and Monte Carlo.pdf
17/04/2010 03:49 PM 849,371 [Dresdner Kleinwort] A New Approach For Modeling and Pricing Correlation Swaps.pdf
17/04/2010 04:10 PM 5,406,643 [Dubai International Financial Centre] A Guide to Islamic Finance In or From the DIFC.pdf
17/04/2010 03:29 PM 13,420 [Duff & Phelps Credit Rating Co] DCR Rates Asian Diversified Funding Bond CBO.pdf
17/04/2010 03:29 PM 14,244 [Duff & Phelps Credit Rating Co] DCR Rates First-Ever Weather-Linked Notes.pdf
17/04/2010 03:42 PM 440,123 [Duff & Phelps Credit Rating Co] DCR's Criteria for Rating Cash Flow CDOs.pdf
17/04/2010 04:07 PM 2,147,482 [Econometrica, Cox] A Theory of the Term Structure of Interest Rates.pdf
17/04/2010 04:06 PM 2,181,301 [Econometrica, Heath] Bond Pricing and the Term Structure of Interest Rates - A New Methodology for Contingent Claims Valuation.pdf
17/04/2010 03:56 PM 1,282,574 [Econometrica, Phillips] Optimal Inference in Cointegrated Systems.pdf
17/04/2010 03:56 PM 116,810 [Economic Modeling, Johansen] Modelling of Cointegration in the Vector Autoregressive Model.pdf
17/04/2010 03:59 PM 483,700 [EDHEC Risk and Asset Management Research Centre] The Amaranth Collapse - What Happened and What Have We Learned Thus Far.pdf
17/04/2010 04:08 PM 274,388 [Egar Technology, Ioffe] Variance Swap Pricing.pdf
17/04/2010 04:01 PM 1,616,443 [Egar Technology] How to Extend Modern Portfolio Theory to Make Money from Trading Equity Options.pdf
17/04/2010 03:53 PM 160,049 [Egar Technology] Weather Derivatives.pdf
17/04/2010 03:56 PM 263,462 [Erasmus University, Hallerback] An Improved Estimator for Black-Scholes-Merton Implied Volatility.pdf
17/04/2010 03:49 PM 585,832 [Eurex] Interest Rate Derivatives - Fixed Income Trading Strategies.pdf
17/04/2010 04:11 PM 403,236 [Eurex] Volatility and its Measurements - The Design of a Volatility Index and the Execution of its Historical Time Series at the Deutsche Borse AG.pdf
17/04/2010 04:16 PM 919,947 [European Central Bank] The Euro Bond Market Study - December 2004.pdf
17/04/2010 03:46 PM 189,139 [European Securitisation Forum] European Securitisation - A Resource Guide.pdf
17/04/2010 04:01 PM 187,275 [FEA] Power Price Simulation using Hybrid Models.pdf
17/04/2010 04:12 PM 223,830 [FEA] Valuing Generation Assets and Tolling Agreements using the Power Sector Model.pdf
17/04/2010 04:10 PM 413,174 [Federal Reserve Bank of Alanta, Fern ndez-Villaverde] A, B, C's (and D's) for Understanding VARs.pdf
17/04/2010 03:57 PM 272,335 [Federal Reserve Bank of Chicago] Structured Notes.pdf
17/04/2010 04:15 PM 59,565 [Federal Reserve Bank of Clevland, Haubrich] Swaps and the Swaps Yield Curve.pdf
17/04/2010 04:14 PM 307,713 [Federal Reserve Bank of New York, Fernald] The Pricing and Hedging of Index Amortizing Rate Swaps.pdf
17/04/2010 04:11 PM 258,023 [Federal Reserve Bank of New York, Fleming] Repurchase Agreements with Negative Interest Rates.pdf
17/04/2010 04:06 PM 396,074 [Federal Reserve Bank of New York, Kambhu] Trading Risk and Volatility in Interest Rate Swap Spreads.pdf
17/04/2010 04:12 PM 523,994 [Federal Reserve Bank of San Fransico, Poole] Using T-Bill Futures to Gauge Interest-Rate Expectations.pdf
17/04/2010 04:04 PM 2,531,361 [Federal Reserve Board, Gurkaynak] The US Treasury Yield Curve - 1961 to the Present.pdf
17/04/2010 03:57 PM 267,657 [Finance and Stochastics, Fusai] An Exact Analytical Soltion for Discrete Barrier Options.pdf
17/04/2010 04:09 PM 379,265 [FitchRatings] Asset-Backed Commercial Paper Explained.pdf
17/04/2010 03:53 PM 162,623 [FitchRatings] Credit Policy - 2006 European SF Outlook Chart.pdf
17/04/2010 04:16 PM 151,792 [FitchRatings] Hybrid Securities - An Emperical View.pdf
17/04/2010 04:06 PM 349,002 [FitchRatings] Rating Securitizations Above the Sovereign Ceiling.pdf
17/04/2010 03:58 PM 289,200 [FitchRatings] Structured Finance in Latin America's Domestic Markets.pdf
17/04/2010 03:30 PM 202,336 [FitchRatings] Synthetic Overview for CMBS Investors.pdf
17/04/2010 04:11 PM 299,477 [FitchRatings] UK Non-Conforming RMBS - Catching a Cold.pdf
17/04/2010 03:42 PM 76,497 [FOW, Smith] Adding a Floor to Equity Cliquets.pdf
17/04/2010 03:42 PM 257,001 [Frankfurt MathFinance Institute, Kuhn] Israeli Options as Composite Exotic Options.pdf
17/04/2010 04:10 PM 411,417 [Futures Magazine, Gould] Comparing Price, Volume & Open Interest.pdf
17/04/2010 04:04 PM 477,106 [Ganatra] Implementation of Variance Swaps in Dispersion Trading Strategies.pdf
17/04/2010 03:27 PM 221,261 [Glass] Fourier Transform Techniques in Stochastic Volatility BGM.pdf
17/04/2010 04:12 PM 283,561 [Glenwood Capital Investments] Variance Swaps and Non-Constant Vega.pdf
17/04/2010 03:56 PM 1,424,468 [Global Derivatives 2005, Dupire] Exploring Volatility Derivatives - New Advances in Modelling.pdf
17/04/2010 04:15 PM 2,101,720 [Goldman Sachs, Black] Fixed Income Research - Global Asset Allocation with Equities, Bonds, and Currencies.pdf
17/04/2010 04:04 PM 852,377 [Goldman Sachs] A Mortgage Product Primer.pdf
17/04/2010 04:01 PM 4,867,550 [Goldman Sachs] Alt-A Market - An Introduction.pdf
17/04/2010 03:56 PM 320,271 [Goldman Sachs] Dividends and Dividend Swaps.pdf
17/04/2010 04:11 PM 1,264,395 [Goldman Sachs] Fixed Income Research - The Investment Implications of an Inverted Yield Curve.pdf
17/04/2010 03:51 PM 127,568 [Goldman Sachs] Hedge Funds - Have You Missed the Boat.pdf
17/04/2010 03:56 PM 122,444 [Goldman Sachs] How to Value and Hedge Options on Foreign Indexes.pdf
17/04/2010 04:08 PM 600,511 [Goldman Sachs] Introduction to Mortgage-Backed Securities and Other Securitized Assets.pdf
17/04/2010 04:05 PM 261,089 [Goldman Sachs] Speculators, Index Investors, and Commodity Prices.pdf
17/04/2010 03:39 PM 311,916 [Goldman Sachs] Understanding US Economic Statistics.pdf
17/04/2010 04:09 PM 1,072,664 [Goldman Sachs] Valuing Convertible Bonds as Derivatives.pdf
17/04/2010 03:51 PM 550,900 [Goteborg University, Kjaer] On the Pricing of Cliquet Options with Global Floor and Cap.pdf
17/04/2010 03:50 PM 428,104 [Hagan] Credit Derivatives.pdf
17/04/2010 04:05 PM 750,765 [Harvard Business School, Donahue] Note On Commodity Futures.pdf
17/04/2010 04:01 PM 750,765 [Harvard Business School] Note on Commodity Futures.pdf
17/04/2010 04:13 PM 380,655 [Henrard] Bonds Futures and Their Options - More than the Cheapest-to-Deliver; Quality Option and Marginning.pdf
17/04/2010 04:00 PM 239,705 [HSBC] European Meltdown - Europe Fiddles as Rome Burns.pdf
17/04/2010 04:15 PM 200,671 [Humboldt-University, Molgedey] Extracting Factors for Interest Rate Scenarios.pdf
17/04/2010 04:08 PM 274,046 [HVB Group] Credit Derivatives Accounting.pdf
17/04/2010 03:48 PM 779,616 [HVB Group] DJ ITRAXX - Credit at its Best.pdf
17/04/2010 04:06 PM 359,980 [HVB Group] Trading the DAX in CDS Format and Playing Equity versus Debt.pdf
17/04/2010 03:58 PM 367,978 [IBM Research Report, Glasserman] Importance Sampling in the Heath-Jarrow-Morton Framework.pdf
17/04/2010 03:39 PM 392,573 [IEEE Transactions on Power Systems, Denton] Managing Market Risk in Energy.pdf
17/04/2010 03:53 PM 1,458,001 [IMF Staff Papers, Sarno] Purchasing Power Parity and the Real Exchange Rate.pdf
17/04/2010 03:52 PM 268,333 [Imperial College, Albanese] Pricing Equity Default Swaps.pdf
17/04/2010 03:50 PM 463,898 [Investopedia] Advanced Bond Concepts.pdf
17/04/2010 04:01 PM 390,432 [ISDA, Altman] Analyzing and Explaining Default Recovery Rates.pdf
17/04/2010 03:50 PM 279,736 [ISDA] 2002 ISDA Equity Derivatives Definitions.pdf
17/04/2010 03:44 PM 355,396 [ISDA] 2003 ISDA Credit Derivative Definitions.pdf
17/04/2010 03:42 PM 72,569 [ISDA] EMU and Market Conventions - Recent Developments.pdf
17/04/2010 04:00 PM 577,082 [Islamic Development Bank] Understanding Islamic Finance - A Study of the Securities Market in an Islamic Framework.pdf
17/04/2010 03:59 PM 577,082 [Islamic Research and Training Institute, Mannan] Understanding Islamic Finance - A Study of the Securities Market in an Islamic Framework.pdf
17/04/2010 04:09 PM 647,321 [ISMA Centre, Alexander] Principal Component Analysis of Volatility Smiles and Skews.pdf
17/04/2010 03:59 PM 593,719 [ITO33, Henrotte] Variance Swaps.pdf
17/04/2010 03:56 PM 731,274 [Jackel] Stochastic Volatility Models - Past, Present and Future.pdf
17/04/2010 04:02 PM 88,195 [Journal of Applied Corporate Finance, Arzac] Percs, Decs, and Other Mandatory Convertibles.pdf
17/04/2010 04:09 PM 212,929 [Journal of Applied Corporate Finance, Black] How to Use the Holes in Black-Scholes.pdf
17/04/2010 03:53 PM 606,263 [Journal of Applied Mathematics and Decision Sciences, Francesco] Analysis of an Uncertain Volatility Model.pdf
17/04/2010 04:11 PM 418,956 [Journal of Banking Finance, Corrado] A note on a simple, accurate formula to compute implied standard deviations.pdf
17/04/2010 04:14 PM 637,045 [Journal of Computational Finance, Sepp] Pricing Options on Realized Variance in Heston Model with Jumps in Returns and Volatility.pdf
17/04/2010 04:14 PM 1,232,476 [Journal of Derivatives, Broadie] Pricing and Hedging Volatility Derivatives.pdf
17/04/2010 04:07 PM 208,864 [Journal of Derivatives, Hull] The Valuation of Credit Default Swap Options.pdf
17/04/2010 04:09 PM 213,649 [Journal of Derivatives, Hull] Valuation of a CDO and an nth to Default CDS without Monte Carlo Simulation.pdf
17/04/2010 04:15 PM 3,396,679 [Journal of Derivatives, Kjaer] Fast Pricing of Cliquet Options with Global Floor.pdf
17/04/2010 03:55 PM 569,781 [Journal of Derivatives, Milevsky] A Closed-Form Approximation for Valuing Basket Options.pdf
17/04/2010 04:10 PM 233,687 [Journal of Discrete Algorithms, Gerbessiotis] An Architecture Independent Study of Parallel Segment Trees.pdf
17/04/2010 04:03 PM 963,675 [Journal of Econometrics, Phillips] Understanding Spurious Regression in Econometrics.pdf
17/04/2010 03:57 PM 963,675 [Journal of Econometrics, Phillips] Understanding Spurious Regressions in Econometics.pdf
17/04/2010 03:46 PM 115,151 [Journal of Economic Development, Islam] The Purchasing Power Parity Relationship - Causality and Cointegration Tests Using Korea-US Exchange Rate and Prices.pdf
17/04/2010 04:08 PM 1,639,403 [Journal of Finance, Barone-Adesi] Efficient Analytic Approximation of American Option Values.pdf
17/04/2010 04:08 PM 171,807 [Journal of Finance, Black] Interest Rates as Options.pdf
17/04/2010 04:11 PM 1,260,789 [Journal of Financial Economics, Geske] The Valuation of Compound Options.pdf
17/04/2010 03:46 PM 499,068 [Journal of Financial Economics, Lettau] Expected Returns and Expected Dividend Growth.pdf
17/04/2010 03:52 PM 580,281 [Journal of Financial Economics, Vasicek] An Equilibrium Characterization of the Term Structure.pdf
17/04/2010 04:06 PM 572,620 [Journal of Fixed Income, Bieri] Riding the Yield Curve - A Variety of Strategies.pdf
17/04/2010 03:53 PM 802,399 [Journal of Hydrologic Engineering, Genest] Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask.pdf
17/04/2010 03:33 PM 1,064,736 [Journal of International Money and Finance, Levy] Pricing European Average Rate Currency Options.pdf
17/04/2010 03:48 PM 237,868 [Journal of International Money and Finance, Zivot] Cointegration and forward and spot exchange rate regressions.pdf
17/04/2010 03:59 PM 438,520 [Journal of Portfolio Management, Neuberger] The Log Contract - A New Instrument to Hedge Volatility.pdf
17/04/2010 03:59 PM 438,520 [Journal of Portfolio Management, Neuberger] The Log Contract.pdf
17/04/2010 04:16 PM 1,183,359 [Journal of Risk, Rebonato] Evolving Yield Curves in the Real-World Measures - A Semi-Parametric Approach.pdf
17/04/2010 04:05 PM 491,291 [JP Morgan, Bossu] Arbitrage Pricing of Equity Correlation Swaps.pdf
17/04/2010 04:15 PM 202,167 [JP Morgan, Bossu] Fundamental Relationship Between an Index's Volatility and the Correlation and Average Volatility of Its Components.pdf
17/04/2010 04:06 PM 97,150 [JP Morgan, Matytsin] Modelling Volatility and Volatility Derivatives.pdf
17/04/2010 03:46 PM 498,610 [JP Morgan, Sim] Agency Hybrid ARM Prepayment Model.pdf
17/04/2010 04:09 PM 505,457 [JP Morgan] A Framework for Valuing Financial Hybrids.pdf
17/04/2010 04:02 PM 491,291 [JP Morgan] Abritrage Pricing of Equity Correlation Swaps.pdf
17/04/2010 03:54 PM 498,610 [JP Morgan] Agency Hybrid ARM Prepayment Model.pdf
17/04/2010 04:10 PM 638,740 [JP Morgan] All You Ever Wanted to Know About Corporate Hybrids But Were Afraid to Ask.pdf
17/04/2010 04:10 PM 232,932 [JP Morgan] An Introduction to CFXOs (Foreign Exchange L inked Credit Obligations).pdf
17/04/2010 04:02 PM 308,711 [JP Morgan] CDO Handbook.pdf
17/04/2010 03:49 PM 962,117 [JP Morgan] Corporate Quantitative Weekly.pdf
17/04/2010 04:07 PM 853,259 [JP Morgan] Correlation Vechicles - Techniques for Trading Equity Correlation.pdf
17/04/2010 04:03 PM 575,510 [JP Morgan] Credit Correlation - A Guide.pdf
17/04/2010 04:05 PM 1,847,505 [JP Morgan] Depositary Receipts Reference Guide.pdf
17/04/2010 03:42 PM 74,991 [JP Morgan] Exploring the TUI Hybrid.pdf
17/04/2010 03:45 PM 174,863 [JP Morgan] Fixed Income Correlation Trading using Swaptions.pdf
17/04/2010 03:30 PM 202,167 [JP Morgan] Fundamental Relationship Between an Index's Volatility and the Correlation and Average Volaility of its Components.pdf
17/04/2010 03:50 PM 1,156,663 [JP Morgan] Global Data Watch - August 2006.pdf
17/04/2010 04:16 PM 48,876 [JP Morgan] Hybrid Capital - Moody's Proposes a New Methodology for Hybrids - A non-event for most hybrids and $ Tier I.pdf
17/04/2010 03:43 PM 891,682 [JP Morgan] Hybrid Primer.pdf
17/04/2010 04:09 PM 1,188,386 [JP Morgan] Institutional Hedging Activity.pdf
17/04/2010 04:10 PM 1,474,981 [JP Morgan] Introducing the JPMorgan Cross Sectional Volatility Model & Report.pdf
17/04/2010 04:04 PM 1,413,582 [JP Morgan] Just What You Need to Know About Variance Swaps.pdf
17/04/2010 04:13 PM 5,135,510 [JP Morgan] MBS Primer.pdf
17/04/2010 03:36 PM 63,251 [JP Morgan] Now You See It, Now You Don't - What Happened to US Heating Oil Stocks and Why It Doesn't Matter.pdf
17/04/2010 04:10 PM 868,263 [JP Morgan] Oil & Gas Basics.pdf
17/04/2010 04:11 PM 2,837,608 [JP Morgan] Option Trading and Variance Swaps.pdf
17/04/2010 03:29 PM 26,071 [JP Morgan] Par Credit Default Swap Spread Approximation from Default Probabilities.pdf
17/04/2010 03:24 PM 227,117 [JP Morgan] Profiting from Market Signals.pdf
17/04/2010 03:58 PM 800,599 [JP Morgan] Relative Value Single Stock Volatility.pdf
17/04/2010 04:12 PM 283,551 [JP Morgan] RiskMetrics - Technical Document.pdf
17/04/2010 04:07 PM 724,216 [JP Morgan] The JP Morgan Guide to Credit Derivatives.pdf
17/04/2010 04:13 PM 1,755,643 [JP Morgan] The JP Morgan Prepayment Model - It's All About Economics.pdf
17/04/2010 03:34 PM 85,642 [JP Morgan] The Price of Credit.pdf
17/04/2010 04:11 PM 1,897,962 [JP Morgan] Variance Swaps.pdf
17/04/2010 04:01 PM 318,294 [JP Morgan] VDAX-NEW, VSTOXX and VSMI Futures.pdf
17/04/2010 04:14 PM 306,259 [JP Morgan] Volatility, Leverage, and Returns.pdf
17/04/2010 04:09 PM 536,915 [JP Morgan] Which Trade - Choosing Tactical Positions Across Asset Classes.pdf
17/04/2010 04:01 PM 531,798 [JPMorgan] Credit Derivatives - A Primer (1998 Edition).pdf
17/04/2010 03:43 PM 471,726 [JPMorgan] Credit Derivatives - A Primer (2005 Edition).pdf
17/04/2010 04:09 PM 402,088 [JPMorgan] Credit Derivatives 2003 - Advanced Credit Derivatives Valuation - Bridging Credit Default Swaps and Corporate Bonds.pdf
17/04/2010 03:29 PM 44,735 [JPMorgan] Introducing Base Correlations.pdf
17/04/2010 04:08 PM 169,185 [JPMorgan] Introducing Standard First to Default Baskets.pdf
17/04/2010 04:08 PM 372,155 [Kellogg Graduate School of Management, Andersen] (Understanding, Optimizing, Using and Forecasting) Relalized Volatility and Correlation.pdf
17/04/2010 04:01 PM 535,542 [King's College, Shaw] Differential Equations for Monte Carlo Recycling and a GPU-Optimized Normal Quantile.pdf
17/04/2010 03:40 PM 228,636 [King's College, Shaw] Eco-mputational Finance - Differential Equations for Monte Carlo Recycling.pdf
17/04/2010 03:51 PM 128,180 [Klassen] Pricing Variance Swaps with Cash Dividends.pdf
17/04/2010 03:57 PM 241,574 [Leger] Monte Carlo for the Newbies.pdf
17/04/2010 03:41 PM 368,819 [Lehman Brothers, Harmstone] Investing in Implied Volatility.pdf
17/04/2010 03:42 PM 72,949 [Lehman Brothers, Johnston] Callable Securities - An Introduction.pdf
17/04/2010 04:02 PM 944,727 [Lehman Brothers, Kerkhof] Inflation Derivatives Explained - Markets, Products, and Pricing.pdf
17/04/2010 03:32 PM 130,746 [Lehman Brothers, Modukuri] Mortgage Convexity Risk.pdf
17/04/2010 04:09 PM 536,576 [Lehman Brothers, O'Kane] Credit Spreads Explained.pdf
17/04/2010 03:23 PM 192,223 [Lehman Brothers, O'Kane] Introduction to Default Swaps.pdf
17/04/2010 04:01 PM 350,371 [Lehman Brothers, Pedersen] Explaining the Lehman Brothers Option Adjusted Spread of a Corporate Bond.pdf
17/04/2010 04:00 PM 239,567 [Lehman Brothers, Reddy] An Introduction to Floating Rate CMOs.pdf
17/04/2010 04:06 PM 550,461 [Lehman Brothers, Tuckman] Interest Rate Parity, Money Market Baisis Swaps, and Cross-Currency Basis Swaps.pdf
17/04/2010 04:02 PM 283,291 [Lehman Brothers, Vankudre] Treasury Inflation-Protection Securities - Opportunities and Risks.pdf
17/04/2010 03:36 PM 64,258 [Lehman Brothers, Zhou] The Swap Curve.pdf
17/04/2010 03:57 PM 316,364 [Lehman Brothers] A Guide to the Lehman Global Family of Fixed Income Indices.pdf
17/04/2010 04:10 PM 1,467,289 [Lehman Brothers] ABS Outlook 2007 - The Path of Divergence.pdf
17/04/2010 03:36 PM 72,552 [Lehman Brothers] An Introduction to the Non-Agency CMO market.pdf
17/04/2010 04:08 PM 455,749 [Lehman Brothers] Base Correlation Explained.pdf
17/04/2010 04:11 PM 253,537 [Lehman Brothers] Changes to TBA Deliverable.pdf
17/04/2010 03:45 PM 563,898 [Lehman Brothers] CMBS Outlook 2007 - At Both Ends of the Risk-Reward Spectrum.pdf
17/04/2010 03:48 PM 342,711 [Lehman Brothers] Credit Derivatives Explained - Market, Products, and Regulations.pdf
17/04/2010 04:12 PM 293,955 [Lehman Brothers] Credit Derivatives Primer.pdf
17/04/2010 03:45 PM 172,856 [Lehman Brothers] Currency Hedging in Fixed Income Portfolios.pdf
17/04/2010 03:41 PM 272,844 [Lehman Brothers] Defining the TBA Deliverable.pdf
17/04/2010 03:46 PM 112,363 [Lehman Brothers] Equity-Linked Notes - An Introduction.pdf
17/04/2010 03:58 PM 528,162 [Lehman Brothers] Estimating Implied Default Probabilities from Credit Bond Prices.pdf
17/04/2010 04:02 PM 93,259 [Lehman Brothers] Focus - Israel Back to Basics.pdf
17/04/2010 03:56 PM 120,675 [Lehman Brothers] Guide to Agency and Government-Related Securities.pdf
17/04/2010 03:49 PM 1,308,122 [Lehman Brothers] Guide to Exotic Credit Derivatives.pdf
17/04/2010 03:57 PM 436,155 [Lehman Brothers] Hybrid ARM Handbook.pdf
17/04/2010 04:04 PM 593,793 [Lehman Brothers] Hybrid ARMS - Unlocking Value in the New Index.pdf
17/04/2010 04:15 PM 5,320,461 [Lehman Brothers] Interest Rate Futures.pdf
17/04/2010 04:09 PM 550,461 [Lehman Brothers] Interest Rate Parity, Money Market Basis Swaps, and Cross-Currency Basis Swaps.pdf
17/04/2010 03:51 PM 106,496 [Lehman Brothers] Introduction to Asset Swaps,pdf.pdf
17/04/2010 03:54 PM 799,632 [Lehman Brothers] Introduction to Bond Math.pdf
17/04/2010 03:55 PM 155,078 [Lehman Brothers] Introduction to Catastrophe-Linked Securities.pdf
17/04/2010 04:09 PM 481,540 [Lehman Brothers] Introduction to Investment Banking.pdf
17/04/2010 03:57 PM 245,429 [Lehman Brothers] Introduction to Variable Rate Financing.pdf
17/04/2010 03:57 PM 529,920 [Lehman Brothers] Modelling Credit - Theory and Practice.pdf
17/04/2010 03:32 PM 130,746 [Lehman Brothers] Mortgage Convexity Risk.pdf
17/04/2010 04:13 PM 1,214,340 [Lehman Brothers] Mortgage Options - A Primer.pdf
17/04/2010 04:09 PM 754,992 [Lehman Brothers] Mortgage Outlook for 2007 - Bracing for a Credit Downturn.pdf
17/04/2010 04:06 PM 97,618 [Lehman Brothers] Non-Agency Hybrids - A Primer.pdf
17/04/2010 03:58 PM 203,992 [Lehman Brothers] Optionalising Carry Trades.pdf
17/04/2010 04:11 PM 1,764,598 [Lehman Brothers] Quantitative Credit Research Quarterly - Quarter 1 2007.pdf
17/04/2010 04:06 PM 359,799 [Lehman Brothers] Quantitative Credit Research Quarterly - Quarter 3 2001.pdf
17/04/2010 03:35 PM 446,387 [Lehman Brothers] Securitized Products Outlook 2007 - Bracing for a Credit Downturn.pdf
17/04/2010 04:06 PM 650,160 [Lehman Brothers] Securitized Products Outlook for 2007 - Bracing for a Credit Downturn (Presentation).pdf
17/04/2010 03:35 PM 403,402 [Lehman Brothers] Structured Credit Strategy - Annual 2004.pdf
17/04/2010 03:48 PM 436,155 [Lehman Brothers] The Hybrid ARM Handbook.pdf
17/04/2010 03:47 PM 339,022 [Lehman Brothers] The Restructuring Clause in Credit Default Swap Contracts.pdf
17/04/2010 03:48 PM 353,462 [Lehman Brothers] The Shape of Implied Loss Distributions.pdf
17/04/2010 04:09 PM 751,533 [Lehman Brothers] The Specified Pool Handbook.pdf
17/04/2010 03:50 PM 429,091 [Lehman Brothers] Trading the Cash-CDS Basis in the Current Environment.pdf
17/04/2010 04:02 PM 283,291 [Lehman Brothers] Treasury Inflation-Protection Securities - Opportunities and Risks.pdf
17/04/2010 04:12 PM 1,276,324 [Lehman Brothers] Understanding Hedge Fund Performance.pdf
17/04/2010 04:11 PM 402,929 [Lehman Brothers] Valuation of Credit Default Swaps.pdf
17/04/2010 04:03 PM 357,953 [Leiden University, Pietersz] The LIBOR Market Model Master's Thesis.pdf
17/04/2010 03:28 PM 198,085 [LIFFE] LIFFE Options - A Guide to Trading Strategies.pdf
17/04/2010 03:40 PM 363,367 [London Business School, Bunn] Forecasting Electricity Prices.pdf
17/04/2010 04:12 PM 523,768 [Longstaff] Electricity Forward Prices - A High Frequency Empirical Analysis.pdf
17/04/2010 04:09 PM 204,769 [MacKenzie] Risk, Financial Crises, and Globalization - Long-Term Capital Management and the Sociology of Arbitrage.pdf
17/04/2010 04:07 PM 1,753,482 [Marketing Science, Morton] Modelling Retail Customer Behavior at Merrill Lynch.pdf
17/04/2010 04:05 PM 404,277 [Mathematical Finance, Gallucio] Theory and Calibration of Swap Market Models.pdf
17/04/2010 04:16 PM 3,945,747 [MathFinance AG, Wystup] Foreign Exchange Symmetries.pdf
17/04/2010 03:51 PM 107,579 [Merrill Lynch, Balland] Forward Smile.pdf
17/04/2010 04:06 PM 1,226,566 [Merrill Lynch, Gatheral] Consistent Modeling of SPX and VIX Options.pdf
17/04/2010 03:56 PM 574,464 [Merrill Lynch, Youssfi] Convexity Adjustment for Volatility Swaps.ppt
17/04/2010 04:13 PM 381,532 [Merrill Lynch] CDO Rating Methodologies Review.pdf
17/04/2010 03:34 PM 85,290 [Merrill Lynch] CDS Physical Settlement.pdf
17/04/2010 04:13 PM 2,480,381 [Merrill Lynch] Concepts in Technical Analysis - A Handbook on the Basics.pdf
17/04/2010 03:46 PM 523,364 [Merrill Lynch] Correlation Trading.pdf
17/04/2010 04:16 PM 1,115,624 [Merrill Lynch] Credit Derivative Handbook 2003.pdf
17/04/2010 04:11 PM 388,864 [Merrill Lynch] Credit Derivatives Handbook 2000.pdf
17/04/2010 04:02 PM 3,389,812 [Merrill Lynch] Credit Derivatives Handbook 2006 - Volume 1.pdf
17/04/2010 04:13 PM 6,628,472 [Merrill Lynch] Credit Derivatives Handbook 2006 - Volume 2.pdf
17/04/2010 04:00 PM 2,057,350 [Merrill Lynch] Currency Forecasting - Theory & Practice.pdf
17/04/2010 04:10 PM 876,071 [Merrill Lynch] Icelandic Banks - Not What You Are Thinking.pdf
17/04/2010 03:50 PM 216,850 [Merrill Lynch] Industry Overview - A weaker Q2 for Rates Businesses.pdf
17/04/2010 03:57 PM 611,642 [Merrill Lynch] Introduction to Securitisation.pdf
17/04/2010 04:11 PM 258,592 [Merrill Lynch] Pricing Cancellable LCDS.pdf
17/04/2010 04:12 PM 1,077,613 [Merrill Lynch] Size and Structure of the World Bond Market 2002.pdf
17/04/2010 03:37 PM 1,418,240 [Merrill Lynch] The B2B Market Maker Book.pdf
17/04/2010 03:52 PM 305,952 [Merrill Lynch] The Merrill Lynch Guide to Understanding Financial Reports.pdf
17/04/2010 04:15 PM 2,645,907 [Merrill Lynch] The Mortgage Investor - Year Ahead 2007.pdf
17/04/2010 03:57 PM 608,563 [Misiorek] Point and Interval Forecasting of Spot Electricity Prices - Linear vs. Non-Linear Time Series Models.pdf
17/04/2010 04:02 PM 87,972 [Moody's, Park] The Impact of Subprime Residential Mortgage-Backed Securities on Moody's-Rated Structured Finance CDOs - A Preliminary Review.pdf
17/04/2010 04:06 PM 382,122 [Moody's] Bank-Loan Loss Given Default.pdf
17/04/2010 04:10 PM 676,562 [Moody's] Corporate Default and Recovery Rates, 1920-2007.pdf
17/04/2010 04:13 PM 1,928,502 [Moody's] Default and Recovery Rates of Corporate Bond Issuers, 1920-2004.pdf
17/04/2010 03:44 PM 820,391 [Moody's] Modeling Default Risk.pdf
17/04/2010 03:57 PM 282,638 [Moody's] Moody's Approach to Rating ith-to-Default Basket Credit-Linked Notes.pdf
17/04/2010 04:02 PM 86,177 [Moody's] Piercing the Country Ceiling - An Update.pdf
17/04/2010 03:45 PM 175,082 [Moody's] Rating Preferred Stock and Hybrid Securities.pdf
17/04/2010 04:15 PM 57,382 [Moody's] The Binomial Expansion Method Applied to CBO-CLO Analysis.pdf
17/04/2010 04:15 PM 54,362 [Moody's] The Relative Stability of Cash-Flow vs. Market-Value CDO Ratings.pdf
17/04/2010 04:00 PM 138,915 [Moody's] Understanding the Risks in Credit Default Swaps.pdf
17/04/2010 04:09 PM 206,409 [Morgan Stanley, Carr] Towards a Theory of Volatility Trading.pdf
17/04/2010 04:06 PM 98,512 [Morgan Stanley] CDO Market Insights - Ratings Actions - Something Had to Give.pdf
17/04/2010 04:02 PM 89,797 [Morgan Stanley] CDO Market Insights - Sub-Prime in Prime Time.pdf
17/04/2010 04:15 PM 3,049,293 [Morgan Stanley] Credit Derivatives Insights - Single Name Instruments & Strategies, 3rd Ed.pdf
17/04/2010 04:11 PM 419,649 [Morgan Stanley] Credit Derivatives Strategy - Successors and the Case of the Missing Deliverables.pdf
17/04/2010 04:12 PM 3,831,328 [Morgan Stanley] Structured Credit Insights 2006.pdf
17/04/2010 04:10 PM 229,420 [Morgan Stanley] Swaps.pdf
17/04/2010 03:41 PM 425,716 [Morgan Stanley] The Layman's Guide to Implied Correlation.pdf
17/04/2010 04:14 PM 839,680 [Morgan Stanley] Whay Hedge Funds Make Sense.pdf
17/04/2010 04:16 PM 51,492 [Mount Lucas Management] The Mechanics of the Commodity Futures Markets - What They Are and How They Function.pdf
17/04/2010 03:43 PM 467,384 [NASDAQ OMX] Corporate Actions Practice Guide.pdf
17/04/2010 04:16 PM 7,919,989 [National Chiao Tung University, Dai] An Ingenious, Piecewise Linear Interpolation Algorithm for Pricing Arithmetic Average Options.pdf
17/04/2010 04:14 PM 8,870,228 [NERC] NERC Operating Manual - June 2004.pdf
17/04/2010 04:16 PM 261,871 [New York University Credit Seminar, Levi] A Relationship Between Default Probability and Equity Volatility.pdf
17/04/2010 03:38 PM 208,427 [New York University, Avellaneda] Pricing and Hedging Derivative Securities in Markets with Uncertain Volatilities.pdf
17/04/2010 03:54 PM 224,404 [New York University, Avellaneda] Reconstructing Volatility - New Techniques for Understanding the Implied Volatility of Multi-asset Options.pdf
17/04/2010 03:28 PM 129,588 [New York University, Avellaneda] Weighted Monte-Carlo Methods for Multi-asset Equity Derivatives - Theory and Practice.pdf
17/04/2010 03:55 PM 894,615 [Nielsen] Pricing Asian Options.pdf
17/04/2010 04:11 PM 387,602 [NIKHEF Theory Group, Weinzierl] Introduction to Monte Carlo Methods.pdf
17/04/2010 03:54 PM 263,261 [Nomura] A Journey to the Alt-A Zone - A Brief Primer on Alt-A Mortgage Loans.pdf
17/04/2010 04:06 PM 574,775 [Nomura] ABS Credit Migrations 2004.pdf
17/04/2010 03:33 PM 316,208 [Nomura] ABS Credit Migrations.pdf
17/04/2010 04:12 PM 295,958 [Nomura] ABS Gold Coast Report - Coverage of Selected Sessions of ABS East 2003.pdf
17/04/2010 03:50 PM 220,913 [Nomura] ABX Index - The Constituent Breakdown.pdf
17/04/2010 03:54 PM 395,025 [Nomura] Basel II and Banks - Key aspects and likely market impact.pdf
17/04/2010 03:25 PM 196,885 [Nomura] CDO-CDS Update 01-09-2007.pdf
17/04/2010 03:46 PM 187,557 [Nomura] CDO-CDS Update 02-21-2006.pdf
17/04/2010 04:12 PM 223,360 [Nomura] Constant Maturity CDS (CMCDS) - A Guide.pdf
17/04/2010 03:32 PM 194,866 [Nomura] Correlation Primer.pdf
17/04/2010 04:16 PM 52,752 [Nomura] Credit Default Swap (CDS) Primer.pdf
17/04/2010 03:40 PM 99,914 [Nomura] Economics in Focus - December 2005.pdf
17/04/2010 03:42 PM 78,025 [Nomura] Holiday Special - December 2008.pdf
17/04/2010 03:57 PM 280,059 [Nomura] Home Equity ABS Basics.pdf
17/04/2010 03:44 PM 354,254 [Nomura] How the Events of 9-11 Affect Thinking about Risk.pdf
17/04/2010 03:51 PM 104,875 [Nomura] Jumbo MBS - Where's the Credit Enhancement.pdf
17/04/2010 03:39 PM 583,469 [Nomura] Jumbo MBS Credit Enhancement - More of the Same, or Less.pdf
17/04/2010 03:50 PM 478,442 [Nomura] MBS Basics.pdf
17/04/2010 04:11 PM 299,784 [Nomura] Model Risk Update - Margins of Error and Scenario Analysis.pdf
17/04/2010 04:12 PM 738,828 [Nomura] One Reason Why CDOs and ABS Backed bby Aircraft, Franchise Loans and 12b-1 Fees Performed Poorly in 2002.pdf
17/04/2010 03:28 PM 216,618 [Nomura] Oops. They Did It Again - Jumbo MBS Credit Enhancement Levels Keep Falling.pdf
17/04/2010 04:12 PM 334,960 [Nomura] Report from Boca Raton 2005 - Coverage of Selected Sessions of ABS East 2005.pdf
17/04/2010 04:11 PM 253,103 [Nomura] Report from Orlando 2006 - Coverage of Selected Sessions of ABS East 2006.pdf
17/04/2010 04:00 PM 140,587 [Nomura] Report from Orlando 2007 - Coverage of Selected Sessions of ABS East 2007.pdf
17/04/2010 04:01 PM 183,866 [Nomura] Report from Paradise Island - Coverage of Selected Sessions of ABS East 2002.pdf
17/04/2010 03:53 PM 155,753 [Nomura] Sub-prime Suprise... Not!.pdf
17/04/2010 03:40 PM 102,266 [Nomura] Synthetic ABS Nuances.pdf
17/04/2010 03:23 PM 192,157 [Nomura] Synthetic CMBS Primer.pdf
17/04/2010 03:40 PM 228,983 [Nomura] Temporal Aspects of CMBS Downgrades and Surveillance.pdf
17/04/2010 03:54 PM 226,900 [Nomura] Tranching Credit Risk - Examples with CDOs and the iTraxx Index.pdf
17/04/2010 03:54 PM 612,823 [Nordic Risk Summer 2008, Soklakov] Information Derivatives.pdf
17/04/2010 03:56 PM 192,157 [Norma Fixed Income Research] Synthetic CMBS Primer.pdf
17/04/2010 04:15 PM 4,673,159 [Northwestern University, Watson] Vector Autoregressions and Cointegration.pdf
17/04/2010 04:01 PM 186,113 [NYBOT] The US Dollar Index Futures Contract.pdf
17/04/2010 04:02 PM 309,168 [NYMEX] Crack Spread Handbook.pdf
17/04/2010 04:13 PM 1,034,005 [Odegaard] Financial Numerical Recipes in C++.pdf
17/04/2010 04:05 PM 2,195,748 [Oesterreichische NationalBank] Financial Instruments - Structed Products Handbook.pdf
17/04/2010 03:36 PM 65,584 [Penn State University, Shapiro] Soft Computing and Financial Engineering.pdf
17/04/2010 03:58 PM 290,404 [Piterbarg] EuroDollar Futures Convexity Adjustments in Stochastic Volatlity Models.pdf
17/04/2010 04:14 PM 9,265,999 [Plunkett Research, Plunkett] Plunkett's Energy Industry Almanac.pdf
17/04/2010 04:15 PM 247,008 [Proceedings of the 2004 Winter Simulation Conference, L'Ecuyer] Quasi-Monte Carlo Methods in Finance.pdf
17/04/2010 03:39 PM 222,422 [Proceedings of the 2004 Winter Simulation Conference, Lemieux] Randomized Quasi-Monte Carlo - A Tool for Improving the Efficiency of Simulations in Finance.pdf
17/04/2010 03:25 PM 189,440 [Proceedings of the 2004 Winter Simulation Conference, Staum] Efficent Simulations for Option Pricing.pdf
17/04/2010 04:11 PM 917,934 [Prudential Financial Research] Stock Valuation Models.pdf
17/04/2010 04:15 PM 1,088,417 [Prudential Securities] Forward Rates - What Are They and Why Should I Care.pdf
17/04/2010 03:57 PM 266,736 [Quantitative Finance, Carr] Optimal Positioning in Derivative Securities.pdf
17/04/2010 04:14 PM 652,288 [Quantitative Finance, Cont] Dynamics of Implied Volatility Surfaces.pdf
17/04/2010 03:58 PM 289,629 [Quantitative Finance, Fouque] Variance Reduction for Monte Carlo Simulation in a Stochastic Volatility Environment.pdf
17/04/2010 04:07 PM 305,406 [RBS Greenwich Capital] 2007 MBS Outlook.pdf
17/04/2010 03:58 PM 846,245 [RBS Greenwich Capital] U.S. Government 2007 Outlook.pdf
17/04/2010 03:56 PM 164,424 [Risk Magazine, Andersen] All Your Hedges in One Basket.pdf
17/04/2010 04:08 PM 169,596 [Risk Magazine, Bergomi] Smile Dynamics II.pdf
17/04/2010 03:56 PM 334,101 [Risk Magazine, Bergomi] Smile Dynamics III.pdf
17/04/2010 03:38 PM 206,435 [Risk Magazine, Bergomi] Smile Dynamics.pdf
17/04/2010 04:07 PM 385,014 [Risk Magazine, Burghardt] One Good Turn.pdf
17/04/2010 04:15 PM 57,024 [Risk Magazine, Cardenas] Monte Carlo within a Day.pdf
17/04/2010 03:34 PM 82,567 [Risk Magazine, Carr] Introducing the Covariance Swap.pdf
17/04/2010 03:57 PM 506,718 [Risk Magazine, Castagna] The Vanna-Volga Method for Implied Volatilities.pdf
17/04/2010 04:03 PM 278,335 [Risk Magazine, Derman] Finding a Job in Finance.pdf
17/04/2010 03:56 PM 123,773 [Risk Magazine, Foster] Trees from History.pdf
17/04/2010 03:29 PM 45,241 [Risk Magazine, Frishling] A Discrete Question.pdf
17/04/2010 04:12 PM 1,591,107 [Risk Magazine, Fruchard] Basis for Change.pdf
17/04/2010 04:09 PM 504,328 [Risk Magazine, Little] A Finite-Difference Method for the Valuation of Variance Swaps.pdf
17/04/2010 03:40 PM 99,987 [Risk Magazine, Overhaus] Himalaya Options.pdf
17/04/2010 03:32 PM 132,256 [Risk Magazine, Quessette] New Products, New Risks.pdf
17/04/2010 04:01 PM 318,862 [Risk Magazine, Ren] Calibrating and Pricing with Embedded Local Volatility Models.pdf
17/04/2010 03:42 PM 79,537 [Risk Magazine, Rubinstein] Unscrambling the Binary Code.pdf
17/04/2010 04:04 PM 852,081 [Risk Magazine, Sepp] Variance Swaps Under No Conditions.pdf
17/04/2010 04:08 PM 739,347 [RiskMetrics Group] CreditGrades Technical Document.pdf
17/04/2010 04:08 PM 2,723,254 [RiskMetrics Group] Risk Management - A Practical Guide.pdf
17/04/2010 04:00 PM 580,118 [Salomon Brothers] Anatomy of Prepayments - The Salomon Brothers Prepayment Model.pdf
17/04/2010 03:58 PM 1,154,628 [Salomon Brothers] Understanding the Yield Curve, Part 1 - Overview of Forward Rate Analysis.pdf
17/04/2010 04:03 PM 1,175,046 [Salomon Brothers] Understanding the Yield Curve, Part 2 - Market's Rate Expectation and Forward Rates.pdf
17/04/2010 04:13 PM 1,041,256 [Salomon Brothers] Understanding the Yield Curve, Part 3 - Does Duration Extension Enhance Long-Term Expected Returns.pdf
17/04/2010 04:10 PM 1,166,520 [Salomon Brothers] Understanding the Yield Curve, Part 4 - Forecasting US Bond Returns.pdf
17/04/2010 04:10 PM 1,336,007 [Salomon Brothers] Understanding the Yield Curve, Part 5 - Convexity Bias and the Yield Curve.pdf
17/04/2010 04:00 PM 1,479,200 [Salomon Brothers] Understanding the Yield Curve, Part 6 - A Framework for Analysing Yield Curve Trades .pdf
17/04/2010 04:11 PM 253,191 [Salomon Brothers] Understanding the Yield Curve, Part 7 - The Dynamic of the Shape of the Yield Curve.pdf
17/04/2010 04:16 PM 1,117,793 [Salomon Smith Barney] An Introduction to CMO Cashflow Structures.pdf
17/04/2010 04:02 PM 669,696 [Salomon Smith Barney] Exotic Equity Derivatives Manual.pdf
17/04/2010 04:16 PM 7,073,250 [Salomon Smith Barney] Introductory Guide to Equity Options.pdf
17/04/2010 03:54 PM 617,131 [Salomon Smith Barney] Principles of Principal Components - A Fresh Look at Risk, Hedging and Relative Value.pdf
17/04/2010 04:15 PM 652,852 [Sapient Derivatives Consulting Group] The DCG Quick Reference Guide to Credit Event Terminology.pdf
17/04/2010 03:28 PM 130,354 [Schoutens] Moment Swaps.pdf
17/04/2010 03:45 PM 649,643 [Serletis] Measuring and Testing Natural Gas and Electricity Markets Volatility - Evidence from Alberta's Deregulated Markets.pdf
17/04/2010 03:41 PM 424,788 [Societe Generale, Sooben] Fitting Linkers into a Portfolio.pdf
17/04/2010 04:15 PM 57,031 [Societe Generale] Explanatory Note About the Exceptional Fraud - January 2008.pdf
17/04/2010 04:05 PM 406,086 [Societe Generale] Pricing and Hedging Correlation Products.pdf
17/04/2010 03:55 PM 309,433 [Societe Generale] Quantitative Strategy - Looking for Value in the Sub-Insurance Market.pdf
17/04/2010 03:43 PM 688,937 [Societe Generale] Quantitative Strategy - Pricing Bespoke CDOs - Latest Developments.pdf
17/04/2010 04:11 PM 259,302 [Soci‚t‚ G‚n‚rale] Investment in Power Generation - A Banker's Perspective.pdf
17/04/2010 04:05 PM 486,493 [Standard & Poor's] A Guide to the Loan Market.pdf
17/04/2010 04:08 PM 454,656 [Standard & Poor's] Annual Global Corporate Default Study - Corporate Defaults Poised to Rise in 2005.pdf
17/04/2010 04:09 PM 206,068 [Standard & Poor's] CDO Spotlight - Overview of Modeling Methodology for Commodity CDO Structures.pdf
17/04/2010 04:12 PM 286,012 [Standard & Poor's] CMBS Property Evaluation Criteria.pdf
17/04/2010 03:56 PM 165,113 [Standard & Poor's] Trade Receivable Criteria.pdf
17/04/2010 03:55 PM 310,554 [Stanford University, Lee] Robust Replication of Volatility Derivatives.pdf
17/04/2010 04:04 PM 476,111 [Stevenson] Risk Management and the Role of Spot Price Predictions in the Australian Retail Electricity Market.pdf
17/04/2010 04:02 PM 3,697,033 [STOXX] Dow Jones STOXX Index Guide - Version 13.pdf
17/04/2010 04:15 PM 53,837 [Sungard] Guidelines for Pricing and Risk Managing Credit Derivatives.pdf
17/04/2010 03:32 PM 196,289 [Super Computer Consulting, Nelken] Weather Derivatives - Pricing and Hedging.pdf
17/04/2010 04:10 PM 1,158,120 [SwiftStandards] Category 1 - Customer Payments & Cheques (MT100 - MT199).pdf
17/04/2010 04:14 PM 625,651 [SwiftStandards] Category 2 - Financial Insitution Transfers (MT200 - MT299).pdf
17/04/2010 04:13 PM 2,066,060 [SwiftStandards] Category 3 - Treasury Markets Foreign Exchange, Money Markets & Derivatives (MT300 - MT341) Volume 1.pdf
17/04/2010 04:14 PM 1,794,942 [SwiftStandards] Category 3 - Treasury Markets Foreign Exchange, Money Markets & Derivatives (MT350 - MT399) Volume 2.pdf
17/04/2010 03:30 PM 510,927 [SwiftStandards] Category 4 - Collections & Cash Letters.pdf
17/04/2010 04:00 PM 4,488,559 [SwiftStandards] Category 5 - Securities Markets (MT500 - MT518) Volume 1.pdf
17/04/2010 04:08 PM 4,207,426 [SwiftStandards] Category 5 - Securities Markets (MT519 - MT543) Volume 2.pdf
17/04/2010 04:16 PM 3,893,231 [SwiftStandards] Category 5 - Securities Markets (MT544 - MT567) Volume 3.pdf
17/04/2010 04:16 PM 3,186,476 [SwiftStandards] Category 5 - Securities Markets (MT568 - MT599) Volume 4.pdf
17/04/2010 03:54 PM 395,426 [SwiftStandards] Category 6 - Treasury Markets Precious Metals (MT600 - MT699).pdf
17/04/2010 04:12 PM 297,985 [SwiftStandards] Category 6 - Treasury Markets Syndications (MT643 - MT699).pdf
17/04/2010 04:09 PM 892,313 [SwiftStandards] Category 7 - Documetary Credits & Guarantees (MT700 - MT799).pdf
17/04/2010 04:03 PM 358,311 [SwiftStandards] Category 8 - Travellers Cheques (MT800 - MT899).pdf
17/04/2010 04:00 PM 496,412 [SwiftStandards] Category 9 - Cash Management & Customer Status (MT900 - MT999).pdf
17/04/2010 03:54 PM 166,794 [SwiftStandards] Category n - Common Group Messages (MTn90 - MTn99).pdf
17/04/2010 04:12 PM 223,086 [SWX Swiss Exchange] Accrued Interest & Yield Calculations and Determination of Holiday Calendars.pdf
17/04/2010 04:16 PM 2,097,192 [Technische Universitat Chemnitz, Kluge] Pricing Derivatives in Stochastic Volatility Models using the Finite Difference Method.pdf
17/04/2010 03:57 PM 588,148 [Technische Universiteit Eindhoven, Kreuk] Trading the Difference Between Realised and Implied Volatility.pdf
17/04/2010 04:13 PM 1,057,879 [The Bell Journal of Economics and Management Science, Merton] Theory of Rational Option Pricing.pdf
17/04/2010 03:56 PM 190,772 [The Bond Market Association] An Investors Guide to Collateralized Mortgage Obligations.pdf
17/04/2010 03:46 PM 111,533 [The Bond Market Association] An Investors Guide to Pass-Through and Collateralized Mortgage Securities.pdf
17/04/2010 03:36 PM 60,673 [The Bond Market Association] The Asset-Backed Market in 1999 and the Outlook for 2000.pdf
17/04/2010 03:59 PM 461,707 [The Canadian Journal of Economics, Johnson] Cointegration, Error, and Purchasing Power Parity between Canada and the United States.pdf
17/04/2010 03:49 PM 823,147 [The Journal of Derivatives, Hull] Efficent Procedures for Valuing European and American Path-Dependent Options.pdf
17/04/2010 04:09 PM 754,935 [The Journal of Derivatives, Hull] Numerical Procedures for Implementing Term Structure Models I - Single-Factor Models.pdf
17/04/2010 03:43 PM 756,515 [The Journal of Derivatives, Hull] Numerical Procedures for Implementing Term Structure Models II - Two-Factor Models.pdf
17/04/2010 04:03 PM 967,179 [The Journal of Futures Markets, Gray] Canonical Valuation of Options in the Presense of Stochastic Volatility.pdf
17/04/2010 04:09 PM 400,716 [The Journal of Political Economy, Black] The Pricing of Options and Corporate Liabilities.pdf
17/04/2010 04:10 PM 237,711 [The Review of Economics and Statistics, Enders] Arima and Cointegration Tests of PPP under Fixed and Flexible Exchange Rate Regimes.pdf
17/04/2010 04:11 PM 385,780 [The Review of Financial Studies, Heston] A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options.pdf
17/04/2010 03:40 PM 103,429 [UBS Investment Bank] UBS Bloomberg Constant Maturity Commodity Index (CMCI) Family.pdf
17/04/2010 03:32 PM 930,570 [UBS Investment Bank] Understanding the Inflation Derivatives Market Dynamics - Practical Trading Insights.pdf
17/04/2010 04:06 PM 349,255 [UBS Investment] CDPO an Asset Class on its Own or a Glorified Bearish Rated Equity.pdf
17/04/2010 04:00 PM 496,515 [UBS Warburg] CDO Insight.pdf
17/04/2010 04:11 PM 251,018 [Universidad de Montevideo, Ruibal] Forecasting the Mean and the Variance of Electricity Prices in Deregulated Markets.pdf
17/04/2010 04:11 PM 1,629,214 [Universidad de Valencia, Lucia] Electricity Prices and Power Derivatives - Evidence from the Nordic Power Exchange.pdf
17/04/2010 03:39 PM 222,625 [Universidad Torcuato Di Tella, Merener] Swap Rate Variance Swaps.pdf
17/04/2010 04:08 PM 1,792,253 [Universitat Berlin, Buhler] Volatility Markets - Consistent Modeling, Hedging, and Practical Implementation.pdf
17/04/2010 04:07 PM 1,100,817 [University of Calgary, Ware] The Valuation of Swing Options in Electricity Markets.pdf
17/04/2010 04:10 PM 1,341,939 [University of California, Evans] An Introduction to Stochastic Differential Equations - Version 1.2.pdf
17/04/2010 03:46 PM 112,009 [University of California, Silverman] Solution of the Black Scholes Equation using the Green's Function of the Diffusion Equation.pdf
17/04/2010 03:41 PM 370,075 [University of California, Stoft] Primer on Electricity Futures and Other Derivatives.pdf
17/04/2010 03:34 PM 85,021 [University of Chicago, Lee] Corridor Variance Swap.pdf
17/04/2010 03:42 PM 75,711 [University of Chicago, Lee] Gamma Swap.pdf
17/04/2010 04:02 PM 93,459 [University of Chicago, Lee] Weighted Variance Swap.pdf
17/04/2010 04:03 PM 250,928 [University of Cyprus, Charalambous] Artificial Neural Networs for Valuation of Financial Derivatives and Customized Option Embedded Contracts.pdf
17/04/2010 03:56 PM 191,730 [University of Essex, Liu] Realized Volatility Fixings - Why They are Different.pdf
17/04/2010 04:03 PM 277,160 [University of Frankfurt, Vilkov] Variance Risk Premium Demystified.pdf
17/04/2010 04:01 PM 349,636 [University of Freiburg, Eberlein] Sato Processes and the Valuation of Structured Products.pdf
17/04/2010 04:16 PM 52,942 [University of Ibadan, Ugbebor] Testing the Purchasing Power Parity Hypothesis for the Nigerian Foreign Exchange Markets.pdf
17/04/2010 03:58 PM 368,197 [University of Illinois, Deng] Volatility Dispersion Trading.pdf
17/04/2010 04:12 PM 338,258 [University of London, Jacquier] Variance Dispersion and Correlation Swaps.pdf
17/04/2010 04:16 PM 142,281 [University of London, Jacquier] Volatility Seminar - Some notes on Variance Swaps and Volatility Derivatives.pdf
17/04/2010 03:47 PM 620,751 [University of Manitoba, Barua] Fast Fourier Transform for Option Pricing - Improved Mathematical Modeling and Design of an Efficient Parallel Algorithm.pdf
17/04/2010 03:43 PM 881,832 [University of Minho, Areal] FTSE-100 Implied Volatility Index.pdf
17/04/2010 04:09 PM 1,714,988 [University of Otago, Tamagushiku] Heath, Jarrow and Morton Interest Rate Modelling Using Principal Component Analysis.pdf
17/04/2010 04:03 PM 3,960,771 [University of Oxford, Davison] Mobile Robot Navigation Using Active Vision.pdf
17/04/2010 04:10 PM 1,349,550 [University of Pittsburgh, Ruibal] On the Variance of Electricity Prices in Deregulated Markets.pdf
17/04/2010 04:13 PM 8,377,856 [University of Pittsburgh, Ruibal] On the Variance of Electricity Prices in Deregulated Markets.ppt
17/04/2010 04:15 PM 1,087,934 [University of Texas, Wiley] A UNIX Device Driver for a TransLink II Transputer Board.pdf
17/04/2010 04:15 PM 652,626 [University of the Witwatersrand, Mahomed] Pricing of Himalaya Options.pdf
17/04/2010 04:02 PM 943,534 [University of the Witwatersrand, Majmin] Local and Stochastic Volatility Models - An Investigation into the Pricing of Exotic Equity Options.pdf
17/04/2010 04:07 PM 1,676,641 [University of the Witwatersrand, Sheppard] Pricing Equity Derivatives under Stochastic Volatility - A Partial Differential Equation Approach.pdf
17/04/2010 03:48 PM 350,552 [University of Tokyo, Osajima] The Asymptotic Expansion Formula of Implied Volatility for Dynamic SABR Model and FX Hybrid Model.pdf
17/04/2010 03:57 PM 267,181 [University of Toronto, Surkov] Parallel Option Pricing with Fourier Space Time-stepping Method on Graphics Processing Units.pdf
17/04/2010 03:55 PM 154,156 [University of Twente, Vellekoop] Cash Dividends and Futures Prices on Discontinuous Filtrations.pdf
17/04/2010 03:36 PM 444,282 [University of Waterloo, Forsyth] Numerical Methods and Volatility Models for Valuing Cliquet Options.pdf
17/04/2010 04:07 PM 302,209 [University of Waterloo, Windcliff] Pricing Methods and Hedging Strategies for Volatility Derivatives.pdf
17/04/2010 03:58 PM 524,136 [University of Wisconsin-Madison, Shalizi] CSSS 2000-2001 Math Review Lectures - Probability, Statistics, and Stochastic Processes.pdf
17/04/2010 04:07 PM 209,280 [University of Wollongong, Zhu] An Exact and Explicit Solution for the Value of American Put and its Optimal Exercise Boundary.pdf
17/04/2010 03:34 PM 362,510 [Universit… del Piemonte Orientale, Marazzina] Interest Rate Modelling - A MATLAB Implementation.pdf
17/04/2010 03:29 PM 45,658 [Unversity Paris IX Dauphine, Geman] Towards a European Market of Electricity - Spot and Derivatives Trading.pdf
17/04/2010 04:14 PM 14,525,035 [US Navy] Mathematics, Basic Math, and Algebra.pdf
17/04/2010 03:51 PM 129,563 [Vienna University, Redl] Modeling Electricity Futures.pdf
17/04/2010 04:15 PM 250,491 [VMAC] A Comprehensive Solution to Counterparty Credit and Cash Demands in Energy Markets.pdf
17/04/2010 03:28 PM 200,666 [Wachovia Bank, Kramin] A Multi-Factor Markovian HJM Model for Pricing Exotic Interest Rate Derivatives.pdf
17/04/2010 03:51 PM 108,364 [Wall Street Journal, Slater] When Hedge Funds Meet Islamic Finance.pdf
17/04/2010 04:06 PM 382,280 [Weierstrab-Institut, Wystup] Efficient Computation of Option Price Sensitivities.pdf
17/04/2010 04:08 PM 374,141 [Worchester Polytechic Institute, Acheampong] Pricing Mortgage-Back Securities using Prepayment.pdf
17/04/2010 03:42 PM 669,357 [Workshop on Computational Methods for Pricing and Hedging Exotic Options, Dixon] Calibrating Spread Options using a Seasonal Forward Model.pdf
17/04/2010 04:15 PM 6,046,803 [Yale University, Welch] A First Course in Corporate Finance.pdf
17/04/2010 04:06 PM 99,481 [YieldCurve] CDO-Note - Synthetic CDO Note Pricing Model Fact Sheet.pdf
17/04/2010 03:59 PM 572,470 [York University, Swishchuk] Modeling of Variance and Volatility Swaps for Financial Markets with Stochastic Volatility.pdf
17/04/2010 04:11 PM 920,064 [York University, Swishchuk] Modeling of Variance and Volatility Swaps for Financial Markets with Stochastic Volatility.ppt

Do we have a future as Quant researcher or Quant developer here in low paying Toronto, Canada? C++ interview test revealed

Do we have a future as Quant researcher or Quant developer here in low paying Toronto, Canada? C++ interview test revealed

So yesterday, I am doing the usual C++ interview process with a recruiter. Upon my surprise, I get an unknown test which actually turned out to be very simple questions. It was with laptop with no internet access and typing away within a Word document.
This was for a security software company owned by Seagate the hard drive maker. The questions were not hard which included what is wrong with this code, and asked to write functions or classes to do:
1. Output to reverse a string array without the use of the Standard Temple Library.
2. Demonstrate a class that could deadlock.
3. Demonstrate a class that would be thread safe.
Other questions involved why certain code would bomb as you pass one type to something that was expected in a different way. The one I was dealt with expected a type of T &. You figure out the answer.
So that brought me to further questions on my potential of entering the quant field without a masters degree or PHD. Where I live here in Toronto, Canada, many banks are very desperate for top level PHD researchers a Canadian banks like Royal Bank of Canada (RBC) Captial Markets, Scotia Bank, and Scotia Capitol. I do think this recruiter’s answers were interesting. RBC is a .NET shop while Scotia Bank is a Java shop. I do believe banks like Toronto Dominion are a mix while my experience s of an institutional pension (i.e. Canada Pension Plan Investment Board) is a .NET shop focusing on C#.
A lot of these positions do pay about $150K at PHD level. This recruiter did say you will need to be at a PHD level as you will be working with these types of people. Most of this work can get you a position even if you are in pursuit of a PHD.
As for the salary, the salary is quite high for a Toronto position but it is very low as compared to global financial centers like New York, London, or Chicago. Many of these types of position pay even as high as 150,000 Sterling in London. Please don’t tell me about standard of living in an expensive city like New York or London. People are living quite nicely at earning 40K in large cities like that. That is a copout excuse.
It seems that if you are pursuing a reach position doing models or other analytics, you will need to definitely be at a PHD level in an advanced mathematical, computation, or science (especially physics) if you want to earn the big buck. I just hope I am not too old for this.

Mark Joshi’s C++ Design Patterns and Derivatives Pricing Is the book critical to your potential Quant interviews

Mark Joshi’s C++ Design Patterns and Derivatives Pricing Is the book critical to your potential Quant interviews

This book was the one that gelled everything for me. I must I was mightily impressed how simplistic the writing was in terms of merging the complex math algorithms needed to merged with knowledge of C++.
I have read some criticism of author Mark Joshi’s way of writing. This was mentioned in the Wilmott forum which kind of surprised me. I was astonished on some saying it was written in an old school way. I kind of disagree as Joshi present complex topics in a fairly easy to consume way. The style of type of the book alone is important as it is double spaced so you are not sleeping away while reading.
As for the content, it well developed as it starts each chapter with a basic lesson in each mathematical presentation of the C++ equivalent. Don’t worry, the book does not go in to detail like John Hull, but it is important to know that the brief introduction gives a deeper understanding as you tackle the C++ code.
Joshi starts with a very simple Monte Carlo simulator and starts to build on each section. He does not believe duplicating code (unless for optimization reasons), as code reuse is important. This includes using the standard object orientation and encapsulation, inheritance, and virtual functions.
As I started researching what kind of interview questions you will be expected to know, the chapters explaining virtual destructors is critical to understand the core of a potential interview questions. Joshi explains this flawlessly.
As for further progress of chapters, Joshi adds to the Monte Carlo simulator to use any kind of pricing engine for exotic options like Asian or the like.
The one that is so critical to understanding how Quant systems are developed are the solid understanding you will need for current enterprise level system design. These topics include which design patterns you need, decorating, random number generators, templates, using factories with wrappers, easy exception handling, and interfacing with Excel. These topics are very critical if you want to fly through your initial interviews. Remember many companies will put you from anywhere from two to eight rounds of interviews before you get a job offer.
I do believe Joshi’s book is a compulsory reading if you really want to get through a tough interview process at an investment bank or bulge bracket.

The great Visual C++ vs. C# with Microsoft’s Visual Studio 2010

The great Visual C++ vs. C# with Microsoft’s Visual Studio 2010

As I went to compare the added features in C# versus C++, I was amazed on the number of enhancements for each language. It was pretty evident that there must have been at least double for C++ as compared to C#. I would have thought Microsoft would have put more effort into developing C# as the newer language compared to the older C++. It could be because there are so many legacy systems and applications developed in it. Maybe it also helps Microsoft’s own applications are most likely developed in C++ including Windows and Office. Anyhow, here are some other general thoughts on the debate of the two languages regardless of the new IDE of Visual Studio 2010.
One person might have made a posting of:
>>The truth is that this new development in C++ seriously undermines the justification for C# as a language. C++ programmers yet to learn C# simply don’t need to know.<<
C++ developers really don’t need to learn C#. It does what it needs for them. Some of these guys might have been only developing in C++ for over ten or maybe even twenty years. Do they really have a need to switch? If you look at the number of enhancements in Visual Studio 2010 for Visual C++< it makes you think Microsoft has definitely not forgotten about them.
C# was initially designed as a language for weaknesses found in Delphi, C++, Java, etc. It was also designed for those that wanted to target the .NET platform instead of a multi platform which C++ has always been about.
Some say C# is not as feature rich or even slower than C++. Others argue you could not simply design a web form using C++ but you could with C#. Well, those languages are meant for different purposes. Each language is meant for different purposes.
What more can you say about this debate?

Visual C++ appears to be VERY alive and well in Microsoft’s Visual Studio 2010

Visual C++ appears to be VERY alive and well in Microsoft’s Visual Studio 2010
I was amazed when I learned the amount of enhancement for Visual C++ versus Visual C# 2010. It was at least double as compared to C#. Does this mean that C++ is not going anywhere soon? It seems not as many companies and industries are heavily reliant on the programming languages. This of course include financial (for quantified analysis), game development, digital signal processing, etc. Let’s take a look what has been added to this 2010 version of Microsoft’s Visual Studio 2010:
1. You can the Lambda function by itself, as a template function, or with the auto keyword to declare a variable where it is a lambda.
2. There is now rvalue reference declaratory (&&) declare a reference to rvalue. This allows to write forwarding to developer more efficient constructors, functions, and templates.
3. Static_assert now tests assertions at compile time instead at run time. If the compilation asserts fails, it will fail at compile time.
4. nullptr and _nullptr is a native keywords that allows you to test if an object handle, interior pointer or native pointer does not point an object. This option can be intermingled with the compiler’s /clr switch. Remember this is a Microsoft keywords so it cannot transported to other operating system platforms.
5. The new pragma directive detect_mismatch lets you tag in your vile that is compared to other tags that have the same name. If there are multiple values, the linker will issue an error.
The above are compiler and linker related. As for Visual C++ projects and the build system, Microsoft has replaced MSBuild with VCBuild. This enables to match the XML file format with other Visual Studio languages as opposed to Visual C++ being unique. Any other older project can be converted to this format as well. Also, _ITERATOR_DEBUG_LEVEL allows debugging support for iterators instead of using the older _SECURE_SCL and _HAS_ITERARTOR_DEBUGGING macros. There are so many more enhancements in the Visual C++ libraries including the Standard, Microsoft Foundation Class Library, the IDE, and further tools.
Check http://msdn.microsoft.com/en-us/library/dd465215.aspx for more info.

Is Visual Studio 2010 a real game changer thanks to Microsoft's F# programming language?

Is Visual Studio 2010 a real game changer thanks to Microsoft's F# programming language?

We are now upon next big version of Visual Studio 2010 coming up. This could be one of the most important upgrades for Microsoft. Their development as Software Company has come to a very critical crossroads as many open source technologies are eating their lunch. Java and the other dozens of dynamic scripting languages (i.e. Python or Ruby on Rails) are proving to be important choices for the profitable enterprise. If you are a software developer or consulting company, this is your sector you need to focus on if you want to make real money over the long term. Back to Microsoft, many enterprise level companies (including the bulge brackets or investment banks) rely on software vendors who can provide a certain SLA (Service Level Agreement) for their mission critical application like trading systems. Many of these types of companies do not like to support open source technologies as the application developers don’t tend stick around to long after in-house applications are built.

As for the Microsoft technologies that will be the game changer is the upcoming F#. This is Microsoft’s open source equivalent to an open source dynamic scripting language being supported on operating system platforms including Linux. This is one major advantage of it. It is about supporting Lambda expressions, pattern matching, and other useful data types like tuples, etc.
As financials system get more complicated, parallel computing is becoming an increasingly important element in development. There are now apparently:
Parallel Extensions to the .NET Framework. With the F# Power Pack, you can also use Parallel LINQ (PLINQ) with F#.
Sounds interesting but even a Ruby on Rails developer seems to respect this technology.
This language can be both an interpreter (F# Interactive and F# Interpreter) and even compiler.
F# can also be great for prototyping code just like in any other statistical or scripting language. This of course includes R. As for financial development potential, F# offers operator overloading support, operators that work with generics, and a full set of mathematical operators,
Obviously, F# shows the potential for financial and quant developers in the future thanks to Microsoft’s new Visual Studio 2010.

Will the charge of Goldman Sachs by SEC change the future of our economy?

Will the charge of Goldman Sachs by SEC change the future of our economy?
Or is this just a lesson from the past. Will it happen again? I think it could as the younger generation learning about Quant does not really care about the past. They are just as greedy and high risk takers as in the past of the 2000s. Everyone will always try to cheat the system and regulators. With how the complexity of derivative and related product, it is quite easy to bury and repackage toxic asset products. As long as it goes up, people will always buy it without the rationale; you would think those would learn from the past of the 2007 financial crunch.
The other scary thought is will this charge by the Security Exchange commission to Goldman Sachs erode the confidence in the stock market’s exchange run over the last few months? If you at the dip of 125 on the New York Stock Exchange, 121 on NIKKEI, and 43 on the STOXX 50. Yikes! That is a bit of a hit since the run of the markets. Again, could this start the decline of a new correction or even crash on the markets?

Face it, the confidence has been slapped in the face. What do you think took down a number of banks in 2007 and 2008? I personally feel it was the bankruptcies of banks like Lehman Brothers, takeover of Bear Stearns and Merrill Lynch. As people did not trust the banks, the LIBOR dipped as banks did not trust other banks so the credit market froze. This in the end resulted in the credit market freezing which lead to a very scary situation that would have the results of 1930’s depression look like happy times. It is quite possible that this Goldman Sachs charge could have started something over again?

Is QuantLib the world’s greatest library for C++ quant development and open source community?

Is QuantLib the world’s greatest library for C++ quant development and open source community?

Let’s face it. We hear about the job postings where investment banks want you to have an understanding of libraries for their C++ quant models and strategies. Wanting to learn but don’t have access to these expensive proprietary libraries us poor schmucks don’t have access to?

Here are my reasons why QuantLib is becoming a fantastic foundation for your learning in quant development.
1. It is developed in C++. Do we really need to talk about this? See my C ++ discussion about why this programming language would be my choice.
2. SWIG compatible that enables you make calls to the QuantLib library using any major languages including Perl, PHP, Python, Tcl and Ruby. The list of supported languages also includes non-scripting languages such as C#, Common Lisp (CLISP, Allegro CL, CFFI, UFFI), Java, Lua, Modula-3, OCAML, Octave and R. I do believe C# is added as well. The SWIG interpretation of QuantLib allows you to talk to many of these languages. Pretty cool huh?
3. QuantLib includes virtually all major models, engines, market conventions, yield curve models, solvers, PDEs, Monte Carlo (low-discrepancy included), exotic options, VAR, and so on.
4. Leaning this library could actually get you a real job in the market.
5. Researchers would have a framework at hand, which vastly reduces the amount of low-level work necessary to build models, so to be able to focus on more complex and interesting problems.
6. QuantLib is a BSD license meaning it is free and can be distributed into other systems you develop even if you charge for it.
7. Pretty decent community for questions that actually get answered on a timely basis.
8. It is constantly updated and maintained frequently.
9. Major companies use it including StatPro, Credit Suisse, and Axa in Europe.
10. QuantLibAddIn and QuantLibXL was created to enable Excel integration for front end development on your algorithms’.

Do I really need to say adding additional? So what if QuantLib is ‘over-engineered’? What people need to understand is that is has so much functionality to it that it makes so humongous?