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134 relations: Actuarial science, Alan White (economist), Algorithmic trading, Applied mathematics, Asset and liability management, Asset pricing, Autoregressive conditional heteroskedasticity, Backtesting, Binomial options pricing model, Bisection method, Black model, Black–Derman–Toy model, Black–Litterman model, Black–Scholes model, Bond duration, Buy side, C (programming language), C++, Calculus, Capital asset pricing model, Certificate in Quantitative Finance, Computational finance, Computational statistics, Corporate finance, Cox–Ingersoll–Ross model, Credit analysis, Data science, Derivative (finance), Discrete mathematics, Discrete time and continuous time, Econometrics, Economic capital, Edward O. Thorp, Emanuel Derman, Eugene Fama, Financial analysis, Financial engineering, Financial modeling, Financial reinsurance, Finite difference method, Fischer Black, Fixed income analysis, Franco Modigliani, Frederick Macaulay, Fresh Air, Game theory, Harry Markowitz, Henry McKean, Hull–White model, Internal rate of return, ..., Investment management, Itô calculus, J. P. Morgan, Java (programming language), John C. Hull, John Carrington Cox, John Larry Kelly Jr., John Lintner, Jonathan E. Ingersoll, Kelly criterion, Kiyosi Itô, Latency (engineering), Lattice model (finance), Law of one price, Linear algebra, List of quantitative analysts, Louis Bachelier, Machine learning, Mark Rubinstein, Market microstructure, Martin L. Leibowitz, Master of Advanced Studies, Master of Financial Economics, Master of Quantitative Finance, Mathematical finance, MATLAB, Maxima and minima, Merton Miller, Modern portfolio theory, Modigliani–Miller theorem, Monte Carlo method, Monte Carlo methods for option pricing, Myron Scholes, Newton's method, Nobel Memorial Prize in Economic Sciences, Normal distribution, Numerical analysis, Oldřich Vašíček, Operations research, Option (finance), Option style, Ordinary least squares, Partial differential equation, Paul Samuelson, Peter L. Bernstein, Phelim Boyle, Portfolio manager, Portfolio optimization, Probability, Python (programming language), R (programming language), Regression analysis, Risk management, RiskMetrics, Robert C. Merton, Robert F. Engle, Robert Whaley, SABR volatility model, Scott Patterson (author), Secant method, Securitization, Sell side, Signal processing, Society for Industrial and Applied Mathematics, Spline interpolation, Statistical arbitrage, Statistics, Stephen Ross (economist), Steven E. Shreve, Stochastic calculus, Stress test (financial), Structured finance, The Journal of Finance, The Quants, Thesis, Time series, Trading strategy, Value at risk, Vasicek model, Volatility smile, William F. Sharpe, Wolfram Mathematica, Yield curve, Zero of a function. Expand index (84 more) »
Actuarial science
Actuarial science is the discipline that applies mathematical and statistical methods to assess risk in insurance, finance and other industries and professions.
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Alan White (economist)
Alan D. White is a University of Toronto finance professor, a specialist in financial engineering, best known for the Hull-White Interest Rate Model and associated numerical procedures, authored with John Hull.
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Algorithmic trading
Algorithmic trading is a method of executing a large order (too large to fill all at once) using automated pre-programmed trading instructions accounting for variables such as time, price, and volume to send small slices of the order (child orders) out to the market over time.
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Applied mathematics
Applied mathematics is the application of mathematical methods by different fields such as science, engineering, business, computer science, and industry.
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Asset and liability management
Initially pioneered by financial institutions during the 1970s as interest rates became increasingly volatile, asset and liability management (often abbreviated ALM) is the practice of managing risks that arise due to mismatches between the assets and liabilities.
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Asset pricing
In financial economics, asset pricing refers to a formal treatment and development of two main pricing principles, outlined below.
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Autoregressive conditional heteroskedasticity
In econometrics, the autoregressive conditional heteroskedasticity (ARCH) model is a statistical model for time series data that describes the variance of the current error term or innovation as a function of the actual sizes of the previous time periods' error terms; often the variance is related to the squares of the previous innovations.
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Backtesting
Backtesting is a term used in modeling to refer to testing a predictive model on historical data.
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Binomial options pricing model
In finance, the binomial options pricing model (BOPM) provides a generalizable numerical method for the valuation of options.
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Bisection method
The bisection method in mathematics is a root-finding method that repeatedly bisects an interval and then selects a subinterval in which a root must lie for further processing.
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Black model
The Black model (sometimes known as the Black-76 model) is a variant of the Black–Scholes option pricing model.
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Black–Derman–Toy model
In mathematical finance, the Black–Derman–Toy model (BDT) is a popular short rate model used in the pricing of bond options, swaptions and other interest rate derivatives; see Lattice model (finance) #Interest rate derivatives.
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Black–Litterman model
In finance, the Black–Litterman model is a mathematical model for portfolio allocation developed in 1990 at Goldman Sachs by Fischer Black and Robert Litterman, and published in 1992.
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Black–Scholes model
The Black–Scholes or Black–Scholes–Merton model is a mathematical model for the dynamics of a financial market containing derivative investment instruments.
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Bond duration
In finance, the duration of a financial asset that consists of fixed cash flows, for example a bond, is the weighted average of the times until those fixed cash flows are received.
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Buy side
Buy-side is a term used in investment firms to refer to advising institutions concerned with buying investment services.
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C (programming language)
C (as in the letter ''c'') is a general-purpose, imperative computer programming language, supporting structured programming, lexical variable scope and recursion, while a static type system prevents many unintended operations.
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C++
C++ ("see plus plus") is a general-purpose programming language.
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Calculus
Calculus (from Latin calculus, literally 'small pebble', used for counting and calculations, as on an abacus), is the mathematical study of continuous change, in the same way that geometry is the study of shape and algebra is the study of generalizations of arithmetic operations.
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Capital asset pricing model
In finance, the capital asset pricing model (CAPM) is a model used to determine a theoretically appropriate required rate of return of an asset, to make decisions about adding assets to a well-diversified portfolio.
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Certificate in Quantitative Finance
The Certificate in Quantitative Finance (CQF) is a Financial Engineering program and a finance designation offered by the CQF Institute.
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Computational finance
Computational finance is a branch of applied computer science that deals with problems of practical interest in finance.
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Computational statistics
Computational statistics, or statistical computing, is the interface between statistics and computer science.
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Corporate finance
Corporate finance is the area of finance dealing with the sources of funding and the capital structure of corporations, the actions that managers take to increase the value of the firm to the shareholders, and the tools and analysis used to allocate financial resources.
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Cox–Ingersoll–Ross model
In mathematical finance, the Cox–Ingersoll–Ross model (or CIR model) describes the evolution of interest rates.
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Credit analysis
Credit analysis is the method by which one calculates the creditworthiness of a business or organization.
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Data science
Data science is an interdisciplinary field that uses scientific methods, processes, algorithms and systems to extract knowledge and insights from data in various forms, both structured and unstructured, similar to data mining.
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Derivative (finance)
In finance, a derivative is a contract that derives its value from the performance of an underlying entity.
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Discrete mathematics
Discrete mathematics is the study of mathematical structures that are fundamentally discrete rather than continuous.
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Discrete time and continuous time
In mathematics and in particular mathematical dynamics, discrete time and continuous time are two alternative frameworks within which to model variables that evolve over time.
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Econometrics
Econometrics is the application of statistical methods to economic data and is described as the branch of economics that aims to give empirical content to economic relations.
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Economic capital
In finance, mainly for financial services firms, economic capital is the amount of risk capital, assessed on a realistic basis, which a firm requires to cover the risks that it is running or collecting as a going concern, such as market risk, credit risk, legal risk, and operational risk.
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Edward O. Thorp
Edward Oakley Thorp (born August 14, 1932) is an American mathematics professor, author, hedge fund manager, and blackjack player.
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Emanuel Derman
Emanuel Derman (born 1945) is a South African-born academic, businessman and writer.
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Eugene Fama
Eugene Francis "Gene" Fama (born February 14, 1939) is an American economist, best known for his empirical work on portfolio theory, asset pricing and the ‘Efficient Market hypothesis’.
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Financial analysis
Financial analysis (also referred to as financial statement analysis or accounting analysis or Analysis of finance) refers to an assessment of the viability, stability and profitability of a business, sub-business or project.
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Financial engineering
Financial engineering is a multidisciplinary field involving financial theory, methods of engineering, tools of mathematics and the practice of programming.
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Financial modeling
Financial modeling is the task of building an abstract representation (a model) of a real world financial situation.
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Financial reinsurance
Financial Reinsurance (or fin re), is a form of reinsurance which is focused more on capital management than on risk transfer.
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Finite difference method
In mathematics, finite-difference methods (FDM) are numerical methods for solving differential equations by approximating them with difference equations, in which finite differences approximate the derivatives.
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Fischer Black
Fischer Sheffey Black (January 11, 1938 – August 30, 1995) was an American economist, best known as one of the authors of the famous Black–Scholes equation.
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Fixed income analysis
Fixed income analysis is the valuation of fixed income or debt securities, and the analysis of their interest rate risk, credit risk, and likely price behavior in hedging portfolios.
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Franco Modigliani
Franco Modigliani (June 18, 1918 – September 25, 2003) was an Italian-American economist and the recipient of the 1985 Nobel Memorial Prize in Economics.
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Frederick Macaulay
Frederick Robertson Macaulay (August 12, 1882 – March 1970) was a Canadian economist of the Institutionalist School.
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Fresh Air
Fresh Air is an American radio talk show broadcast on National Public Radio stations across the United States since 1985.
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Game theory
Game theory is "the study of mathematical models of conflict and cooperation between intelligent rational decision-makers".
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Harry Markowitz
Harry Max Markowitz (born August 24, 1927) is an American economist, and a recipient of the 1989 John von Neumann Theory Prize and the 1990 Nobel Memorial Prize in Economic Sciences.
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Henry McKean
Henry P. McKean, Jr. (born 1930 in Wenham, Massachusetts) is an American mathematician at New York University.
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Hull–White model
In financial mathematics, the Hull–White model is a model of future interest rates.
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Internal rate of return
The internal rate of return (IRR) is a method of calculating rate of return.
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Investment management
Investment management is the professional asset management of various securities (shares, bonds and other securities) and other assets (e.g., real estate) in order to meet specified investment goals for the benefit of the investors.
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Itô calculus
Itô calculus, named after Kiyoshi Itô, extends the methods of calculus to stochastic processes such as Brownian motion (see Wiener process).
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J. P. Morgan
John Pierpont Morgan Sr. (April 17, 1837 – March 31, 1913) was an American financier and banker who dominated corporate finance and industrial consolidation in the United States of America in the late 19th and early 20th centuries.
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Java (programming language)
Java is a general-purpose computer-programming language that is concurrent, class-based, object-oriented, and specifically designed to have as few implementation dependencies as possible.
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John C. Hull
John C. Hull (born March 5, 1946) is a Professor of Derivatives and Risk Management at the Rotman School of Management at the University of Toronto.
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John Carrington Cox
John Carrington Cox is the Nomura Professor of Finance at the MIT Sloan School of Management.
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John Larry Kelly Jr.
John Larry Kelly Jr. (1923–1965), was a scientist who worked at Bell Labs.
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John Lintner
John Virgil Lintner, Jr. (February 9, 1916 – June 8, 1983) was a professor at the Harvard Business School in the 1960s and one of the co-creators (1965a,b) of the capital asset pricing model.
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Jonathan E. Ingersoll
Jonathan Edwards "Jon" Ingersoll, Jr. is an American economist.
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Kelly criterion
In probability theory and intertemporal portfolio choice, the Kelly criterion, Kelly strategy, Kelly formula, or Kelly bet is a formula used to determine the optimal size of a series of bets in order to maximise the logarithm of wealth.
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Kiyosi Itô
was a Japanese mathematician.
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Latency (engineering)
Latency is a time interval between the stimulation and response, or, from a more general point of view, a time delay between the cause and the effect of some physical change in the system being observed.
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Lattice model (finance)
In finance, a lattice model is a technique applied to the valuation of derivatives, where a discrete time model is required.
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Law of one price
"The law of one price (LOOP) states that in the absence of trade frictions (such as transport costs and tariffs), and under conditions of free competition and price flexibility (where no individual sellers or buyers have power to manipulate prices and prices can freely adjust), identical goods sold in different locations must sell for the same price when prices are expressed in a common currency.
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Linear algebra
Linear algebra is the branch of mathematics concerning linear equations such as linear functions such as and their representations through matrices and vector spaces.
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List of quantitative analysts
This is a list of notable quantitative analysts (by surname); see also List of financial economists.
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Louis Bachelier
Louis Jean-Baptiste Alphonse Bachelier (March 11, 1870 – April 28, 1946) was a French mathematician at the turn of the 20th century.
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Machine learning
Machine learning is a subset of artificial intelligence in the field of computer science that often uses statistical techniques to give computers the ability to "learn" (i.e., progressively improve performance on a specific task) with data, without being explicitly programmed.
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Mark Rubinstein
Mark Edward Rubinstein is a leading financial economist and financial engineer.
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Market microstructure
Market microstructure is a branch of finance concerned with the details of how exchange occurs in markets.
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Martin L. Leibowitz
Martin L. Leibowitz is a financial researcher, business leader, and a managing director of Morgan Stanley.
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Master of Advanced Studies
A Master of Advanced Studies or Master of Advanced Study (MAS, M.A.S., or MASt) is a postgraduate degree awarded in various countries.
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Master of Financial Economics
A master's degree in Financial Economics provides a rigorous understanding of theoretical finance and the economic framework upon which that theory is based.
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Master of Quantitative Finance
A masters degree in quantitative finance concerns the application of mathematical methods to the solution of problems in financial economics.
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Mathematical finance
Mathematical finance, also known as quantitative finance, is a field of applied mathematics, concerned with mathematical modeling of financial markets.
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MATLAB
MATLAB (matrix laboratory) is a multi-paradigm numerical computing environment and proprietary programming language developed by MathWorks.
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Maxima and minima
In mathematical analysis, the maxima and minima (the respective plurals of maximum and minimum) of a function, known collectively as extrema (the plural of extremum), are the largest and smallest value of the function, either within a given range (the local or relative extrema) or on the entire domain of a function (the global or absolute extrema).
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Merton Miller
Merton Howard Miller (May 16, 1923 – June 3, 2000) was an American economist, and the co-author of the Modigliani–Miller theorem (1958), which proposed the irrelevance of debt-equity structure.
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Modern portfolio theory
Modern portfolio theory (MPT), or mean-variance analysis, is a mathematical framework for assembling a portfolio of assets such that the expected return is maximized for a given level of risk.
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Modigliani–Miller theorem
The Modigliani–Miller theorem (of Franco Modigliani, Merton Miller) is an influential element of economic theory; it forms the basis for modern thinking on capital structure.
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Monte Carlo method
Monte Carlo methods (or Monte Carlo experiments) are a broad class of computational algorithms that rely on repeated random sampling to obtain numerical results.
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Monte Carlo methods for option pricing
In mathematical finance, a Monte Carlo option model uses Monte Carlo methods Although the term 'Monte Carlo method' was coined by Stanislaw Ulam in the 1940s, some trace such methods to the 18th century French naturalist Buffon, and a question he asked about the results of dropping a needle randomly on a striped floor or table.
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Myron Scholes
Myron Samuel Scholes (born July 1, 1941) is a Canadian-American financial economist.
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Newton's method
In numerical analysis, Newton's method (also known as the Newton–Raphson method), named after Isaac Newton and Joseph Raphson, is a method for finding successively better approximations to the roots (or zeroes) of a real-valued function.
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Nobel Memorial Prize in Economic Sciences
The Nobel Memorial Prize in Economic Sciences (officially Sveriges riksbanks pris i ekonomisk vetenskap till Alfred Nobels minne, or the Swedish National Bank's Prize in Economic Sciences in Memory of Alfred Nobel), commonly referred to as the Nobel Prize in Economics, is an award for outstanding contributions to the field of economics, and generally regarded as the most prestigious award for that field.
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Normal distribution
In probability theory, the normal (or Gaussian or Gauss or Laplace–Gauss) distribution is a very common continuous probability distribution.
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Numerical analysis
Numerical analysis is the study of algorithms that use numerical approximation (as opposed to general symbolic manipulations) for the problems of mathematical analysis (as distinguished from discrete mathematics).
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Oldřich Vašíček
Oldřich Alfons Vašíček (born 1942) is a Czech mathematician and quantitative analyst, best known for his pioneering work on interest rate modelling.
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Operations research
Operations research, or operational research in British usage, is a discipline that deals with the application of advanced analytical methods to help make better decisions.
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Option (finance)
In finance, an option is a contract which gives the buyer (the owner or holder of the option) the right, but not the obligation, to buy or sell an underlying asset or instrument at a specified strike price on a specified date, depending on the form of the option.
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Option style
In finance, the style or family of an option is the class into which the option falls, usually defined by the dates on which the option may be exercised.
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Ordinary least squares
In statistics, ordinary least squares (OLS) or linear least squares is a method for estimating the unknown parameters in a linear regression model.
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Partial differential equation
In mathematics, a partial differential equation (PDE) is a differential equation that contains unknown multivariable functions and their partial derivatives.
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Paul Samuelson
Paul Anthony Samuelson (15 May 1915 – 13 December 2009) was an American economist and the first American to win the Nobel Memorial Prize in Economic Sciences.
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Peter L. Bernstein
Peter Lewyn Bernstein (January 22, 1919 – June 5, 2009) was an American financial historian, economist and educator whose development and refinement of the efficient-market hypothesis made him one of the country's best known authorities in popularizing and presenting investment economics to the general public.
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Phelim Boyle
Phelim P. Boyle (born 1941), is an Irish economist and distinguished professor and actuary, and a pioneer of quantitative finance.
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Portfolio manager
A Portfolio Manager is a professional who is responsible for making investment decisions and carrying out investment activities on behalf of individuals or institutions.
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Portfolio optimization
Portfolio optimization is the process of selecting the best portfolio (asset distribution), out of the set of all portfolios being considered, according to some objective.
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Probability
Probability is the measure of the likelihood that an event will occur.
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Python (programming language)
Python is an interpreted high-level programming language for general-purpose programming.
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R (programming language)
R is a programming language and free software environment for statistical computing and graphics that is supported by the R Foundation for Statistical Computing.
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Regression analysis
In statistical modeling, regression analysis is a set of statistical processes for estimating the relationships among variables.
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Risk management
Risk management is the identification, evaluation, and prioritization of risks (defined in ISO 31000 as the effect of uncertainty on objectives) followed by coordinator and economical application of resources to minimize, monitor, and control the probability or impact of unfortunate events or to maximize the realization of opportunities.
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RiskMetrics
The RiskMetrics variance model (also known as exponential smoother) was first established in 1989, when Sir Dennis Weatherstone, the new chairman of J.P. Morgan, asked for a daily report measuring and explaining the risks of his firm.
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Robert C. Merton
Robert Cox Merton (born July 31, 1944) is an American economist, Nobel Memorial Prize in Economic Sciences laureate, and professor at the MIT Sloan School of Management, known for his pioneering contributions to continuous-time finance, especially the first continuous-time option pricing model, the Black–Scholes formula.
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Robert F. Engle
Robert Fry Engle III (born November 10, 1942) is an American economist and the winner of the 2003 Nobel Memorial Prize in Economic Sciences, sharing the award with Clive Granger, "for methods of analyzing economic time series with time-varying volatility (ARCH)".
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Robert Whaley
Robert Antawon Whaley (born April 16, 1982) is an American former professional basketball player.
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SABR volatility model
In mathematical finance, the SABR model is a stochastic volatility model, which attempts to capture the volatility smile in derivatives markets.
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Scott Patterson (author)
Scott Patterson is an American financial journalist and bestselling author.
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Secant method
In numerical analysis, the secant method is a root-finding algorithm that uses a succession of roots of secant lines to better approximate a root of a function f. The secant method can be thought of as a finite-difference approximation of Newton's method.
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Securitization
Securitization is the financial practice of pooling various types of contractual debt such as residential mortgages, commercial mortgages, auto loans or credit card debt obligations (or other non-debt assets which generate receivables) and selling their related cash flows to third party investors as securities, which may be described as bonds, pass-through securities, or collateralized debt obligations (CDOs).
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Sell side
Sell side is a term used in the financial services industry.
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Signal processing
Signal processing concerns the analysis, synthesis, and modification of signals, which are broadly defined as functions conveying "information about the behavior or attributes of some phenomenon", such as sound, images, and biological measurements.
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Society for Industrial and Applied Mathematics
The Society for Industrial and Applied Mathematics (SIAM) is an academic association dedicated to the use of mathematics in industry.
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Spline interpolation
In the mathematical field of numerical analysis, Spline interpolation is a form of interpolation where the interpolant is a special type of piecewise polynomial called a spline.
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Statistical arbitrage
In finance, statistical arbitrage (often abbreviated as Stat Arb or StatArb) is a class of short-term financial trading strategies that employ mean reversion models involving broadly diversified portfolios of securities (hundreds to thousands) held for short periods of time (generally seconds to days).
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Statistics
Statistics is a branch of mathematics dealing with the collection, analysis, interpretation, presentation, and organization of data.
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Stephen Ross (economist)
Stephen Alan "Steve" Ross (February 3, 1944 – March 3, 2017) was the inaugural Franco Modigliani Professor of Financial Economics at the MIT Sloan School of Management after a long career as the Sterling Professor of Economics and Finance at the Yale School of Management.
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Steven E. Shreve
Steven Eugene Shreve is a mathematician and currently the Orion Hoch Professor of Mathematical Sciences at Carnegie Mellon University and the author of several major books on the mathematics of financial derivatives.
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Stochastic calculus
Stochastic calculus is a branch of mathematics that operates on stochastic processes.
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Stress test (financial)
A stress test, in financial terminology, is an analysis or simulation designed to determine the ability of a given financial instrument or financial institution to deal with an economic crisis.
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Structured finance
Structured finance is a sector of finance, specifically Financial law that manages leverage and risk.
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The Journal of Finance
The Journal of Finance is a peer-reviewed academic journal published by Wiley-Blackwell on behalf of the American Finance Association.
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The Quants
The Quants is the debut New York Times best selling book by Wall Street journalist Scott Patterson.
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Thesis
A thesis or dissertation is a document submitted in support of candidature for an academic degree or professional qualification presenting the author's research and findings.
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Time series
A time series is a series of data points indexed (or listed or graphed) in time order.
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Trading strategy
In finance, a trading strategy is a fixed plan that is designed to achieve a profitable return by going long or short in markets.
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Value at risk
Value at risk (VaR) is a measure of the risk of loss for investments.
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Vasicek model
In finance, the Vasicek model is a mathematical model describing the evolution of interest rates.
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Volatility smile
Volatility smiles are implied volatility patterns that arise in pricing financial options.
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William F. Sharpe
William Forsyth Sharpe (born June 16, 1934) is an American economist.
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Wolfram Mathematica
Wolfram Mathematica (usually termed Mathematica) is a modern technical computing system spanning most areas of technical computing — including neural networks, machine learning, image processing, geometry, data science, visualizations, and others.
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Yield curve
In finance, the yield curve is a curve showing several yields or interest rates across different contract lengths (2 month, 2 year, 20 year, etc....) for a similar debt contract.
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Zero of a function
In mathematics, a zero, also sometimes called a root, of a real-, complex- or generally vector-valued function f is a member x of the domain of f such that f(x) vanishes at x; that is, x is a solution of the equation f(x).
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Quant (business jargon), Quant (maths), Quant developer, Quantitative analytics, Quantitative developer.
References
[1] https://en.wikipedia.org/wiki/Quantitative_analyst
