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Library of research paper on Quantnet

Andy Nguyen

Andy Nguyen

Joined
5/2/06
Messages
11,751
Points
273
John mentioned this to me a while ago and while going through technical sections at WM and NP, i think it would be much beneficial to Quantnet members if we have our own library where members can upload and download research papers. Imagine that you are MFE student and interested in the area of equity/credit/commodity, you can download the papers from leading banks and see what people are doing on Wall Street. It would be great advantage when you go interviews ;)

We would need people with access to research paper to upload. These papers are scattered all over the internet specially on forums like WM and NP. Only research paper from investment banks. There will be no pdf file of any book that you can buy on Amazon.

We probably will add it under a section on Quantnet wiki.

Idea ?
 
Great idea!

I used to have a library of papers on credit derivatives when I was taking that class at CMU. I wished there was a resource what could explain those complicated formulas :)

Now I mainly use Wikipedia, since it contains most of the definitions we encounter in finance.
 
we need to be careful. If the research papers are confidential information, you can't publish them on QN.
 
Great Idea... Regarding the issue of confidentiality: we can only put papers available on the internet... Many professors have their papers on their personal websites (Dr Derman, Dr Carr, Prof Neftci, Dr. Gatheral, Prof Wu, Prof Madan, Prof Hull)...

Again as Andy mentioned several papers (some great articles from practitioners like Haug// Wilmott) are available on the wilmott website. Also SSRN and JSTOR are great places for academic works (and then there is scholar.google.com :) )

The one thing which I would like to see though is the collection to be sorted in some some: the one major drawback of the wilmott paper collection is that there is no sorting/ indexing of any sort and that makes it very difficult to browse the selection (you can search if you are looking for something specific)... The indexing can be based on the subject (Papers on option pricing// commodity derivatives// interest rate modeling research// etc)
 
pardasani said:
The one thing which I would like to see though is the collection to be sorted in some some: the one major drawback of the wilmott paper collection is that there is no sorting/ indexing of any sort and that makes it very difficult to browse the selection (you can search if you are looking for something specific)... The indexing can be based on the subject (Papers on option pricing// commodity derivatives// interest rate modeling research// etc)
Click to expand...
I have the exact thoughts in mind when I plan this. I think putting it on Wiki is a good choice. We can put them under topic and/or author.

Regarding the confidentiality issue, the papers I refer to are something like "JP Morgan Introduction to Credit Derivatives". They are extremely valuable and freely available if you know where to look.

Most of them are all over the net. We need someone to gather and organize them. I have a few papers in Credit Derivatives so I can put them up.

And lastly, if this ever becomes an issue, we can just limit the privileges to MFE students :)
 
Andy said:
I have the exact thoughts in mind when I plan this. I think putting it on Wiki is a good choice. We can put them under topic and/or author.

Regarding the confidentiality issue, the papers I refer to are something like "JP Morgan Introduction to Credit Derivatives". They are extremely valuable and freely available if you know where to look.

Most of them are all over the net. We need someone to gather and organize them. I have a few papers in Credit Derivatives so I can put them up.

And lastly, if this ever becomes an issue, we can just limit the privileges to MFE students :)
Click to expand...

I think we can adopt a two-prong approach.

For the wiki site, we can provide links (if the direct link is available) to publicly-available academic (PhD) research, e.g. a paper such as "Synthetic CDO pricing using the double normal inverse Gaussian copula".

There are sometimes papers such as David Li's influential essay on correlated default that straddle between academic and professional fields, for which we need to carefully evaluate copyright issues. Perhaps papers in this category should be classified under the following category.

On the other hand, the investment bank and rating agency research papers should be held in an area that only members of Baruch MFE (student, alumni, professors) would have access to. The aforementioned JP Morgan Introduction to Credit Derivatives paper would be in this category.

The idea is to give alumni (practitioners) and students (would be practitioners) access to materials that they would be reviewing and studying as part of the continuing professional development. A lot of the times, papers in this category are only available to (and intended for) practitioners and their clients in this field, due to their inherent commercial (for profit) content.
 
My boss showed us this paper last week. It is a great paper to understand the rating agencies rating modus operandi concerning subprime mortgage ABS, and CDO of ABS. It specifically evaluates the exposure of the financial guarantors' to the subprime mess.

Download it before MBIA take it down. Another source is charging $550 for this paper, ouch!

http://www.mbia.com/investor/publications/moodys_september2007.pdf
 
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