Cheat Sheet

Content

Overview:

• • 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
• 

Detailed:

• • 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.

Charity Organizations supported:

• Frankfurter Tafel
• Gandhi Kinderhilfe

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.

We donated over EUR 1000 for the year 2010 to Gandhi Kinderhilfe, Organ support for the Evangelische Kirche Steinfischbach. We thank all our customers for their generosity. In 2011 we were able to donate more than 800 EUR to various organizations including Gandhi Kinderhilfe, Doctors without Borders, Frankfurter Tafel, Bahnhofsmission, Indienhilfe Kelkheim.

In 2012 we were able to donate 552 EUR.

Reviews

Errata

• 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!