The Ultimate Quant Cheat Sheet
cheatsheet.mathfinance.com- All you need to know as a quant to pass exams and interview questions
- Every day easy to carry-on reference manual
- Decades of practical knowledge condensed on 6 pages
- A4 size when folded
- Punched so you can file it
- Laminated so it will survive a spill of your drink
Samples
Contents
- Black-Scholes Formula with all Greeks
- Normal Distribution
- Building Blocks for First Generation Exotics
- Binomial Trees
- Vanilla Relationships
- List of Distributions: densities, moments, moment generating functions
- Brownian Motion and Running Extrema
- At-The-Money (ATM) and Delta Conventions in FX
- Simulation Schemes
- Cholesky Decomposition
- Newton's Method
- Central Limit Theorem
- Stochastic Calculus
- Asset Pricing
- Interest Rate Models
- Libor Market Model
- Transforms
- Quanto Drift Adjustment
- Currency Tetrahedron
- Derivatives Payoffs
- Vanilla Structures
- Local Volatility
- Option Formulas
- Portfolio Optimization
- Random Number Generation
- Volatility Estimation
- Regression
- Kernel Density Estimation
- CPPI
- Market Models
- Conditional Expectation
- Cliquet Structures
- Variance Reduction
- Levy Processes
- Copulas
- Useful Reference
Charity
With The Ultimate Quant Cheat Sheet project we support local charity organizations. 8.00 EUR will be donated to charity for each purchased cheat sheet. On the release date of March 23 2009 at the Frankfurt MathFinance Conference we supported the Frankfurter Tafel with 960.00 EUR. We thank all the delegates for their generous support.
Order Information
The Ultimate Quant Cheat Sheet
- your complete mailing and billing address.
- You can either pay with credit card using paypal or do a direct wire transfer.
- If you wish to make a direct wire transfer please wait for the invoice and then do the transfer to the account mentioned on the invoice. Your invoice will be sent electronically, unless specified otherwise.
Publication and Distribution by MathFinance
The Ultimate Quant Cheat Sheet, Edition 1 -- March 2009
ISBN: 978-3-00-027081-9
Copyright by MathFinance AG
Schiesshohl 19
65529 Waldems
Germany
all rights reserved
Author: Uwe Wystup
Typeset by MathFinance AG
Printed in Germany by Seltersdruck & Verlag Lehn GmbH & Co. KG
Price: 12.95 EUR (including 7% VAT = 0.85 EUR)
Postage for up to two cheat sheets: 1.45 EUR within Germany, 3.40 within Europe, 6.00 world. Tarifs are based on
B4 size up to 500g of Deutsche Post, prices are subject to change.
The Ultimate Quant Cheat Sheet, Edition 2 now as a Poster
ISBN: 978-3-00-030389-0
Copyright by MathFinance AG
Schiesshohl 19
65529 Waldems
Germany
all rights reserved
Author: Uwe Wystup
Typeset by MathFinance AG
Printed in Germany
Please enquire at ![[spam save email]](http://mathfinance.de/email.png.php?addr=m_xx_thfinance__com)
for postage price. The cost of the Poster is EUR 12.95 (incl. 7%VAT)
Reviews
"Very nice! I now know where to look and point to support a claim that this or that is 'well-known'. The cheat sheet may equally well be seen as charity towards the quantitative finance community."Rolf Poulsen, Professor at the Department of Mathematical Sciences, University of Copenhagen
We thank you, Rolf, for supporting the project.
"Finally, mathfinance.com has posted the cheat sheet that quants used to bring down the world's economy. This is an indispensable tool for all those who would wish to ban objective models and replace them with subjective judgments as to the profitabililty of their trades."
Peter Carr, Bloomberg
Financial Engineering Programs using the Cheat Sheet for Graduating Students
- Department of Mathematical Sciences, University of Copenhagen
- Tepper School of Business at Carnegie Mellon
- Master of Financial and Actuarial Engineering at Katholieke Universiteit Leuven
Errata for Edition 1
- Equation (68) for the squared Bessel process: there is a drift term ndt missing. Reported by Peter Carr, thank you!
- Market Models: The Kou model can be generalized by admitting different probabilities p and (1-p) for the two exponential brances decaying with rates eta_1 and eta_2. In Latex we could state the cumulant as
\ln \phi(u) = iu\omega - \frac{1}{2}\sigma^2 u^2 +\lambda \left( \frac{p \eta_1}{eta_1-i u}+\frac{(1-p) \eta_2}{eta_2+i u}-1 \right)
Reported by Ingo Schneider, thank you! - Random Number Generation: "- ln (U) / \lambda for Poisson" is what one does to simulate a Poisson-process via waiting-times, but taken literally, it gives an exponentially distributed random variable with parameter (\lambda). Reported by Rolf Poulsen, thank you!
