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The LiveJournal of Quantitative Analysis

Quantitative Analysis Community
Posting Access:
Anybody , Moderated
A forum for discussion of issues relating to quantitative analysis in finance. By this I mean the application of stochastic calculus and pdes to solving option pricing problems. The references below will give some flavour for the interests of the community.

An overview of what being a quant is about
Derman, E (2004), My Life as a Quant : Reflections on Physics and Finance

Good introductory technical references for quants:
Hull, J.C. (2002), Options, Futures, and Other Derivatives.
Baxter, M. and Rennie, A. (1996), Financial Calculus : An Introduction to Derivative Pricing.
Wilmott, P, Howison, S and Dewynne, J. (1995), The Mathematics of Financial Derivatives : A Student Introduction.
Musiela, M. and Rutkowski, M. (1997), Martingale Methods in Financial Modelling.
Oksendal, B. (2003), Stochastic Differential Equations: An Introduction With Applications.
Karatzas, I. and Shreve, S.E. (1997), Brownian Motion and Stochastic Calculus.
arbitrage, bachelier, binomial trees, black scholes, black-scholes, calibration, characteristic functions, commodity derivatives, credit derivatives, currency derivatives, delta, derivatives, equity derivatives, finance, financial analysis, financial mathematics, fx derivatives, gamma, greeks, implied volatility, interest rate derivatives, interest rate models, ito's lemma, jump-diffusion, local volatility, martingales, mathematical finance, monte carlo methods, option pricing, option pricing theory, parabolic partial differential equations, partial differential equations, partial integro-differential equations, pdes, physics, physics in finance, probability, reward, risk, risk-neutral pricing, stochastic calculus, stochastic volatility, vega, volatility smile, yield curve modelling