Resources for Financial Engineering

Links for my personal use

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General

Resources for Financial Engineers http://www.sitmo.com/
Computational Methods for Option Pricing C++ http://www.ann.jussieu.fr/~achdou/node3.html
Numerical Methods for Option Pricing by J. Kerman http://www.stat.columbia.edu/~kerman/optionpricing.pdf
Bernt Arne Řdegaard

C++ programs for Finance http://finance.bi.no/~bernt/gcc_prog/
Financial Numerical Recipes in C ++ http://finance.bi.no/~bernt/gcc_prog/recipes/recipes/

Financial, Economic, and Others Selected Links
Market-Based Allocation with Indivisible Bids http://ai.eecs.umich.edu/people/wellman/pubs/pom07.pdf
Hybrid Soft and Hard Computing Based Forex Monitoring Systems http://www.softcomputing.net/forex_chapter.pdf
Financial, Economic, and Others Selected Links http://www.puc-rio.br/marco.ind/ot_links.html#fin-derivatives
Myungshik Kim http://web.am.qub.ac.uk/users/m.s.kim/
Financial engineering resources http://www.sitmo.com/
Welcome to the Quant Equation Archive! http://www.sitmo.com/eqlist.htm
Statistics in the Internet age

Applied Quantitative Methods, S. Borak, M. Handel http://www.quantlet.com/mdstat/slides/xfg/xfgslidepdf100.pdf
Statistics of Financial Markets http://www.quantlet.de/mdstat/scripts/sfe/html/
Statistics of Financial Markets http://www.quantlet.de/mdstat/scripts/sfe/pdf/sfe.pdf

Resources for Financial Engineers http://www.sitmo.com/

Courses

Ruey S. Tsay Teaching Page http://faculty.chicagobooth.edu/ruey.tsay/teaching/

Analysis of Financial Time Series , Wiley, 2002. http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts/
Analysis of Financial Time Series, Second Edition, Wiley, 2005. http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts2/

Thomas Schlumprecht , Mathematics in Finance Math 628
Financial Time Series Analysis and Econometrics II http://lipas.uwasa.fi/~sjp/Teaching/Afts/Lectures/
David Backus and Stanley Zin, Advanced Fixed Income Analytics for Financial Professionals http://pages.stern.nyu.edu/~dbackus/3176/
Introduction to Statistics of Financial Markets http://www.quantlet.de/mdstat/scripts/sfe/html/
Lifelong-Learners: Problem Based Learning Software and Courses http://www.lifelong-learners.com/opt/SYL/node1.php
Thomas Schlumprecht , Mathematics in Finance Math 628 http://www.math.tamu.edu/~thomas.schlumprecht/mathfin1.html
Lifelong-Learners: Problem Based Learning Software and Courses http://www.lifelong-learners.com/opt/SYL/node1.php
Speculative Markets http://home.uchicago.edu/~falvare/econ251.html
Theory of Income I http://home.uchicago.edu/~falvare/econ405.html
Rody Manuelli , Professor of Economics

Econ 712: Macroeconomic Theory
Econ 879: Topics in Dynamic Economics

Computational Finance Course (with programs), Philip H. Dybvig, Washington University in Saint Louis. http://dybfin.wustl.edu/teaching/compufin/

Time series, Panel Data - Links

Options, Commodity, Forex, Fixed income - Links

Numerical methods - Links

Monte Carlo - Links

FIX Protocol http://www.fixprotocol.org/
FIX - Financial Information eXchange http://en.wikipedia.org/wiki/FIX_protocol

Volatility

Financial Market Volatility Definition (s)
Volatility (finance) From Wikipedia, the free encyclopedia
Linear state models for volatility estimation and prediction http://www.carisma.brunel.ac.uk/papers/2006/Richard.pdf
Volatility estimate via Fourier analysis http://www.econ-pol.unisi.it/~reno/tesi.pdf
Volatility Definition and Estimation http://static.managementboek.nl/pdf/9780470856130.pdf
Non-parametric volatility estimation http://www.statsresearch.co.nz/pdf/isis2.pdf
An introduction to volatility and how it can be calculated in excel.
Empirical Evaluation of Volatility Estimation http://www.stat.purdue.edu/~zdaye/Projects/Volatility.pdf
Dr. Andrea Cangiani, Implied Volatility Estimation using Adjoint Monte Carlo Methods.
Stock Market Volatility. >>> http://www.bis.org/publ/bppdf/bispap29.pdf
On Jumps And ARCH Effects in Natural Resource Prices http://www.green.ecn.ulaval.ca/CahiersGREEN2000/00-03.pdf

Value at Risk

Portfolio Value at Risk Based on Independent Components Analysis http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2005-060.pdf
Value-at-Risk (VaR) http://finance.wharton.upenn.edu/~benninga/mma/MiER74.pdf
Value at Risk Incorporating Dynamic Portfolio Management http://fmwww.bc.edu/cef00/papers/paper147.pdf
Value At Risk and Maximum Loss Optimization http://www.ifor.math.ethz.ch/publications/1995_varandmaximumlossoptimization.pdf
Measuring Traded Market Risk: Value-At-Risk and Backtesting Techniques http://www.rba.gov.au/rdp/rdp9708.pdf
Risk Measurement: An Introduction to Value at Risk http://www.exinfm.com/training/pdfiles/valueatrisk.pdf
Value at Risk for a portfolio of Credit Default Swaps http://www.few.vu.nl/stagebureau/stage/stageverslagen/stageverslag-yangyi.pdf
Portfolio Value-at-Risk with Time-Varying Copula: Evidence from the Americas http://mpra.ub.uni-muenchen.de/2711/1/MPRA_paper_2711.pdf
Portfolio Optimisation Using Value at Risk http://www3.imperial.ac.uk/pls/portallive/docs/1/18619714.PDF
Value at Risk Models for Nonlinear Portfolio http://www.wpi.edu/Pubs/ETD/Available/etd-0430104-155045/unrestricted/guochunliu.pdf

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ŠNikolai V. Shokhirev, 2007-2009