一些金融学术论文推荐

一些金融学术论文推荐

一下为一些经典金融理论中的关键内容,包括定价、行为金融、微观结构等。

  • Breeden and Litzenberger (1978) (Extracting of risk neutral density, foundation of local vol)
  • Engle and Granger (1987) (Cointegration, should apply to log prices and has nothing to do with correlation)
  • Mandelbrot (1963) (Fractal is such a power idea.)
  • Farmer’s papers on high frequency (He is like a profit discovering engine, most of the facts we know about high frequency data come from his work at Santa Fe Institute)
  • Noise Trader Risk in Financial Markets. J. Bradford De Long, Andrei Shleifer, Lawrence H. Summers, Robert J. Waldmann (1990)  (A classic model in behavioral finance)
  • Duffie’s dynamic asset pricing ( I wish someday I can understand everything in it)
  • Volatility Surface by Jim Gatheral (Best book on stochastic volatility models, very detailed derivation of formulas)
  • Effective STL by Scott Meyers ( Anything Scott published is worth spending time on)

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