├── 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 ├── Is the Volatility Skew Fair.pdf ├── Model Risk.pdf ├── More Than You Ever Wanted To Know About Volatility Swaps.pdf ├── Pay-On-Exercise Options.pdf ├── Predicting the Response of Implied Volatility to Large Index Moves.pdf ├── README.md ├── Regimes of Volatility.pdf ├── Static Options Replication.pdf ├── Stochastic Implied Trees.pdf ├── Strike-Adjusted Spread.pdf ├── The Local Volatility Surface.pdf ├── The Patterns of Change in Implied Index Volatilities.pdf ├── The Volatility Smile and Its Implied Tree.pdf ├── Trading and Hedging Local Volatility.pdf ├── Understanding-GER-Contracts.pdf ├── Valuing Convertible Bonds as Derivatives.pdf ├── Valuing Options On Periodically-Settled Stocks.pdf ├── When You Cannot Hedge Continuously - The Corrections of Black-Scholes.pdf ├── gs-outperformance_options.pdf ├── insoutbarriers1.pdf └── insoutbarriers2.pdf /Enhanced Numerical Methods for Options with Barriers.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/s0ap/gs-quantitative-strategies-research-notes/HEAD/Enhanced Numerical Methods for Options with Barriers.pdf -------------------------------------------------------------------------------- /How to Value and Hedge Options on Foreign Indexes.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/s0ap/gs-quantitative-strategies-research-notes/HEAD/How to Value and Hedge Options on Foreign Indexes.pdf -------------------------------------------------------------------------------- /Implied Trinomial Trees of the Volatility Smile.pdf: -------------------------------------------------------------------------------- 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Hedging Local Volatility.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/s0ap/gs-quantitative-strategies-research-notes/HEAD/Trading and Hedging Local Volatility.pdf -------------------------------------------------------------------------------- /Understanding-GER-Contracts.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/s0ap/gs-quantitative-strategies-research-notes/HEAD/Understanding-GER-Contracts.pdf -------------------------------------------------------------------------------- /Valuing Convertible Bonds as Derivatives.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/s0ap/gs-quantitative-strategies-research-notes/HEAD/Valuing Convertible Bonds as Derivatives.pdf -------------------------------------------------------------------------------- /Valuing Options On Periodically-Settled Stocks.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/s0ap/gs-quantitative-strategies-research-notes/HEAD/Valuing Options On Periodically-Settled Stocks.pdf -------------------------------------------------------------------------------- /When You Cannot Hedge Continuously - The Corrections of Black-Scholes.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/s0ap/gs-quantitative-strategies-research-notes/HEAD/When You Cannot Hedge Continuously - The Corrections of Black-Scholes.pdf -------------------------------------------------------------------------------- /gs-outperformance_options.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/s0ap/gs-quantitative-strategies-research-notes/HEAD/gs-outperformance_options.pdf 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