SERVING THE QUANTITATIVE FINANCE COMMUNITY

 
galvinator
Topic Author
Posts: 10
Joined: August 8th, 2018, 9:10 am
Location: Singapore

Recommendation on Quantitative Finance Research Papers for Undergraduates

September 14th, 2018, 11:51 am

Hi, 

My name is Galvin and I am a university Freshman. 

As part of my university's curriculum, I have been tasked to prepare a popular science article on a mathematics research paper. The target audience of the popular science article is the general public. I would like to write a science article based on a topic from Quantitative Finance/ Mathematical Finance. 

However, I am unable to understand many of the research articles found on arXiv.org. As such, may I kindly ask the Wilmott community for recommendations on any Quantitative Finance or Mathematical Finance research papers that can be understood by undergraduates? Any research papers on similar topics that are "undergraduate friendly" would also be appreciated. 

I have a basic understanding of undergraduate calculus, linear algebra and real analysis.

Thank you for your attention.

Yours sincerely,
Galvin 
Last edited by galvinator on September 15th, 2018, 5:25 pm, edited 1 time in total.
 
User avatar
ppauper
Posts: 69078
Joined: November 15th, 2001, 1:29 pm

Re: Recommendation on Quantitative Finance Research Papers for Undergraduates

September 14th, 2018, 1:24 pm

have you done ODE and/or PDE?
what about the original Black Scholes paper?
1973
 
User avatar
Cuchulainn
Posts: 57050
Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
Contact:

Re: Recommendation on Quantitative Finance Research Papers for Undergraduates

September 14th, 2018, 3:12 pm

In addition to ppauper's suggestion you could complement using PDE (article for the benefit of pure mathematicians).

https://www.maths.tcd.ie/pub/ims/bull75/Duffy.pdf

If you have time you could try Monte Carlo. Here's the original MC article by Phelim Boyle.

https://www.sciencedirect.com/science/a ... via%3Dihub

3 solutions
 
User avatar
bearish
Posts: 3784
Joined: February 3rd, 2011, 2:19 pm

Re: Recommendation on Quantitative Finance Research Papers for Undergraduates

September 14th, 2018, 10:49 pm

You guys are going overboard. I'd suggest Modigliani-Miller's paper on the irrelevance of dividend policy for stock valuation. It's a classic with remaining relevance, authored by two Nobel prize winners, and while not conceptually easy, only relies on math that is manageable by a college freshman (in September). The problem with Black-Scholes is that it combines significantly harder math with very sophisticated finance reasoning. And, given that they didn't quite know what they were doing (the usual story of cutting edge research), it is not exactly a crisp and concise solution of the problem. From that point of view, Merton's contemporary paper is better, but far too much to swallow in one gulp.
 
User avatar
Cuchulainn
Posts: 57050
Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
Contact:

Re: Recommendation on Quantitative Finance Research Papers for Undergraduates

September 15th, 2018, 3:55 pm

A practical one might something from Collector's big book of options?

viewtopic.php?f=11&t=43761
 
galvinator
Topic Author
Posts: 10
Joined: August 8th, 2018, 9:10 am
Location: Singapore

Re: Recommendation on Quantitative Finance Research Papers for Undergraduates

September 15th, 2018, 5:15 pm

Ah, I forgot to add two more restrictions, 
  1. I am only in my first year of undergraduate studies so I am hoping for something more manageable...
  2. The paper has to be published from the year 2013 onwards, as well as peer-reviewed. 
Nonetheless, I am very grateful for the papers you have shared - I will look into them throughout the course of my studies. :) 

PS: I found Dividend Policy, Growth, and the Valuation of Shares by Author(s): Merton H. Miller and Franco Modigliani to be slightly easier on the mathematics. I'll give it a shot in my free time. 
 
User avatar
Cuchulainn
Posts: 57050
Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
Contact:

Re: Recommendation on Quantitative Finance Research Papers for Undergraduates

September 15th, 2018, 7:00 pm

How do you relate your intellectual baggage (junior fresh rooky,) to topics post 2015?

It is a very ambitious project.
 
User avatar
bearish
Posts: 3784
Joined: February 3rd, 2011, 2:19 pm

Re: Recommendation on Quantitative Finance Research Papers for Undergraduates

September 17th, 2018, 2:00 am

As far as math finance is concerned, it is not so much ambitious as just misguided. For the last decade or so I have been involved in the editorial process of a solid second tier math finance journal, and I can't really think of a single paper that we have published in that time that would be accessible to someone with just a basic understanding of calculus, linear algebra and real analysis. And that is far beyond the grasp of most college freshmen, although probably not counting the galvinator. 
 
galvinator
Topic Author
Posts: 10
Joined: August 8th, 2018, 9:10 am
Location: Singapore

Re: Recommendation on Quantitative Finance Research Papers for Undergraduates

September 17th, 2018, 3:26 pm

Hi all,

I do find it difficult, if not impossible, to grasp anything close to math finance as an undergraduate freshman.

@cuchuliann, I do not think I will be able to appreciate the paper by Daniel J. Duffy presently.  

With regards to my university paper, I suppose I will look at another topic, perhaps fair division...
 
Nevertheless, I thank ppauper, cuchuliann and bearish for contributing to this discussion.

Yours sincerely,
Galvin
 
User avatar
Cuchulainn
Posts: 57050
Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
Contact:

Re: Recommendation on Quantitative Finance Research Papers for Undergraduates

September 18th, 2018, 6:08 pm

BTW what's the compelling reason for this project in 1st year? I see it as a major distract from core subjects. It's like a white belt learning brown belt stuff.
 
User avatar
Cuchulainn
Posts: 57050
Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
Contact:

Re: Recommendation on Quantitative Finance Research Papers for Undergraduates

September 18th, 2018, 6:22 pm

 I have been tasked to prepare a popular science article on a mathematics research paper

What about the property crash of 2007?

viewtopic.php?f=3&t=42138&p=280534&hili ... ng#p280534

Of interest to the populace.
 
User avatar
bearish
Posts: 3784
Joined: February 3rd, 2011, 2:19 pm

Re: Recommendation on Quantitative Finance Research Papers for Undergraduates

September 19th, 2018, 11:59 am

 I have been tasked to prepare a popular science article on a mathematics research paper

What about the property crash of 2007?

viewtopic.php?f=3&t=42138&p=280534&hili ... ng#p280534

Of interest to the populace.
Just recall the constraints that it needs to relate to a research paper published in the last five years.
 
User avatar
Cuchulainn
Posts: 57050
Joined: July 16th, 2004, 7:38 am
Location: Amsterdam
Contact:

Re: Recommendation on Quantitative Finance Research Papers for Undergraduates

September 19th, 2018, 3:32 pm

 I have been tasked to prepare a popular science article on a mathematics research paper

What about the property crash of 2007?

viewtopic.php?f=3&t=42138&p=280534&hili ... ng#p280534

Of interest to the populace.
Just recall the constraints that it needs to relate to a research paper published in the last five years.
Jon Paulson?
 
User avatar
Alan
Posts: 9549
Joined: December 19th, 2001, 4:01 am
Location: California
Contact:

Re: Recommendation on Quantitative Finance Research Papers for Undergraduates

September 19th, 2018, 5:36 pm

Hi, 

My name is Galvin and I am a university Freshman. 

As part of my university's curriculum, I have been tasked to prepare a popular science article on a mathematics research paper. The target audience of the popular science article is the general public. I would like to write a science article based on a topic from Quantitative Finance/ Mathematical Finance. 
I think your best shot it to drop the Finance part. 

There are annual popularizations of what's been going on in Mathematics generally:

"The best writing on Mathematics in 19nn" (edited) by M. Pitici
"What's happening in the Mathematical Sciences", vol n, by D. Mackenzie.

To write or edit this kind of thing, you have to be a PhD mathematician and a good writer or a sense for it. However, your task can be to start with Pitici or Mackenzie, and then dumb it down even further. That should be doable. But you'll find very little finance in those sources -- although I do see an article 'Mathematics and the Financial Crisis' in Mackenzie vol 8, copyright 2011.
 
galvinator
Topic Author
Posts: 10
Joined: August 8th, 2018, 9:10 am
Location: Singapore

Re: Recommendation on Quantitative Finance Research Papers for Undergraduates

September 22nd, 2018, 3:21 pm

@cuchulainn

Well, I am presently taking a science communication module which requires me to put across the findings of a mathematics research paper in the form of a popular science article. I am not compelled to write about a mathematical finance popular science article but I wanted to write about it since I am interested in mathematical finance (I am also pursuing an undergraduate degree in mathematics and finance) 

But as you said, I would rather be spending the time to focus on the foundations of mathematical finance. 

@Alan, agreed, I have decided to drop the finance and I am currently writing on voting theory. I do hope it goes well. 

Thanks all 
ABOUT WILMOTT

PW by JB

Wilmott.com has been "Serving the Quantitative Finance Community" since 2001. Continued...


JOBS BOARD

JOBS BOARD

Looking for a quant job, risk, algo trading,...? Browse jobs here...


GZIP: On