Financial Links

Links for my personal use

General

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

Courses

Thomas Schlumprecht , Mathematics in Finance Math 628
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

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

Time series

Statistical modelling of financial time series: An introduction http://www.nr.no/files/samba/bff/SAMBA0804.pdf
Analysis of Financial Time Series http://lipas.uwasa.fi/~sjp/Teaching/Afts/Lectures/
Adaptive Estimation for Financial Time Series http://edoc.hu-berlin.de/dissertationen/mercurio-danilo-2004-06-11/PDF/Mercurio.pdf
Financial Time Series Forecasting by Neural Network Using Conjugate Gradient Learning Algorithm and Multiple Linear Regression Weight Initialization
Statistical analysis of financial time series under the assumption ... http://www.u-cergy.fr/IMG/2003-23Skander.pdf
Financial Time Series Segmentation based on Specialized Binary ... http://iec.cugb.edu.cn/WorldComp2006/DMI5504.pdf

Panel Data

Sources of Panel Data http://www.marketingpower.com/content24862.php
Dividends, Stock Repurchases And Signaling: Evidence From U.S. Panel Data http://stlouisfed.org/banking/SPA/WorkingPapers/SPA_1998_01.pdf
Information Technology And Product Variety: Evidence From Panel Data- http://opim.wharton.upenn.edu/~lhitt/files/itvariety.pdf
Policy Factors and Exchange Rate Volatility: Panel Data versus a Specific Country Analysis ttp://www.eurojournals.com/IRJFE%20ISSUE%207%20benita.pdf
http://weatherhead.case.edu/bafi/Documents/Petersenpaper.pdf
http://www.uq.edu.au/economics/files/tey.ppt
http://faculty-staff.ou.edu/D/Firat.Demir-1/Demir_Macroeconomic_Uncertainty_and_Private_Investment.pdf
http://economicsbulletin.vanderbilt.edu/2007/volume6/EB-07F20005A.pdf

Option Pricing

Advanced Numerical Methods for Financial Problems - Pricing of Derivatives http://www.math.bas.bg/~kounchev/SeminarFin/KrasimirMilanov.pdf
Currency Option Valuation http://www.willamette.edu/~fthompso/IFM/BS.ppt
Applications of the Linear Functional Form: Pricing Exotics http://www.stanford.edu/~japrimbs/08-Exotics3(f).ppt
Binomial Option Pricing, the Black-Scholes Option Pricing Formula http://finance.wharton.upenn.edu/~benninga/mma/MiER64.pdf
How American Options are Exercised http://www.business.uiuc.edu/poteshma/research/duffieLiuPoteshman.pdf

Path-dependant

Futures, Swaps and Options.by Fernando Alvarez (ppt).

Fixed income

A Lattice Implementation of the Black-Karasinsky Rate Process http://www.mathematik.uni-ulm.de/finmath/courses/ss06/finEng/black-karasinski.pdf
International Fixed Income and Derivatives Certificate (pdf)
Binomial option pricing: http://en.wikipedia.org/wiki/Binomial_options_pricing_model
David Backus and Stanley Zin, Advanced Fixed Income Analytics for Financial Professionals (B40.3176.33, Spring 1999)

Forex

Foreign exchange market http://en.wikipedia.org/wiki/Foreign_exchange_market
Forex http://en.wikipedia.org/wiki/Forex_swap

Numerical methods - Links

Scientific Links | Programming Links | Financial Links

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ŠNikolai V. Shokhirev, 2007-2008