Category:Paper

From Quantnet Wiki

[edit] Resources for finding research papers in financial math.

[edit] Practitioner Websites

These famous quants have posted a number of valuable papers on their sites.

• Emmanuel Derman's homepage,
• Peter Carr's homepage,
• Espen Haug's homepage (don't forget to read The Collector, Espen Haug's comic on quantitative finance.)
• Nassim Taleb's homepage.
• Andrew Lo's homepage.
• Ed Thorp's homepage.
• Martin Sewell has several different resources.

[edit] Aggregation Websites

These websites collect papers for your viewing pleasure.

• Wilmott has a large library of papers.
• The Quantitative Finance Library has a burgeoning collection of research papers.
• Quantcode has a library of research papers.
• Quantlib is a "a free/open-source library for quantitative finance".
• GloriaMundi has documents about Value At Risk (VAR).
• Default Risk is "the web's biggest credit risk modeling resource".
• Finance-and-Physics.org has a collection of classic papers available.
• Decision Tree has resources on optimization, and a bibliography on such techniques.

[edit] Literature Review

To find important works in the field, make sure to follow the references and literature review found any published papers you read. To then track down those references, you can look in the following places:

• Google Scholar provides cross-references and original papers quite easily.
• The New York Public Library provides free access to those who hold a library card, and use their database for non-commercial purposes.
• Any university library with which you are associated will have access to a variety of academic journals.
• SSRN has a large repository of social science research papers.
  • ArXiv does as well, but those are primarily math- and physics-oriented papers.
• Trade publications normally sell digital access to their archives, as well as back-issues and individual articles for a fee. There are quite a few such journals, so a list is difficult to maintain.
  • This Ohio state website maintains a list of finance journals.