Quant-Papers

A curated list of must-read Quant papers

Commodities

• Gabillion, J. (1991). The Term Structure of Oil Futures Prices. Working Paper, No. M17, Oxford Institute for Energy Studies.

• Schwartz, E.S., (1997). The stochastic behavior of commodity prices: Implications for valuation and hedging. The Journal of finance, 52(3), pp.923-973.

• Schwartz, Eduardo, and James E. Smith. (2000). Short-Term Variations and Long-Term Dynamics in Commodity Prices. Management Science, vol. 46, no. 7, 2000, pp. 893–911. JSTOR, http://www.jstor.org/stable/2661607.

  • Available Here

• Ramos Ribeiro, Diana and Hodges, Stewart D. (January 13, 2004). A Two-Factor Model for Commodity Prices and Futures Valuation. Available at SSRN: https://ssrn.com/abstract=498802 or http://dx.doi.org/10.2139/ssrn.498802

  • Available Here

• Carmona, René; Coulon, Michael (2013). A survey of commodity markets and structural models for electricity prices. University of Sussex. Chapter. https://hdl.handle.net/10779/uos.23397011.v1

  • Available Here

Credit

• Merton, R. C. (1974). On the Pricing of Corporate Debt: The Risk Structure of Interest Rates. The Journal of Finance, 29(2), 449–470. https://doi.org/10.2307/2978814

  • Available online via Wiley Here

• Jarrow, R.A. and Turnbull, S.M. (1995) Pricing Derivatives on Financial Securities Subject to Credit Risk. The Journal of Finance, 1, 53-85. http://dx.doi.org/10.1111/j.1540-6261.1995.tb05167.x

• Duffee, G. R. (1999). Estimating the Price of Default Risk. The Review of Financial Studies, 12(1), 197–226. http://www.jstor.org/stable/2645991

• Duffie, D., & Singleton, K. J. (1999). Modeling Term Structures of Defaultable Bonds. The Review of Financial Studies, 12(4), 687–720.

  • Available online Here

• Lando, D. (1998) On Cox Processes and Credit Risky Securities. Review of Derivative Research, 2, 99-120.

  • Available online Here

• Duffie, D. (1999) Credit Swap Valuation. Financial Analysts Journal, 55, 73-87.

  • Available online Here

• Hull, John & White, Alan. (2003). The Valuation of Credit Default Swap Options. Journal of Derivatives. 10. 10.3905/jod.2003.319200.

  • Available online Here

• Brigo, D., & Morini, M. (2005). CDS Market Formulas and Models. In Proceedings of the 18th Annual Warwick Options and Derivatives.

Foundational and Asset Pricing

• Bachelier, L. (1900) – Théorie de la Spéculation

  • Widely recognized as the first work to apply a mathematical model of Brownian motion (what he called "a random walk") to the fluctuations of financial asset prices.
  • Available Here: 🇫🇷 French (Original), 🇬🇧 English

• Sharpe, W.F., 1964. Capital asset prices: A theory of market equilibrium under conditions of risk. The journal of finance, 19(3), pp.425-442.

  • Sharpe introduces the Capital Asset Pricing Model (CAPM), which explains how risk and return are related in a market equilibrium and derives a linear relationship between an asset's expected return and its systematic risk (beta).
  • Available Here

• Fama, E.F., 1970. Efficient capital markets: A review of theory and empirical work. Journal of Finance, 25(2), pp.383–417.

• Fama, E.F. and French, K.R., 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), pp.3–56.

Interest Rates

• Vasicek, O. (1977) An Equilibrium Characterization of the Term Structure. Journal of Financial Economics, 5, 177-188.

  • Available online Here

• Cox, J. C., Ingersoll, J. E., & Ross, S. A. (1985). A Theory of the Term Structure of Interest Rates. Econometrica, 53(2), 385–407.

  • Available online Here

• Heath, D., Jarrow, R., & Morton, A. (1990). Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation. The Journal of Financial and Quantitative Analysis, 25(4), 419–440.

  • Available via Research Gate

Machine Learning in Finance

• Buehler, Hans and Gonon, Lukas and Teichmann, Josef and Wood, Ben, Deep Hedging (February 8, 2018).

  • Available at SSRN

• Horvath, B., Muguruza, A., & Tomas, M. (2019). Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models. Quantitative Finance, 21, 11 - 27.

• Available at SSRN or http://dx.doi.org/10.2139/ssrn.3322085-

Option Pricing and Derivatives

• Black, F. and Scholes, M. (1973) The Pricing of Options and Corporate Liabilities. Journal of Political Economy, 81, 637-654.

  • Available Here

• Dupire B. (1994) Pricing with a Smile, Risk, Vol. 7, No. 1, 1994, pp. 18-20.

  • Here

• Carr, P. and Madan, D.B. (1999) Option Valuation Using Fast Fourier Transform. Journal of Computational Finance, 2, 61-73. https://doi.org/10.21314/JCF.1999.043

  • Here

• Longstaff, F. and Schwartz, E. (2001) Valuing American Options by Simulation: A Simple Least-Squares Approach. The Review of Financial Studies, 14, 113-147. https://doi.org/10.1093/rfs/14.1.113

  • Available online Here

Volatility

• Dupire B. (1994) Pricing with a Smile, Risk, Vol. 7, No. 1, 1994, pp. 18-20.

• Heston, Steven L. (1993) A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options. The Review of Financial Studies 6, no. 2 : 327–43.

  • Here

• Bergomi, Lorenzo, Smile Dynamics I (April 1, 2004).

  • Available at SSRN: https://ssrn.com/abstract=1493294 or http://dx.doi.org/10.2139/ssrn.1493294

• Bergomi, Lorenzo, Smile Dynamics II (March 1, 2005).

  • Available at SSRN: https://ssrn.com/abstract=1493302 or http://dx.doi.org/10.2139/ssrn.1493302

• Bergomi, Lorenzo, Smile Dynamics III (March 1, 2008).

  • Available at SSRN: https://ssrn.com/abstract=1493308 or http://dx.doi.org/10.2139/ssrn.1493308

• Bergomi, Lorenzo, Smile Dynamics IV (June 1, 2009).

  • Available at SSRN: https://ssrn.com/abstract=1520443 or http://dx.doi.org/10.2139/ssrn.1520443