Here is a collection of Quantitative Strategies Research Notes released by Goldman Sachs over the years, all of which are hosted by the man himself. Obviously a bit dated, they nonetheless contain a wealth of information whether viewed in the context of their time of writing or used as proxies for today's market. Much of Derman's research during his tenure at Goldman was/is foundational in nature and remain relevant to today's market operatives.
The usual reader will notice some overlap between the following and this blog's bibliography, one that has not been updated recently. All of the following are PDFs.
December, 1992: Valuing Options on Periodically-Settled Stocks
January, 1994: The Volatility Smile and Its Implied Tree
May, 1994: Static Options Replication
November, 1994: Valuing Convertible Bonds as Derivatives
May, 1995: Enhanced Numerical Methods for Options with Barriers
December, 1995: The Local Volatility Surface: Unlocking the Information in Index Options
February, 1996: Implied Trinomial Trees of the Volatility Smiles
April, 1996: Model Risk
August, 1996: Trading and Hedging Local Volatility
April, 1997: Stochastic Implied Trees: Arbitrage Pricing With Stochastic Term and Strike Structure of Volatility
January, 1999: Regimes of Volatility: Some Observations on the Variation of S&P 500 Implied Volatilities
March, 1999: More Than You Ever Wanted to Know About Volatility Swaps
July, 1999: Strike-Adjusted Spread: A New Metric For Estimating The Value of Equity Options
If anyone is aware of others hosted out there, please feel free to throw the link in the comments of this post.
The usual reader will notice some overlap between the following and this blog's bibliography, one that has not been updated recently. All of the following are PDFs.
December, 1992: Valuing Options on Periodically-Settled Stocks
January, 1994: The Volatility Smile and Its Implied Tree
May, 1994: Static Options Replication
November, 1994: Valuing Convertible Bonds as Derivatives
May, 1995: Enhanced Numerical Methods for Options with Barriers
December, 1995: The Local Volatility Surface: Unlocking the Information in Index Options
February, 1996: Implied Trinomial Trees of the Volatility Smiles
April, 1996: Model Risk
August, 1996: Trading and Hedging Local Volatility
April, 1997: Stochastic Implied Trees: Arbitrage Pricing With Stochastic Term and Strike Structure of Volatility
January, 1999: Regimes of Volatility: Some Observations on the Variation of S&P 500 Implied Volatilities
March, 1999: More Than You Ever Wanted to Know About Volatility Swaps
July, 1999: Strike-Adjusted Spread: A New Metric For Estimating The Value of Equity Options
If anyone is aware of others hosted out there, please feel free to throw the link in the comments of this post.
