├── Enhanced Numerical Methods For Options With Barriers.pdf ├── How To Value And Hedge Options On Foreign Indexes.pdf ├── Implied Trinomial Trees Of The Volatility Smile.pdf ├── Investing In Volatility.pdf ├── Model Risk.pdf ├── More Than You Ever Wanted To Know About Volatility Swaps.pdf ├── README.md ├── Regimes of Volatility Some Observations On The Variation Of S&P 500 Implied Volatilities.pdf ├── Static Options Replication.pdf ├── Stochastic Implied Trees_ Arbitrage Pricing With Stochastic Term Adn Strike Structure Of Volatility.pdf ├── Strike-Adjusted Spread_ A New Metric For Estimating The Value Of Equity Options.pdf ├── The Local Volatility Surface_ Unlocking The Information In Index Option Prices.pdf ├── The Volatility Smile And Its Implied Tree.pdf ├── Trading And Hedging Local Volatility.pdf ├── Valuing Convertible Bonds As Derivatives.pdf ├── Valuing Options On Periodically-Settled Stocks.pdf ├── When You Cannot Hedge Continuously_ The Corrections To Black-Scholes.pdf └── generate.sh /Enhanced Numerical Methods For Options With Barriers.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/colejhudson/goldman-sachs-quantitative-strategies-research-notes/d1ffe477afc444e8435d8c0cabd5b53d84cefb29/Enhanced Numerical Methods For Options With Barriers.pdf -------------------------------------------------------------------------------- /How To Value And Hedge Options On Foreign Indexes.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/colejhudson/goldman-sachs-quantitative-strategies-research-notes/d1ffe477afc444e8435d8c0cabd5b53d84cefb29/How To Value And Hedge Options On Foreign Indexes.pdf -------------------------------------------------------------------------------- /Implied Trinomial Trees Of The Volatility Smile.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/colejhudson/goldman-sachs-quantitative-strategies-research-notes/d1ffe477afc444e8435d8c0cabd5b53d84cefb29/Implied Trinomial Trees Of The Volatility Smile.pdf -------------------------------------------------------------------------------- /Investing In Volatility.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/colejhudson/goldman-sachs-quantitative-strategies-research-notes/d1ffe477afc444e8435d8c0cabd5b53d84cefb29/Investing In Volatility.pdf -------------------------------------------------------------------------------- /Model Risk.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/colejhudson/goldman-sachs-quantitative-strategies-research-notes/d1ffe477afc444e8435d8c0cabd5b53d84cefb29/Model Risk.pdf -------------------------------------------------------------------------------- /More Than You Ever Wanted To Know About Volatility Swaps.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/colejhudson/goldman-sachs-quantitative-strategies-research-notes/d1ffe477afc444e8435d8c0cabd5b53d84cefb29/More Than You Ever Wanted To Know About Volatility Swaps.pdf -------------------------------------------------------------------------------- /README.md: -------------------------------------------------------------------------------- 1 | Publications: 2 | - ![Enhanced Numerical Methods For Options With Barriers](https://github.com/colejhudson/goldman-sachs-quantitative-strategies-research-notes/raw/master/Enhanced%20Numerical%20Methods%20For%20Options%20With%20Barriers.pdf) 3 | - ![How To Value And Hedge Options On Foreign Indexes](https://github.com/colejhudson/goldman-sachs-quantitative-strategies-research-notes/raw/master/How%20To%20Value%20And%20Hedge%20Options%20On%20Foreign%20Indexes.pdf) 4 | - ![Implied Trinomial Trees Of The Volatility Smile](https://github.com/colejhudson/goldman-sachs-quantitative-strategies-research-notes/raw/master/Implied%20Trinomial%20Trees%20Of%20The%20Volatility%20Smile.pdf) 5 | - ![Investing In Volatility](https://github.com/colejhudson/goldman-sachs-quantitative-strategies-research-notes/raw/master/Investing%20In%20Volatility.pdf) 6 | - ![Model Risk](https://github.com/colejhudson/goldman-sachs-quantitative-strategies-research-notes/raw/master/Model%20Risk.pdf) 7 | - ![More Than You Ever Wanted To Know About Volatility Swaps](https://github.com/colejhudson/goldman-sachs-quantitative-strategies-research-notes/raw/master/More%20Than%20You%20Ever%20Wanted%20To%20Know%20About%20Volatility%20Swaps.pdf) 8 | - ![Regimes of Volatility Some Observations On The Variation Of S&P 500 Implied Volatilities](https://github.com/colejhudson/goldman-sachs-quantitative-strategies-research-notes/raw/master/Regimes%20of%20Volatility%20Some%20Observations%20On%20The%20Variation%20Of%20S&P%20500%20Implied%20Volatilities.pdf) 9 | - ![Static Options Replication](https://github.com/colejhudson/goldman-sachs-quantitative-strategies-research-notes/raw/master/Static%20Options%20Replication.pdf) 10 | - ![Stochastic Implied Trees: Arbitrage Pricing With Stochastic Term Adn Strike Structure Of Volatility](https://github.com/colejhudson/goldman-sachs-quantitative-strategies-research-notes/raw/master/Stochastic%20Implied%20Trees_%20Arbitrage%20Pricing%20With%20Stochastic%20Term%20Adn%20Strike%20Structure%20Of%20Volatility.pdf) 11 | - ![Strike-Adjusted Spread: A New Metric For Estimating The Value Of Equity Options](https://github.com/colejhudson/goldman-sachs-quantitative-strategies-research-notes/raw/master/Strike-Adjusted%20Spread_%20A%20New%20Metric%20For%20Estimating%20The%20Value%20Of%20Equity%20Options.pdf) 12 | - ![The Local Volatility Surface: Unlocking The Information In Index Option Prices](https://github.com/colejhudson/goldman-sachs-quantitative-strategies-research-notes/raw/master/The%20Local%20Volatility%20Surface_%20Unlocking%20The%20Information%20In%20Index%20Option%20Prices.pdf) 13 | - ![The Volatility Smile And Its Implied Tree](https://github.com/colejhudson/goldman-sachs-quantitative-strategies-research-notes/raw/master/The%20Volatility%20Smile%20And%20Its%20Implied%20Tree.pdf) 14 | - ![Trading And Hedging Local Volatility](https://github.com/colejhudson/goldman-sachs-quantitative-strategies-research-notes/raw/master/Trading%20And%20Hedging%20Local%20Volatility.pdf) 15 | - ![Valuing Convertible Bonds As Derivatives](https://github.com/colejhudson/goldman-sachs-quantitative-strategies-research-notes/raw/master/Valuing%20Convertible%20Bonds%20As%20Derivatives.pdf) 16 | - ![Valuing Options On Periodically-Settled Stocks](https://github.com/colejhudson/goldman-sachs-quantitative-strategies-research-notes/raw/master/Valuing%20Options%20On%20Periodically-Settled%20Stocks.pdf) 17 | - ![When You Cannot Hedge Continuously: The Corrections To Black-Scholes](https://github.com/colejhudson/goldman-sachs-quantitative-strategies-research-notes/raw/master/When%20You%20Cannot%20Hedge%20Continuously_%20The%20Corrections%20To%20Black-Scholes.pdf) 18 | -------------------------------------------------------------------------------- /Regimes of Volatility Some Observations On The Variation Of S&P 500 Implied Volatilities.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/colejhudson/goldman-sachs-quantitative-strategies-research-notes/d1ffe477afc444e8435d8c0cabd5b53d84cefb29/Regimes of Volatility Some Observations On The Variation Of S&P 500 Implied Volatilities.pdf -------------------------------------------------------------------------------- /Static Options Replication.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/colejhudson/goldman-sachs-quantitative-strategies-research-notes/d1ffe477afc444e8435d8c0cabd5b53d84cefb29/Static Options Replication.pdf -------------------------------------------------------------------------------- /Stochastic Implied Trees_ Arbitrage Pricing With Stochastic Term Adn Strike Structure Of Volatility.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/colejhudson/goldman-sachs-quantitative-strategies-research-notes/d1ffe477afc444e8435d8c0cabd5b53d84cefb29/Stochastic Implied Trees_ Arbitrage Pricing With Stochastic Term Adn Strike Structure Of Volatility.pdf -------------------------------------------------------------------------------- /Strike-Adjusted Spread_ A New Metric For Estimating The Value Of Equity Options.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/colejhudson/goldman-sachs-quantitative-strategies-research-notes/d1ffe477afc444e8435d8c0cabd5b53d84cefb29/Strike-Adjusted Spread_ A New Metric For Estimating The Value Of Equity Options.pdf -------------------------------------------------------------------------------- /The Local Volatility Surface_ Unlocking The Information In Index Option Prices.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/colejhudson/goldman-sachs-quantitative-strategies-research-notes/d1ffe477afc444e8435d8c0cabd5b53d84cefb29/The Local Volatility Surface_ Unlocking The Information In Index Option Prices.pdf -------------------------------------------------------------------------------- /The Volatility Smile And Its Implied Tree.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/colejhudson/goldman-sachs-quantitative-strategies-research-notes/d1ffe477afc444e8435d8c0cabd5b53d84cefb29/The Volatility Smile And Its Implied Tree.pdf -------------------------------------------------------------------------------- /Trading And Hedging Local Volatility.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/colejhudson/goldman-sachs-quantitative-strategies-research-notes/d1ffe477afc444e8435d8c0cabd5b53d84cefb29/Trading And Hedging Local Volatility.pdf -------------------------------------------------------------------------------- /Valuing Convertible Bonds As Derivatives.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/colejhudson/goldman-sachs-quantitative-strategies-research-notes/d1ffe477afc444e8435d8c0cabd5b53d84cefb29/Valuing Convertible Bonds As Derivatives.pdf -------------------------------------------------------------------------------- /Valuing Options On Periodically-Settled Stocks.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/colejhudson/goldman-sachs-quantitative-strategies-research-notes/d1ffe477afc444e8435d8c0cabd5b53d84cefb29/Valuing Options On Periodically-Settled Stocks.pdf -------------------------------------------------------------------------------- /When You Cannot Hedge Continuously_ The Corrections To Black-Scholes.pdf: 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