A brief history of quantitative finance

DOI10.1186/S41546-017-0018-3MaRDI QIDQ2296095zbMATH OpenOpenAlexWikidataFDO

Authors Mauro Cesa

Publication date 17 February 2020

Published in Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1186/s41546-017-0018-3

zbMATH Keywords

historyquantitative finance

Mathematics Subject Classification ID

History of mathematics in the 20th century (01A60) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Recommendations

• Mathematics and finance
• Modern Problems of Financial Mathematics
• Complexity in quantitative finance and economics
• Mathematical Finance: A Very Short Introduction
• The use, misuse and abuse of mathematics in finance

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Generalized autoregressive conditional heteroscedasticity
• Modern LIBOR market models: using different curves for projecting rates and for discounting
• The pricing of options and corporate liabilities

Cited in

(2)

• An Italian perspective on the development of financial mathematics from 1992 to 2008
• 15 years of Adjoint Algorithmic Differentiation (AAD) in finance

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