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The document outlines key areas of work in finance, including trading strategy development, portfolio management, risk management, and asset pricing. It also lists seminal publications that have significantly contributed to financial theory and practice from 1900 to 1985, highlighting influential works such as the Black-Scholes model and modern portfolio theory. These publications have shaped various aspects of finance, including derivatives pricing, risk assessment, and investment strategies.

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8 views2 pages

Quantreferences

The document outlines key areas of work in finance, including trading strategy development, portfolio management, risk management, and asset pricing. It also lists seminal publications that have significantly contributed to financial theory and practice from 1900 to 1985, highlighting influential works such as the Black-Scholes model and modern portfolio theory. These publications have shaped various aspects of finance, including derivatives pricing, risk assessment, and investment strategies.

Uploaded by

derkuzesta
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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Areas of work

[edit]

Trading strategy development


Portfolio management and Portfolio optimization
Derivatives pricing and hedging: involves software development, advanced numerical
techniques, and stochastic calculus.
Risk management: involves a lot of time series analysis, calibration, and backtesting.
Credit analysis
Asset and liability management
Structured finance and securitization
Asset pricing

Seminal publications
[edit]

1900 – Louis Bachelier, Théorie de la spéculation


1938 – Frederick Macaulay, The Movements of Interest Rates. Bond Yields and Stock
Prices in the United States since 1856, pp. 44–53, Bond duration
1944 – Kiyosi Itô, "Stochastic Integral", Proceedings of the Imperial Academy, 20(8), pp.
519–524
1952 – Harry Markowitz, Portfolio Selection, Modern portfolio theory
1956 – John Kelly, A New Interpretation of Information Rate
1958 – Franco Modigliani and Merton Miller, The Cost of Capital, Corporation Finance
and the Theory of Investment, Modigliani–Miller theorem and Corporate finance
1964 – William F. Sharpe, Capital asset prices: A theory of market equilibrium under
conditions of risk, Capital asset pricing model
1965 – John Lintner, The Valuation of Risk Assets and the Selection of Risky Investments
in Stock Portfolios and Capital Budgets, Capital asset pricing model
1967 – Edward O. Thorp and Sheen Kassouf, Beat the Market
1972 – Eugene Fama and Merton Miller, Theory of Finance
1972 – Martin L. Leibowitz and Sydney Homer, Inside the Yield Book, Fixed income
analysis
1973 – Fischer Black and Myron Scholes, The Pricing of Options and Corporate Liabilities
and Robert C. Merton, Theory of Rational Option Pricing, Black–Scholes
1976 – Fischer Black, The pricing of commodity contracts, Black model
1977 – Phelim Boyle, Options: A Monte Carlo Approach, Monte Carlo methods for option
pricing
1977 – Oldřich Vašíček, An equilibrium characterisation of the term structure, Vasicek
model
1979 – John Carrington Cox; Stephen Ross; Mark Rubinstein, Option pricing: A simplified
approach, Binomial options pricing model and Lattice model
1980 – Lawrence G. McMillan, Options as a Strategic Investment
1982 – Barr Rosenberg and Andrew Rudd, Factor-Related and Specific Returns of
Common Stocks: Serial Correlation and Market Inefficiency, Journal of Finance, May
1982 V. 37: #2
1982 – Robert Engle, Autoregressive Conditional Heteroskedasticity With Estimates of
the Variance of U.K. Inflation, Seminal paper in ARCH family of models GARCH
1985 – John C. Cox, Jonathan E. Ingersoll and Stephen Ross, A theory of the term
structure of interest rates, Cox–Ingersoll–Ross model

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