Here is a list of important quants professionals that I have got from the web:
- Alex Lipton/Leif Anderson (BAML)
- Bruno Dupire/Fabio Mercurio (Bloomberg)
- Daniel Nehren (JP Morgan)
- David Li (AIG)
- Ezra Nahum (Goldman Sachs)
- Lorenzo Bergomi (Société Générale)
- Peter Carr (Morgan Stanley)
- Vladimir Piterbarg (Barclays)
To follow their ideas, just google the names mentioned above and enjoy the ride!
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The journals that I´m currently trying to follow, reading and studying the papers are (specially because they are avaiable in pdf format to me):
- Finance and Stochastics (from Springer) http://link.springer.com/journal/780
- Computational Economics (from Springer) http://link.springer.com/journal/10614
Journals that I should follow, but will most certainly not have enough time to read and study the articles in full detail (alphabetical order):
- Applied Financial Economics Letters
- Applied Mathematical Finance
- Journal of Simulation - http://www.palgrave-journals.com/jos/journal/v8/n4/index.html
- The Journal of Computational Finance - http://www.risk.net/type/journal/source/journal-of-computational-finance. I should follow this one more closely BUT it is now avaiable (to me) in pdf format, only in paper, so I will end up not reading it.
- The Journal of Derivatives - http://www.iijournals.com/toc/jod/current
Regarding pages where can be found interesting research (that unfortunatelly I will also not follow more closely) it can be mentioned:
- prof.Edson de O.Pamplona page on Unifei - Interesting website with articles on cost analysis - http://www.iepg.unifei.edu.br/edson/pesquisa.htm#producao.
- prof.Petr Dostál website on Decision Making, Soft Computing and Fuzzy Logic - Nice collection of papers on quantitative methods applied to decision making. Special notice on fuzzy logic applications, but also some papers on chaos theory.
- Yale´s prof.Shyam Sunder course description on Experimental Economics. http://http://faculty.som.yale.edu/shyamsunder/ExperimentalEconomics/Expecon2008Fall.html
- Van Kurt Blog - with an interesting page on simulation of correlated and uncorrelated variables - https://kurtverstegen.wordpress.com/2013/12/07/simulation/
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Flows in Railway Optimization
If I ever write a paper about the history of Operations Research...
...I must not forget this paper: Flows in railway optimization, by Alexander Schrijver. The paper can be found at: http://homepages.cwi.nl/~lex/files/flows_in_ro.pdf
And besides this, if I keep my sources in the Netherlands I should not forget the Amsterdan Optimization Group (http://amsterdamoptimization.com/).
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An interesting free add-in for Excel: NtRand. It has a complex set of random numbers generator based in the Mersenne´s Algorithm. It can be found in http://www.ntrand.com/documentation/. Although I mainly use R or Palisade's @RISK to generate random numbers, this is an alternative to the standard ALEATÓRIO() function (in Excel´s PT-BR).
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