951:
accounting factors. An investment manager might implement this analysis by buying the underpriced stocks, selling the overpriced stocks, or both. Statistically oriented quantitative analysts tend to have more of a reliance on statistics and econometrics, and less of a reliance on sophisticated numerical techniques and object-oriented programming. These quantitative analysts tend to be of the psychology that enjoys trying to find the best approach to modeling data, and can accept that there is no "right answer" until time has passed and we can retrospectively see how the model performed. Both types of quantitative analysts demand a strong knowledge of sophisticated mathematics and computer programming proficiency.
413:
843:. The majority of quantitative analysts have received little formal education in mainstream economics, and often apply a mindset drawn from the physical sciences. Quants use mathematical skills learned from diverse fields such as computer science, physics and engineering. These skills include (but are not limited to) advanced statistics, linear algebra and partial differential equations as well as solutions to these based upon
243:
processes. Merton was motivated by the desire to understand how prices are set in financial markets, which is the classical economics question of "equilibrium", and in later papers he used the machinery of stochastic calculus to begin investigation of this issue. At the same time as Merton's work and
950:
A typical problem for a statistically oriented quantitative analyst would be to develop a model for deciding which stocks are relatively expensive and which stocks are relatively cheap. The model might include a company's book value to price ratio, its trailing earnings to price ratio, and other
493:
Front office work favours a higher speed to quality ratio, with a greater emphasis on solutions to specific problems than detailed modeling. FOQs typically are significantly better paid than those in back office, risk, and model validation. Although highly skilled analysts, FOQs frequently lack
211:
and statistical analysis to successfully win blackjack games. His research was subsequently used during the 1980s and 1990s by investment management firms seeking to generate systematic and consistent returns in the U.S. stock market. The field has grown to incorporate numerous approaches and
938:
A typical problem for a mathematically oriented quantitative analyst would be to develop a model for pricing, hedging, and risk-managing a complex derivative product. These quantitative analysts tend to rely more on numerical analysis than statistics and econometrics. One of the principal
755:
Post crisis, regulators now typically talk directly to the quants in the middle office - such as the model validators - and since profits highly depend on the regulatory infrastructure, model validation has gained in weight and importance with respect to the quants in the front office.
164:'s 1952 doctoral thesis "Portfolio Selection" and its published version was one of the first efforts in economics journals to formally adapt mathematical concepts to finance (mathematics was until then confined to specialized economics journals). Markowitz formalized a notion of
579:
Machine learning models are now capable of identifying complex patterns in financial market data. With the aid of artificial intelligence, investors are increasingly turning to deep learning techniques to forecast and analyze trends in stock and foreign exchange markets. See
772:
Quantitative developers, sometimes called quantitative software engineers, or quantitative engineers, are computer specialists that assist, implement and maintain the quantitative models. They tend to be highly specialised language technicians that bridge the gap between
764:, or to ensure that the positions being held were correctly valued. An MV quantitative analyst would typically earn a fraction of quantitative analysts in other groups with similar length of experience. In the years following the crisis, as mentioned, this has changed.
612:
are sometimes used in non-performance critical tasks. LQs spend more time modeling ensuring the analytics are both efficient and correct, though there is tension between LQs and FOQs on the validity of their results. LQs are required to understand techniques such as
759:
Before the crisis however, the pay structure in all firms was such that MV groups struggle to attract and retain adequate staff, often with talented quantitative analysts leaving at the first opportunity. This gravely impacted corporate ability to manage
739:
In the aftermath of the financial crisis, there surfaced the recognition that quantitative valuation methods were generally too narrow in their approach. An agreed upon fix adopted by numerous financial institutions has been to improve collaboration.
77:
quants" from market maker firms, concerned with derivatives pricing and risk management, the meaning of the term has expanded over time to include those individuals involved in almost any application of mathematical finance, including the
267:
In 1981, Harrison and Pliska used the general theory of continuous-time stochastic processes to put the Black–Scholes model on a solid theoretical basis, and showed how to price numerous other derivative securities. The various
2217:
1036:
analysis and methods are being increasingly employed in portfolio performance and portfolio risk modelling, and as such data science and machine learning Master's graduates are also hired as quantitative analysts.
154:, suggesting "in a more literary form, the conceptual setting for the application of probability to stockmarket operations". It was, however, only in the years 1960-1970 that the "merit of was recognized" as
752:. The MV group might well be seen as a superset of the quantitative operations in a financial institution, since it must deal with new and advanced models and trading techniques from across the firm.
490:
quantitative analyst and a quantitative trader is increasingly blurred, and it is now difficult to enter trading as a profession without at least some quantitative analysis education.
748:
Model validation (MV) takes the models and methods developed by front office, library, and modeling quantitative analysts and determines their validity and correctness; see
541:. Some, such as FQ, AQR or Barclays, rely almost exclusively on quantitative strategies while others, such as PIMCO, Blackrock or Citadel use a mix of quantitative and
1996:
943:. The mindset, however, is to prefer a deterministically "correct" answer, as once there is agreement on input values and market variable dynamics, there is only
62:
in other industries. The process usually consists of searching vast databases for patterns, such as correlations among liquid assets or price-movement patterns (
264:, i.e., the right to buy one share of a given stock at a specified price and time. Such options are frequently purchased by investors as a risk-hedging device.
2460:
328:
helped to both make the role of a quantitative analyst better known outside of finance, and to popularize the abbreviation "quant" for a quantitative analyst.
581:
2053:
2080:"An Overview of Machine Learning, Deep Learning, and Reinforcement Learning-Based Techniques in Quantitative Finance: Recent Progress and Challenges"
1920:
McKean, H. P. Jr. (1965). "Appendix (to
Samuelson): a free boundary problem for the heat equation arising from a problem of mathematical economics".
675:
This area has grown in importance in recent years, as the credit crisis exposed holes in the mechanisms used to ensure that positions were correctly
482:, quantitative analysts work to determine prices, manage risk, and identify profitable opportunities. Historically this was a distinct activity from
592:
Major firms invest large sums in an attempt to produce standard methods of evaluating prices and risk. These differ from front office tools in that
2151:
1084:
434:
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software engineering experience or formal training, and bound by time constraints and business pressures, tactical solutions are often adopted.
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and quantitative analysts. The term is also sometimes used outside the finance industry to refer to those working at the intersection of
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257:
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for any given security (which can be demonstrated, albeit often inefficiently, through a large volume of Monte Carlo simulations).
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whose variance is minimal among all portfolios with a given mean return. Thus, although the language of finance now involves
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and Robert
Litterman: Global Portfolio Optimization, Financial Analysts Journal, September 1992, pp. 28–43
288:. Similarly, and in parallel, models were developed for various other underpinnings and applications, including
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1335:
The
Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets
396:
217:
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Typically, a quantitative analyst will also need extensive skills in computer programming, most commonly
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221:
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for common stocks which allowed him to quantify the concept of "diversification" in a market. He showed
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The demand for quantitative skills has led to the creation of specialized
Masters and PhD courses in
964:
666:
344:
1590:, "Pricing interest-rate derivative securities", The Review of Financial Studies, Vol 3, No. 4 (1990)
993:". Quantitative analysis is a then major source of employment for those with mathematics and physics
399:, necessitating technical changes to the latter framework, while the underlying logic is unaffected).
1716:
1619:
1546:
1438:
700:
618:
317:
285:
199:(1965–1977). Considered the "Father of Quantitative Investing", Thorp sought to predict and simulate
568:, both based in New York. Prediction hired scientists and computer programmers from the neighboring
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1583:
1513:
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and hedging: involves software development, advanced numerical techniques, and stochastic calculus.
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1001:
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to create sophisticated statistical models using "industrial-strength computers" in order to " the
561:
502:
423:
336:
94:
67:
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models; (ii) The risk neutral value is adjusted for the impact of counter-party credit risk via a
3047:
2908:
2803:
2686:
1745:
Derman, E. (2004). My life as a quant: reflections on physics and finance. John Wiley & Sons.
1535:
1472:
1278:
960:
922:
708:
692:
427:
253:
1867:
1485:
Factor-Related and
Specific Returns of Common Stocks: Serial Correlation and Market Inefficiency
2935:
1587:
1496:
Autoregressive
Conditional Heteroskedasticity With Estimates of the Variance of U.K. Inflation,
1186:
1112:
878:
872:
376:
301:
203:, a card-game he played in Las Vegas casinos. He was able to create a system, known broadly as
184:
102:
59:
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1643:
1509:
1378:
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1254:
The
Movements of Interest Rates. Bond Yields and Stock Prices in the United States since 1856
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1041:
926:
782:
642:
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384:
364:
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87:
55:
35:
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Because of their backgrounds, quantitative analysts draw from various forms of mathematics:
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1099:) increasingly includes a significant technical component. Likewise, masters programs in
8:
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2599:
1869:
The Quants: How a New Breed of Math
Whizzes Conquered Wall Street and Nearly Destroyed It
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the mean return and variance for a given portfolio and argued that investors should hold
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1957:
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1266:, "Stochastic Integral", Proceedings of the Imperial Academy, 20(8), pp. 519–524
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260:. It provided a solution for a practical problem, that of finding a fair price for a
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840:
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236:
180:, management of risk in a quantifiable manner underlies much of the modern theory.
139:
2360:, February 1, 2010, including excerpt "Chapter 2: The Godfather: Ed Thorp". Also,
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1735:
https://web.archive.org/web/20060430115935/http://siam.org/about/pdf/brochure.pdf
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2331:: How a New Breed of Math Whizzes Conquered Wall Street and Nearly Destroyed It
2307:
2125:
1650:
1569:
1221:
828:
321:
304:. Quants are thus involved in pricing and hedging a wide range of securities –
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147:
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2997:
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2105:
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1527:
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1384:
1358:
1321:
Capital asset prices: A theory of market equilibrium under conditions of risk
1298:
1257:
1226:
910:
906:
688:
273:
249:
245:
204:
58:
and other related finance occupations. The occupation is similar to those in
1915:
1263:
670:
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3088:
3078:
2898:
2872:
2621:
2611:
2594:
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1911:
1625:
1424:
1330:
1029:
836:
724:
646:
498:
487:
340:
339:
were incorporated into the modelling, previously performed in an entirely "
297:
281:
93:
Some of the larger investment managers using quantitative analysis include
2078:
Sahu, Santosh Kumar; Mokhade, Anil; Bokde, Neeraj
Dhanraj (January 2023).
1941:"Martingales and Stochastic Integrals in the Theory of Continuous Trading"
629:
Often the highest paid form of Quant, ATQs make use of methods taken from
3203:
3183:
3163:
3158:
3103:
2992:
2924:
2019:
1628:
1574:
A One-Factor Model of
Interest Rates and Its Application to Treasury Bond
1418:
1354:
1201:
1021:
986:
892:
816:
650:
634:
151:
2096:
2079:
1555:
Bond pricing and the term structure of interest rates: a new methodology
560:
to secure investment returns, along with three other funds at the time,
3188:
3108:
2785:
2648:
2328:
1616:
812:
761:
749:
510:
2413:
Quantitative Work Alliance for Finance Education and Wisdom (QWAFAFEW)
548:
One of the first quantitative investment funds to launch was based in
2824:
2819:
2734:
2653:
2435:
at Stack Exchange – question and answer site for quantitative finance
2357:
1733:
See Definition in the Society for Applied and Industrial Mathematics
1638:
2002 – Patrick Hagan, Deep Kumar, Andrew Lesniewski, Diana Woodward,
1303:
The Cost of Capital, Corporation Finance and the Theory of Investment
1080:
582:
Applications of artificial intelligence § Trading and investment
506:
200:
74:
2438:
497:
Increasingly, quants are attached to specific desks. Two cases are:
412:
3002:
2638:
820:
150:
had posited already in 1863 that stock prices can be modelled as a
79:
2846:
2432:
982:
731:, assessment of the models used by the bank's various divisions.
46:). Quants tend to specialize in specific areas which may include
31:
2386:
Analysing Quantitative Data for Business and Management Students
685:
Tail risk § Role of the global financial crisis (2007-2008)
2589:
2278:"Finance and Stochastics – incl. Option to publish open access"
1893:
Samuelson, P. A. (1965). "Rational Theory of Warrant Pricing".
1017:
135:
2364:
from "Chapter 10: The August Factor", in the January 23, 2010
2235:
2512:
1499:
1005:
597:
593:
380:
351:- to some extent, equity-option prices have incorporated the
115:
Mathematical finance § Derivatives pricing: the Q world
82:. Applied quantitative analysis is commonly associated with
2297:
Capital Ideas: The Improbable Origins of Modern Wall Street
1200:: involves a lot of time series analysis, calibration, and
1072:
are becoming popular with students and with employers. See
680:
624:
2402:
1532:
Efficient analytic approximation of American option values
788:
383:
as previously, and, relatedly, quants must model under a "
2427:
1079:
This has, in parallel, led to a resurgence in demand for
994:
372:
138:"Theory of Speculation", which provided a model to price
1118:
2418:
Professional Risk Managers Industry Association (PRMIA)
2412:
621:, as well as the nature of the products being modeled.
505:
as well as (minimizing) the capital requirements under
2403:
Q-Group Institute for Quantitative Research in Finance
2168:"Machine Learning in Finance: Theory and Applications"
1655:
My Life as a Quant: Reflections on Physics and Finance
379:
curve is used for the "risk free rate", as opposed to
347:: (i) Option pricing and hedging inhere the relevant
16:
Use of mathematical and statistical methods in finance
1443:
An equilibrium characterisation of the term structure
1115:
may allow for a quantitative finance specialization.
520:
2397:
1771:
1769:
707:- while this is supplemented with various forms of
556:. By the late-1990s, Prediction Company began using
473:
2417:
2054:"Millennium Shuts Down Pioneering Quant Hedge Fund"
2422:
1914:the co-founder of stochastic calculus (along with
73:Although the original quantitative analysts were "
2423:International Association of Quantitative Finance
2407:
2194:"A Machine-Learning View of Quantitative Finance"
1939:Harrison, J. Michael; Pliska, Stanley R. (1981).
1766:
3231:
2152:International Association of Financial Engineers
2077:
1518:A theory of the term structure of interest rates
1393:The Pricing of Options and Corporate Liabilities
587:
533:Outline of finance § Quantitative investing
343:world", entailing three major developments; see
214:Outline of finance § Quantitative investing
2212:
2210:
1834:"Why Edward Thorp Owns Only Berkshire Hathaway"
1938:
1125:Society for Industrial and Applied Mathematics
969:Financial modeling § Quantitative finance
939:mathematical tools of quantitative finance is
799:Financial modeling § Quantitative finance
280:(1987), relatedly allowed for an extension to
90:, algorithmic trading and electronic trading.
2454:
1792:Markowitz, H. (1952). "Portfolio Selection".
1074:Master of Quantitative Finance § History
807:Financial economics § Derivative pricing
596:is very rare, with most development being in
537:Quantitative analysis is used extensively by
119:Financial economics § Derivative pricing
2207:
803:Outline of finance § Mathematical tools
239:promoted continuous stochastic calculus and
222:Financial economics § Portfolio theory
86:which includes a variety of methods such as
1945:Stochastic Processes and Their Applications
441:. Unsourced material may be challenged and
2461:
2447:
1986:
371:, or CVA, as well as various of the other
187:was first introduced from the research of
2121:
2119:
2117:
2115:
2095:
2051:
1956:
1892:
1865:
1791:
767:
667:Investment banking § Risk management
552:and began trading in 1991 under the name
461:Learn how and when to remove this message
316:– additional to classic derivatives; see
258:Nobel Memorial Prize in Economic Sciences
122:
2052:Beilselki, Vincent (September 6, 2018).
1487:, Journal of Finance, May 1982 V. 37: #2
1289:A New Interpretation of Information Rate
663:Financial risk management § Banking
625:Algorithmic trading quantitative analyst
2147:
2145:
2143:
1635:, 1996, RiskMetrics model and framework
1602:Brownian motion and stochastic calculus
1498:Seminal paper in ARCH family of models
1483:1982 – Barr Rosenberg and Andrew Rudd,
1232:
1052:(as well as in specific topics such as
789:Mathematical and statistical approaches
359:- and banks then apply "surface aware"
345:Valuation of options § Post crisis
3232:
2112:
1971:
1919:
1534:. Journal of Finance. 42 (2): 301–20.
1433:Monte Carlo methods for option pricing
977:Quantitative analysts often come from
973:Financial analyst § Qualification
965:Financial engineering § Education
893:spot and forward interest rates curves
2468:
2442:
2236:"The Journal of Portfolio Management"
2017:
1987:Rothschild, John (November 7, 1999).
1465:Option pricing: A simplified approach
1119:Academic and technical field journals
850:Commonly used numerical methods are:
728:
2218:"Master's of the Financial Universe"
2140:
1861:
1859:
1857:
1855:
1853:
1827:
1825:
439:adding citations to reliable sources
406:
235:into the study of finance. In 1969,
1135:The Journal of Portfolio Management
961:Outline of finance § Education
743:
687:. A core technique continues to be
13:
2286:
1808:10.1111/j.1540-6261.1952.tb01525.x
1642:, Wilmott Magazine, January 2002,
1415:The pricing of commodity contracts
891:– used to interpolate values from
875:is also common in risk management;
656:
521:Quantitative investment management
185:quantitative investment management
84:quantitative investment management
14:
3261:
2408:CQA—Chicago Quantitative Alliance
2391:
1850:
1822:
1775:L. Carraro and P. Crépel (N.D.).
1526:1987 – Giovanni Barone-Adesi and
1479:Options as a Strategic Investment
1401:Theory of Rational Option Pricing
881:– used to estimate parameters in
474:Front office quantitative analyst
38:. Those working in the field are
2717:Electronic communication network
2398:Society of Quantitative Analysts
2375:(Great Minds in Finance Series)
1999:from the original on Jun 6, 2021
1170:
1129:Journal on Financial Mathematics
989:backgrounds, learning finance "
721:direct analysis of the positions
411:
197:University of California, Irvine
2270:
2252:
2228:
2186:
2160:
2071:
2045:
2011:
1980:
1965:
1932:
1866:Patterson, Scott (2010-02-02).
1832:Lam, Leslie P. Norton and Dan.
1831:
1429:Options: A Monte Carlo Approach
1070:Master of Financial Engineering
1066:Master of Computational Finance
1062:Master of Financial Mathematics
883:statistical regression analysis
839:. Some on the buy side may use
276:in 1977), and the more general
2201:appliededucationpsychology.org
1905:
1886:
1785:
1756:"Top Quantitative Hedge Funds"
1748:
1739:
1727:
1633:RiskMetrics Technical Document
1596:1991 – Ioannis Karatzas &
1469:Binomial options pricing model
1213:Asset and liability management
1091:. Similarly, the more general
1058:Master of Quantitative Finance
869:partial differential equations
859:partial differential equations
825:partial differential equations
570:Los Alamos National Laboratory
517:of client specific solutions.
391:, with replacements including
1:
2711:Multilateral trading facility
2354:Patterson and Thorp interview
2333:. Crown Business, 352 pages.
2018:Kelly, Kevin (July 1, 1994).
1722:
1667:List of quantitative analysts
1559:Heath–Jarrow–Morton framework
1477:1980 – Lawrence G. McMillan,
1097:Master of Financial Economics
933:
734:
588:Library quantitative analysis
375:; (iii) For discounting, the
333:financial crisis of 2007–2008
256:, which was awarded the 1997
191:, a mathematics professor at
3134:Returns-based style analysis
2930:Post-modern portfolio theory
2836:Security characteristic line
1958:10.1016/0304-4149(81)90026-0
1922:Industrial Management Review
1895:Industrial Management Review
954:
927:interest rate curve-building
671:Bank § Capital and risk
218:Post-modern portfolio theory
7:
2888:Efficient-market hypothesis
2792:Capital asset pricing model
2729:Straight-through processing
2301:Bernstein, Peter L. (2007)
1781:Encyclopedia of Mathematics
1687:Financial signal processing
1660:
1339:Capital asset pricing model
1325:Capital asset pricing model
1083:qualifications, as well as
501:, responsible for managing
486:but the boundary between a
369:credit valuation adjustment
335:, considerations regarding
193:New Mexico State University
166:mean return and covariances
123:§ Seminal publications
10:
3266:
2705:Alternative Trading System
2130:"Finding a job in finance"
1918:) wrote the appendix: see
958:
792:
660:
530:
524:
515:the design and manufacture
244:with Merton's assistance,
112:
108:
2980:
2855:
2754:
2674:
2582:
2549:
2510:
2476:
1717:Alpha generation platform
1307:Modigliani–Miller theorem
1244:Théorie de la spéculation
1085:commercial certifications
701:Conditional value at risk
619:finite difference methods
389:LIBOR is being phased out
318:contingent claim analysis
286:interest rate derivatives
2769:Arbitrage pricing theory
1989:"The Gnomes of Santa Fe"
1972:Derman, Emanuel (2004).
1522:Cox–Ingersoll–Ross model
1105:computational statistics
855:Finite difference method
562:Renaissance Technologies
402:
337:counterparty credit risk
95:Renaissance Technologies
50:structuring or pricing,
3048:Initial public offering
2909:Modern portfolio theory
2804:Dividend discount model
2687:List of stock exchanges
1536:Barone-Adesi and Whaley
1279:Modern portfolio theory
1160:Finance and Stochastics
923:internal rate of return
699:approaches, as well as
158:theory was developed.
2936:Random walk hypothesis
2303:Capital Ideas Evolving
2260:"Quantitative Finance"
2216:Lindsey Gerdes (2009)
2020:"Cracking Wall Street"
1976:. John Wiley and Sons.
1682:Black–Scholes equation
1578:Black–Derman–Toy model
1187:Portfolio optimization
1113:industrial engineering
1056:). In particular, the
879:Ordinary least squares
873:Monte Carlo simulation
768:Quantitative developer
302:employee stock options
103:AQR Capital Management
60:industrial mathematics
3074:Market capitalization
2883:Dollar cost averaging
1644:SABR volatility model
1620:Black–Litterman model
1510:Jonathan E. Ingersoll
1379:Fixed income analysis
1374:Inside the Yield Book
1054:financial reinsurance
1050:computational finance
1042:financial engineering
867:– Also used to solve
793:Further information:
783:quantitative research
661:Further information:
643:market microstructure
558:statistical arbitrage
525:Further information:
385:multi-curve framework
365:stochastic volatility
174:only those portfolios
130:started in 1900 with
113:Further information:
88:statistical arbitrage
56:investment management
40:quantitative analysts
36:investment management
20:Quantitative analysis
3245:Mathematical finance
2894:Fundamental analysis
2878:Contrarian investing
2841:Security market line
2746:Liquidity aggregator
2723:Direct market access
2634:Quantitative analyst
2433:Quantitative Finance
2350:Amazon page for book
2264:Taylor & Francis
1712:Mathematical finance
1702:Fundamental analysis
1553:, and Andrew Morton
1233:Seminal publications
1183:Portfolio management
1165:Mathematical Finance
1141:Quantitative Finance
1046:mathematical finance
889:Spline interpolation
833:discrete mathematics
795:Mathematical finance
779:software engineering
705:Extreme value theory
550:Santa Fe, New Mexico
435:improve this section
262:European call option
128:Quantitative finance
99:D. E. Shaw & Co.
3250:Valuation (finance)
3139:Reverse stock split
3084:Market manipulation
3008:Dual-listed company
2868:Algorithmic trading
2798:Capital market line
2600:Inter-dealer broker
2371:Read, Colin (2012)
2366:Wall Street Journal
2324:Patterson, Scott D.
2293:Bernstein, Peter L.
2097:10.3390/app13031956
1993:archive.nytimes.com
1707:Financial economics
1640:Managing Smile Risk
1538:method for pricing
1453:John Carrington Cox
1369:Martin L. Leibowitz
1347:and Sheen Kassouf,
1275:Portfolio Selection
1192:Derivatives pricing
1109:applied mathematics
1101:operations research
979:applied mathematics
941:stochastic calculus
921:of functions (e.g.
913:– used to find the
615:Monte Carlo methods
566:D. E. Shaw & Co
543:fundamental methods
254:Black–Scholes model
233:stochastic calculus
144:normal distribution
28:statistical methods
3240:Financial analysts
3179:Stock market index
3018:Efficient frontier
2957:Technical analysis
2915:Momentum investing
2737:(private exchange)
2627:Proprietary trader
2569:Shares outstanding
2559:Authorised capital
2428:London Quant Group
2373:Rise of the Quants
2312:My Life as a Quant
2240:jpm.iijournals.com
1974:My Life as a Quant
1795:Journal of Finance
1697:Technical analysis
1677:Financial modeling
1561:for interest rates
1371:and Sydney Homer,
1256:, pp. 44–53,
1250:Frederick Macaulay
1218:Structured finance
865:Monte Carlo method
845:numerical analysis
775:software engineers
713:expected shortfall
554:Prediction Company
349:volatility surface
326:My Life as a Quant
294:exotic derivatives
290:credit derivatives
209:probability theory
3227:
3226:
3028:Flight-to-quality
2780:Buffett indicator
2470:Financial markets
2346:978-0-307-45337-2
2172:markets media.com
1879:978-0-307-45339-6
1692:Financial analyst
1672:Quantitative fund
1572:and William Toy,
1363:Theory of Finance
1317:William F. Sharpe
1311:Corporate finance
1295:Franco Modigliani
1093:Master of Finance
945:one correct price
919:maxima and minima
897:volatility smiles
691:- applying both
631:signal processing
527:Quantitative fund
503:counterparty risk
480:sales and trading
471:
470:
463:
270:short-rate models
3257:
3144:Share repurchase
2856:Trading theories
2741:Crossing network
2699:Over-the-counter
2536:Restricted stock
2492:Secondary market
2463:
2456:
2449:
2440:
2439:
2282:
2281:
2274:
2268:
2267:
2256:
2250:
2249:
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2214:
2205:
2204:
2198:
2190:
2184:
2183:
2181:
2179:
2164:
2158:
2149:
2138:
2123:
2110:
2109:
2099:
2084:Applied Sciences
2075:
2069:
2068:
2066:
2064:
2049:
2043:
2042:
2040:
2038:
2015:
2009:
2008:
2006:
2004:
1984:
1978:
1977:
1969:
1963:
1962:
1960:
1936:
1930:
1929:
1909:
1903:
1902:
1890:
1884:
1883:
1863:
1848:
1847:
1845:
1844:
1829:
1820:
1819:
1789:
1783:
1777:Bachelier, Louis
1773:
1764:
1763:
1752:
1746:
1743:
1737:
1731:
1598:Steven E. Shreve
1592:Hull-White model
1551:Robert A. Jarrow
1540:American options
1397:Robert C. Merton
1177:Trading strategy
1154:Wilmott Magazine
1034:machine learning
857:– used to solve
841:machine learning
823:centered around
744:Model validation
717:economic capital
466:
459:
455:
452:
446:
415:
407:
353:volatility smile
272:(beginning with
212:techniques; see
195:(1961–1965) and
3265:
3264:
3260:
3259:
3258:
3256:
3255:
3254:
3230:
3229:
3228:
3223:
3214:Voting interest
3124:Public offering
3059:Mandatory offer
3033:Government bond
3013:DuPont analysis
2976:
2972:Value investing
2967:Value averaging
2962:Trend following
2947:Style investing
2942:Sector rotation
2857:
2851:
2830:Net asset value
2756:Stock valuation
2750:
2670:
2578:
2545:
2531:Preferred stock
2506:
2472:
2467:
2394:
2308:Derman, Emanuel
2289:
2287:Further reading
2276:
2275:
2271:
2258:
2257:
2253:
2244:
2242:
2234:
2233:
2229:
2215:
2208:
2196:
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2187:
2177:
2175:
2174:. 22 April 2013
2166:
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2141:
2124:
2113:
2076:
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2050:
2046:
2036:
2034:
2016:
2012:
2002:
2000:
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1981:
1970:
1966:
1937:
1933:
1910:
1906:
1891:
1887:
1880:
1864:
1851:
1842:
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1790:
1786:
1774:
1767:
1760:Street of Walls
1754:
1753:
1749:
1744:
1740:
1732:
1728:
1725:
1663:
1461:Mark Rubinstein
1439:OldĹ™ich VašĂÄŤek
1349:Beat the Market
1345:Edward O. Thorp
1271:Harry Markowitz
1240:Louis Bachelier
1235:
1208:Credit analysis
1198:Risk management
1173:
1121:
975:
957:
936:
809:
791:
770:
746:
737:
715:methodologies,
673:
659:
657:Risk management
639:Kelly criterion
627:
590:
535:
529:
523:
499:XVA specialists
476:
467:
456:
450:
447:
432:
416:
405:
241:continuous-time
162:Harry Markowitz
156:options pricing
132:Louis Bachelier
125:
111:
64:trend following
52:risk management
17:
12:
11:
5:
3263:
3253:
3252:
3247:
3242:
3225:
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3222:
3221:
3216:
3211:
3206:
3201:
3196:
3191:
3186:
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3176:
3174:Stock exchange
3171:
3169:Stock dilution
3166:
3161:
3156:
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3146:
3141:
3136:
3131:
3126:
3121:
3116:
3111:
3106:
3101:
3096:
3094:Mean reversion
3091:
3086:
3081:
3076:
3071:
3069:Market anomaly
3066:
3061:
3056:
3051:
3045:
3040:
3035:
3030:
3025:
3020:
3015:
3010:
3005:
3000:
2995:
2990:
2988:Bid–ask spread
2984:
2982:
2978:
2977:
2975:
2974:
2969:
2964:
2959:
2954:
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2944:
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2862:
2853:
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2850:
2849:
2844:
2838:
2833:
2827:
2822:
2817:
2815:Earnings yield
2812:
2810:Dividend yield
2807:
2801:
2795:
2789:
2783:
2777:
2772:
2766:
2760:
2758:
2752:
2751:
2749:
2748:
2743:
2738:
2732:
2726:
2720:
2714:
2708:
2702:
2701:(off-exchange)
2696:
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2689:
2678:
2676:
2675:Trading venues
2672:
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2669:
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2576:
2574:Treasury stock
2571:
2566:
2561:
2555:
2553:
2547:
2546:
2544:
2543:
2541:Tracking stock
2538:
2533:
2528:
2523:
2517:
2515:
2508:
2507:
2505:
2504:
2499:
2494:
2489:
2487:Primary market
2483:
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2474:
2473:
2466:
2465:
2458:
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2443:
2437:
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2393:
2392:External links
2390:
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2288:
2285:
2284:
2283:
2269:
2251:
2227:
2206:
2185:
2159:
2139:
2126:Emanuel Derman
2111:
2070:
2044:
2010:
1979:
1964:
1951:(3): 215–260.
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1651:Emanuel Derman
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1570:Emanuel Derman
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1222:securitization
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911:Secant methods
900:
886:
876:
862:
829:linear algebra
790:
787:
769:
766:
745:
742:
736:
733:
693:the parametric
658:
655:
626:
623:
589:
586:
539:asset managers
522:
519:
513:, tasked with
475:
472:
469:
468:
419:
417:
410:
404:
401:
322:Emanuel Derman
252:developed the
229:Paul Samuelson
170:how to compute
148:Jules Regnault
110:
107:
22:is the use of
15:
9:
6:
4:
3:
2:
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3149:Short selling
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3038:Greenspan put
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3024:
3023:Financial law
3021:
3019:
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3009:
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2999:
2998:Cross listing
2996:
2994:
2991:
2989:
2986:
2985:
2983:
2981:Related terms
2979:
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2953:
2952:Swing trading
2950:
2948:
2945:
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2934:
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2928:
2926:
2923:
2921:
2920:Mosaic theory
2918:
2916:
2913:
2910:
2907:
2905:
2904:Market timing
2902:
2900:
2897:
2895:
2892:
2889:
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2692:Trading hours
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2607:Broker-dealer
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2587:
2585:
2581:
2575:
2572:
2570:
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2565:
2564:Issued shares
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2560:
2557:
2556:
2554:
2552:
2551:Share capital
2548:
2542:
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2537:
2534:
2532:
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2519:
2518:
2516:
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2509:
2503:
2502:Fourth market
2500:
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2339:0-307-45337-5
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2319:0-470-19273-9
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2195:
2189:
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2157:
2156:"Student FAQ"
2153:
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2144:
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2059:
2058:Bloomberg.com
2055:
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2014:
1998:
1994:
1990:
1983:
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1618:
1614:
1610:
1609:Fischer Black
1606:
1603:
1599:
1595:
1593:
1589:
1585:
1581:
1579:
1575:
1571:
1567:
1566:Fischer Black
1563:
1560:
1556:
1552:
1548:
1544:
1541:
1537:
1533:
1529:
1528:Robert Whaley
1525:
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1507:
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1501:
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1476:
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1473:Lattice model
1470:
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1462:
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1447:Vasicek model
1444:
1440:
1436:
1434:
1430:
1426:
1422:
1420:
1416:
1412:
1411:Fischer Black
1408:
1406:
1405:Black–Scholes
1402:
1398:
1394:
1390:
1389:Myron Scholes
1386:
1385:Fischer Black
1382:
1380:
1376:
1375:
1370:
1366:
1364:
1360:
1359:Merton Miller
1356:
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1340:
1336:
1332:
1328:
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1322:
1318:
1314:
1312:
1308:
1304:
1300:
1299:Merton Miller
1296:
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1290:
1286:
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1280:
1276:
1272:
1268:
1265:
1261:
1259:
1258:Bond duration
1255:
1251:
1247:
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1237:
1236:
1228:
1227:Asset pricing
1225:
1223:
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1175:
1174:
1171:Areas of work
1166:
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690:
689:value at risk
686:
682:
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654:
652:
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644:
640:
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620:
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576:of Finance".
575:
574:Supercollider
571:
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420:This section
418:
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374:
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358:
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329:
327:
324:'s 2004 book
323:
319:
315:
311:
307:
303:
299:
295:
291:
287:
283:
279:
278:HJM Framework
275:
271:
265:
263:
259:
255:
251:
250:Myron Scholes
247:
246:Fischer Black
242:
238:
237:Robert Merton
234:
230:
225:
223:
219:
215:
210:
207:, which used
206:
205:card counting
202:
198:
194:
190:
186:
181:
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175:
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163:
159:
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100:
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91:
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65:
61:
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41:
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33:
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3199:Tender offer
3119:Public float
3089:Market trend
3079:Market depth
2899:Growth stock
2873:Buy and hold
2782:(Cap-to-GDP)
2622:Floor trader
2612:Market maker
2595:Floor broker
2583:Participants
2526:Golden share
2521:Common stock
2497:Third market
2372:
2365:
2327:
2311:
2302:
2296:
2272:
2263:
2254:
2243:. Retrieved
2239:
2230:
2223:Businessweek
2221:
2200:
2188:
2176:. Retrieved
2171:
2162:
2133:
2087:
2083:
2073:
2061:. Retrieved
2057:
2047:
2035:. Retrieved
2023:
2013:
2001:. Retrieved
1992:
1982:
1973:
1967:
1948:
1944:
1934:
1925:
1921:
1912:Henry McKean
1907:
1898:
1894:
1888:
1868:
1841:. Retrieved
1837:
1802:(1): 77–91.
1799:
1793:
1787:
1759:
1750:
1741:
1729:
1654:
1639:
1601:
1573:
1554:
1531:
1517:
1514:Stephen Ross
1495:
1492:Robert Engle
1484:
1478:
1464:
1457:Stephen Ross
1442:
1428:
1425:Phelim Boyle
1414:
1400:
1392:
1372:
1362:
1348:
1334:
1331:John Lintner
1320:
1302:
1288:
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1087:such as the
1078:
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1030:Data science
999:
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810:
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697:"Historical"
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496:
492:
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457:
448:
433:Please help
421:
341:risk neutral
330:
325:
306:asset-backed
298:real options
282:fixed income
266:
226:
189:Edward Thorp
182:
178:ItĂ´ calculus
160:
134:'s doctoral
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19:
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3204:Uptick rule
3184:Stock split
3164:Squeeze-out
3159:Speculation
3104:Open outcry
2993:Block trade
2925:Pairs trade
2090:(3): 1956.
1928:(2): 32–39.
1901:(2): 13–32.
1838:barrons.com
1629:RiskMetrics
1626:J.P. Morgan
1547:David Heath
1506:John C. Cox
1419:Black model
1355:Eugene Fama
1202:backtesting
1179:development
1022:Mathematica
995:PhD degrees
987:engineering
817:probability
709:stress test
653:analysis.
651:time series
637:, gambling
635:game theory
511:structurers
231:introduced
152:random walk
3234:Categories
3209:Volatility
3189:Stock swap
3109:Order book
2860:strategies
2786:Book value
2654:Arbitrager
2649:Speculator
2381:023027417X
2362:an excerpt
2329:The Quants
2245:2019-02-02
1916:Kiyosi ItĂ´
1843:2021-06-06
1723:References
1588:Alan White
1285:John Kelly
1264:Kiyosi ItĂ´
991:on the job
959:See also:
934:Techniques
813:statistics
762:model risk
750:model risk
735:Innovation
725:desk level
719:analysis,
531:See also:
357:1987 crash
355:since the
331:After the
310:government
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2825:Fed model
2820:EV/EBITDA
2735:Dark pool
2666:Regulator
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2477:Types of
2358:Fresh Air
2106:2076-3417
2032:1059-1028
1872:. Crown.
1584:John Hull
1081:actuarial
955:Education
903:Bisection
600:, though
507:Basel III
451:June 2010
422:does not
314:corporate
227:In 1965,
201:blackjack
75:sell side
68:reversion
3154:Slippage
3114:Position
3099:Momentum
3003:Dividend
2682:Exchange
2639:Investor
2326:(2010).
2154:(2007).
2128:(2004).
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1661:See also
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2479:markets
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2295:(1992)
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1624:1994 –
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509:; and
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443:removed
428:sources
274:Vasicek
183:Modern
140:options
109:History
32:finance
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1024:, and
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971:, and
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2938:(RMH)
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2890:(EMH)
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2806:(DDM)
2800:(CML)
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