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Financial Theory
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Page Under Construction !! 
On this page:  Other pages:  
 Misc.
links and info
 magazines  CFA  Securities IDs  Some good sites aand people  Books  Formula Editors  Equities (shares)  Fixed income (bonds, etc.)  Derivatives (futures, options, etc.)  Swaps  Interest rates  Asset allocation  Risk management  Programming for Quants  PnL Explained (Attribution) Report 

 Financial_applications
 Online trading  Personal finance 
misc. links  home  top of the page  email 
� www.investorwords.com
 good site
� 193.135.166.4/TermFinance/en/
 Financial Terms
� www.forbes.com/tools/glossary/glossary.jhtml
 Forbs Financial Glossary
� biz.yahoo.com/glossary/g.html
 Yahoo Financial Glossary
� www.capital.com/help/glossary.cfm
 Master Glossary Index
� www.bloomberg.com/money/tools/bfglosf.html
 Bloomberg Financial Glossary
� www.investopedia.com/dictionary/

� EDGAR
Database of Corporate Information  All the current government
filings for America's public companies and mutual funds.
� National
Association of Investors Corporation  provides information on
how to invest better.
� The American
Association of Individual Investors  purpose is to arm investors with
the tools and knowledge to manage finances effectively and profitably.
� The
Investment FAQ  An excellent introduction to investing compiled from
newsgroups.
� Wall
Street Research Net  An extensive page of links to Webbased
information about companies and their finances.
� www.fpml.com
 xml.coverpages.org/fpml.html
 Financial Products Markup Language (FpML)
� www.cygnifi.com
 from JPMorgan, derivatives, etc.  ousourced services
� www.contingencyanalysis.com
 over 1,000 pages of information on financial risk management. Topics
include: value at risk, derivative instruments, credit risk and financial
engineering.
� www.globalinvestor.com
 resources for international investors (includes online book store)
Financial Calculators
� Investment
analysis calculator
� How
can I save a million dollars?
� Investment
yield calculator
� Present
value calculator
� Future
value calculator
� Simple
savings goal calculator
� How
much money could I save?
� What
interest rate would I need?
� How
much would I need to save each month?
Trading Systems
Order Entry Systems
Backoffice processing
Reporting
� www.summithq.com
 Summit Systems  integrated Trading, Operations, and Enterprise
Risk Management software products for banks, financial institutions, and
capital markets participants.
• http://seekingalpha.com/article/171070128ofthetopfinancialblogs  128 of top financial blogs
 http://www.superderivatives.com/  pricing, risk, etc.
Periodicals (journals / magazines)  home  top of the page  email 
 http://www.risk.net/  Risk
($985/year)
 http://www.wilmott.com  Wilmott
($476/year)
 http://www.elsevier.com/homepage/sae/econworld/econbase/finmar/frame.htm
 Journal of Financial Markets (pay $30 per article download).
CFA  home  top of the page  email 
CFA stands for Chartered Financial Analyst
� www.efinancialperspectives.com/cfa/faq.htm
 CFA FAQ
� www.aimr.org/

� www.aimr.org/cfaprogram/
 study guides
� www.allenresources.com/information/aimrform.htm

� www.cfpca.org/cfp_reqs/
 CFP  Certified Financial Planner
Security Identification Systems  home  top of the page  email 
� http://investfaq.com/articles/tradesecurityid.html
 see list of codes.
CUSIP  Committee on Uniform Security Identification Procedures
www.cusip.com
 9digit code, for US and Canada.
CINS  The CUSIP International Numbering System 
EPIC  UK stock market
ISID  International Securities Identification Directory  cross
reference
ISIN  International Security Identification Number  for example
" IE0000197834 "  www.annanna.com
RIC  Reuters Identification Code
SEDOL  Stock Exchange Daily Official List  for example " 0019783
"  the only true unique international ID assigned to all foreign stocks
by the International Stock Exchange of London. The code is
made up of a 7 digit numeric code. This code is the basis of the ISIN code
for UK securities.
Some good sites and people  home  top of the page  email 
Bill Margrabe: (Westchester County, NY, (914) 7383309)
� www.margrabe.com  � www.margrabe.com/Links.html  � www.qgroup.org.au/LINKS/  � www.mafc.mq.edu.au/coursewebarea/inv/links.htm  � www.mafc.mq.edu.au/coursewebarea/fin/links.htm  � finmath.com/wwwboard/messages/16.html  � finmath.com/  � www.freeoptionpricing.com/  � www.iafe.org/fe_links.ihtml  
John Hull: (Canada) author
of "Options, Futures, and Other Derivatives"
� www.mgmt.utoronto.ca/~hull/  Rotman School of Management (Toronto, Ontario, Canada), Rotman Finance. Professor of Finance, Director, Bonham Centre for Finance and Maple Financial Group Chair in Derivatives and Risk Management � fisher.osu.edu/fin/findir/JohnHull.html  
R.Merton 
Robert Merton: Winner
of the 1997 Nobel Prize in Economics
Harvard Business School, Harvard University, Cambridge, USA � http://nobelprizes.com/nobel/economics/1997a.html 
M.Scholes 
Myron Scholes: Winner
of the 1997 Nobel Prize in Economics
Stanford University, Stanford, USA � http://nobelprizes.com/nobel/economics/1997b.html � http://library.hbs.edu/merton/merton.htm  Myron Scholes codeveloped
an option pricing model
Search for "BlackScholes Option Pricing Model"  there are many sites with applets to do the calculations 
F.Black 
Paul Wilmott 
Paul Wilmott
 the Group Leader
of the Mathematical Finance Group at Oxford, UK � www.globalinvestor.com/bookshop/rec/wilmott.htm  � www.wilmott.com  consulting & training firm 
Books  home  top of the page  email 
Books:
 Dictionary of Finance and Investment Terms (Barron's
Financial Guides)
 Options, Futures, and Other Derivatives
(with Disk)  John C. Hull
 Solutions Manual: Options, Futures and
Other Derivatives 4e  John C. Hull
 Dynamic Asset Pricing Theory, Third Edition.
 by Darrell Duffie, J. Darrell Duffie (2001)
 Fixed Income Securities: Tools for Today's
Markets, University Edition  Bruce Tuckman
 Fixed Income Mathematics : Analytical &
Statistical Techniques  Frank J. Fabozzi
 Series 7 : Stockbroker NASD Exam (with CDROM)
 Philip Meyers, et al
 Investment Science  David G. Luenberger
 Barron's Finance & Investment Handbook
(5th Ed)
 Introduction to the Mathematics of Financial
Derivatives  Salih N. Neftci
 The Mathematics of Financial Derivatives
: A Student Introduction  Paul Wilmott, et al
 The Handbook of Fixed Income Securities  Frank
Fabozzi(Editor)
 Bond Markets: Analysis and Strategies  Frank
J. Fabozzi(Preface)
 www.rich.frb.org/instruments/
 INSTRUMENTS OF THE MONEY MARKET ed. by Timothy Cook & Robert Laroche
 Fooled by Randomness: The Hidden Role of
Chance in the Markets and in Life  by Nassim Nicholas Taleb (2001)
 Dynamic Hedging : Managing Vanilla and Exotic
Options  by Nassim Nicholas Taleb (2003)
 ContinuousTime Finance  Robert C. Merton (1992)
 Exploring General Equilibrium  Fischer Black
(1995)
 Taxes and Business Strategy: A Planning Approach
 Myron Scholes, Mark A. Wolfson, Merle M. Erickson, edwar Maydew, Terry
Shevlin, Edward Maydew (2nd ed., 2001)
 Option Pricing  Mathematical Models and Computations
 P. Wilmott, J. Dewynne and S. Howison (1997)
 Pricing and Hedging of Derivative Securities
 Lars Tyge Nielsen (1999)
 Fundamentals of Investments w/student CD + StockTrak
+ Powerweb  by Charles J. Corrado, Bradford Jordan (2002)
 The Financial Times Guide to Global Investing:
The Secrets of the World's Leading Investment Gurus  by James Morton (Editor)
(1995)
 The Money Market  by Marcia Stigum (1989)
 Essentials of Stochastic Finance: Facts, Models,
Theory  by Albert N. Shiriaev, Albert N. Shiryaev, Al'bert Nikolaevich
Shiriaev (1999) ???
Stochastics:
 Brownian Motion and Stochastic Calculus (Graduate
Texts in Mathematics, Vol 113)  by Ioannis Karatzas, Steven E. Shreve
(Editor), Steven E. Shreve (1997)
 Methods of Mathematical Finance  by Ioannis
Karatzas, Steven E. Shreve (1998)
 Stochastic Differential Equations  by
Bernt K. Oksendal (2002)
 An Introduction to Stochastic Modeling  by
Howard M. Taylor, Samuel Karlin (1998)
 A First Course in Stochastic Processes  by
Samuel, Karlin (1997)
 Introduction to Time Series and Forecasting
 by Peter J. Brockwell, Richard A. Davis, P. J. Rockwell (2002)
 Time Series: Theory and Methods (Springer Series in Statistics) 
by Peter J. Brockwell, R. A. Davis (1991)
Modelling:
 Option Pricing: Mathematical Models and Computation
 by Paul Wilmott, Jeff Dewynne, Sam Howison (2000)
 Financial Calculus : An Introduction to Derivative
Pricing  by Martin Baxter, Andrew Rennie (1996)
 Options, Futures and Exotic Derivatives  by
Eric Briys, Huu Minh Mai, Mondher Bellalah, François de Varenne
(1998)
 Martingale Methods in Financial Modelling
 by Marek Musiela, Marek Rutkowski (1997)
 Interest Rate Modelling: Financial Engineering
 by Jessica James, Nick Webber (2000)
 Option Pricing  by Robert Jarrow, Andrew Rudd
(1983)
 InterestRate Option Models : Understanding,
Analysing and Using Models for Exotic InterestRate Options  by Riccardo
Rebonato (1998)
 Volatility and Correlation : In the Pricing
of Equity, FX and InterestRate Options  by Riccardo Rebonato (2000)
 Market Models: A Guide to Financial Data Analysis
 by Carol Alexander (2001)
Monte Carlo in Finance:
 Monte Carlo Methods in Finance  by Peter Jaeckel
(2002)
 A Guide to Simulation  by Paul Bratley, Bennett
L. Fox, Linus E. E. Schrage (1996)
Finite Difference Methods of PDE Solution:
 Difference Methods for InitialValue Problems
 by Robert D. Richtmyer, K. W. Morton (1994)
 Numerical Solution of Partial Differential
Equations: Finite Difference Methods  by Gordon D. Smith (1986)
 Numerical solution of partial differential
equations, with exercises and worked solutions  by G. D. Smith ()
 Numerical Methods that Work  by Forman S.
Acton (1990)
 The Finite Difference Method in Partial Differential
Equations  by Andrew R. Mitchell, David Griffiths (1980)
C++ programming:
 "The Beginner's Guide to C++" by Oleg Yaroshenko, Wrox Press.
 "The C++ Programming Language" by Bjarne Stroustrup; 3rd ed.
 "Effective C++: 50 Specific Ways to Improve Your Programs and Design
(AddisonWesley Professional Computing Series)" by Scott Meyers.
 "More Effective C++: 35 New Ways to Improve Your Programs and Designs
(AddisonWesley Professional Computing Series)" by Scott Meyers.
BackOffice:
 AFTER THE TRADE IS MADE: PROCESS SECURITIES
 by Weiss (1993)
Business Side:
 Understanding Swaps  by John F. Marshall,
Kenneth R. Kapner (1993)
Very good "Mastering ..." series from "Financial
Times Prentice Hall":
 Mastering Financial Calculations: A StepByStep
Guide to the Mathematics of Financial Market Instruments  by Bob Steiner
(1997)
 Mastering Foreign Exchange and Currency Options:
A Practitioner's Guide to the Mechanics of the Markets  by Francesca Taylor
(1997)
 Mastering Exchange Traded Equity Derivatives:
A StepByStep Guide to the Markets, Applications & Risks  by David
Ford (1996)
 Mastering Financial Modelling: A Practitioner's
Guide to Applied Corporate Finance  by Alastair L. Day (2001)
 Mastering Government Securities: A StepByStep
Guide to the Products, Applications and Markets (Financial Times Market
Editions Series)  by Stephen Mahony, Stephan Mahony (1996)
 Mastering Commodity Futures and Options: The
Secrets of Successful Trading  by George Kleinman (1998)
 Mastering the ISDA Master Agreement: A Practical
Guide for Negotiation  by Paul C. Harding (2002)
 Mastering Value at Risk: A StepByStep Guide
to Understanding and Applying Var (Market Editions)  by Cormac Butler
(1998)
 Mastering Repos Markets: A StepByStep Guide
to the Products, Applications, and Risks  by Bob Steiner (1997)
 Mastering Swaps Markets: A StepbyStep Guide
to the Products, Applications and Risks  by Alan McDougal (1999)
 Mastering Derivatives Markets: A StepbyStep
Guide to the Products, Applications and Risks (2nd Edition)  by Francesca
Taylor (2001)
Corporate Finance (issuer side):
 Financial Accounting: An Introduction to Concepts,
Methods, and Uses  by Clyde P. Stickney, Roman L. Weil (2002)
 Principles of Corporate Finance: with S&P,
Powerweb, Career ED Coupon, & Student CDRom (The Complete Package)
 by Richard A. Brealey, Stewart C. Myers (2000)
 Solutions Manual to accompany Principles of
Corporate Finance  by Richard A. Brealey, Stewart C. Myers (2002)
 Study Guide to Accompany Principles of Corporate
Finance  by Richard A. Brealey, Stewart C. Myers, Stewart D. Hodges, Charles
A. Dambrosio (1996)
 Financial Accounting: Principles and Issues
 by Michael H. Granof, Philip W. Bell (1991)
Some good original papers to look at:
 Fischer Black and Myron Scholes: The Pricing of Options
and Corporate Liabilities, Journal of Political Economy 1973
 John Cox, Jonathan Ingersoll and Stephen Ross: An Intertemporal
General Equilibrium Model of Asset Prices, Econometrica, March 1985
 Cox, Ingersoll and Ross: A Theory of Term Structure of Interest
Rates, Econometrica, March 1985
 William Sharpe: Capital Asset Prices: A Theory of Market
Equilibrium under Conditions of Risk, Journal of Finance, 1964.
Misc:
 F.I.A.S.C.O.: The Inside Story of a Wall Street
Trader  by Frank Partnoy (1999)
 Infectious Greed: How Deceit and Risk Corrupted
the Financial Markets  by Frank Partnoy (2003)
 Credit Derivatives & Synthetic Structures:
A Guide to Instruments and Applications, 2nd Edition  by Janet M. Tavakoli
(2001)
 Heard on the Street: Quantitative Questions
from Wall Street Job Interviews  by Timothy Falcon Crack (2000)
 Vault Career Guide to Investment Banking 
by Chris Prior, Tom Lott, Staff at Vault (2002)
 Vault Guide to the Case Interview  by Mark
Asher, Eric Chung (2002)
 Case Interview: The Vault.com Guide to the
Case Interview  by Mark Asher, Marcy Lerner, Vault Com Inc, Vault, Vault.com
(1998)
 Vault Guide to the Top Finance Firms  by Chris
Prior, Tyya N. Turner, Hans H. Chen, Vault.Com, Vault Com Inc (2001)
 Vault Guide to Finance Interviews  by D. Bhatawedekhar,
Vault.Com Staff (Editor), Vault Com Inc (2001)
 Numerical Methods for Scientists and Engineers  by Richard Hamming
(1987)
 Partial Differential Equations for Scientists and Engineers (Dover
Books on Advanced Mathematics)  by Stanley J. Farlow (1993)
 Analysis of Numerical Methods  by Eugene Isaacson, Herbert Bishop
Keller, Bishop (1994)
Series 7 exam:
 http://www.series7test.com/examcds.html
 order manuals, video, aduio (tapes or CD), CDROM with tests
 www.stockbrokerclass.com

 www.testeachers.com
 www.privateclientpro.net

Some good books in Russian:
 http://www.aha.ru/~phasis/index.htm
 publishing house "Phasis"
Phone in Moscow: (7095)2530820
(7095)1373137 (redakciya, bus.days bus hours(1117), Leninskiy Prospect).
 Arnold V.I. Lektsii ob uravneniyakh s chastnymi
proizvodnymi. 2e izd.
 Frisch U. Turbulentnost'. Nasledie A.N. Kolmogorova
 Kolmogorov A.N. Osnovnye ponyatiya teorii veroyatnostei.
3e izd.
 Shiryaev A.N. Osnovy stokhasticheskoi finansovoi
matematiki. Tom 1. Fakty. Modeli
 Shiryaev A.N. Osnovy stokhasticheskoi finansovoi
matematiki. Tom 2. Teoriya
in English: Essentials of
Stochastic Finance: Facts, Models, Theory  by Albert Nikolaevich Shiriaev
(1999)
 Yavlenie chrezvychainoe. Kniga o Kolmogorove.
Also:
D.F. Kuznetsov Chislennoe Integrirovanie stohasticheskih differentsialnih
uravneniy  Isdatelstvo SanctPeterburgskogo Universiteta, 2001
More books:
 Dynamic Programming  by Richard Ernest Bellman
 Quantitative Methods in Derivatives Pricing: An Introduction to Computational
Finance  by Domingo Tavella (Author)
 Numerical Methods in Finance: A MATLABBased Introduction  by Paolo
Brandimarte (Author)
 Econometric Analysis  by William H. Greene (5th edition)
 Time Series Analysis  by James D. Hamilton
 Microeconomic Theory  by Andreu MasColell, Michael D. Whinston,
Jerry R. Green
 Macroeconomics in the Global Economy  by Jeffrey D. Sachs, Felipe
Larrain B., B. Larrain
Formula Editors:
If you work as a quant  you will need to enter math formulas into your documents. Depending on the task you may choose different software.
Prety standard is LaTeX ( http://en.wikipedia.org/wiki/LaTeX ).
But there are many other choices: http://en.wikipedia.org/wiki/Formula_editor
Microsoft Word has its own free builtin editor (go to menu Insert > Object, and select "Microsoft Equation").
You can upgrade it to a commercial product "MathType"  http://www.dessci.com/en/products/mathtype/default.htm
Here is the another fullfeatured program: http://www.mathmagic.com/product/pewin.html
equities  home  top of the page  email 
Shares  partial ownership, asset
fixed income  home  top of the page  email 
Bonds  Corporate, Municipal, Treasury, Savings, emerging
markets (junk bonds), etc.
� www.bondsonline.com/bpfaq.html
 faq
Compounding:
FV = PV*(1+i)**N, where FV = Future Value, PV = Present Value, i  interest per cycle, N  number of cycles
PV = FV*d, where d = discount factor = 1/(1+i)**N
Payments: (re)investing payments: (1+i)**(N1) + ... + (1+i)**1 + 1  a sum of a geometrical progression: S=((1+i)**N  1)/i
Bond gives regular cash flow (coupon payments which are usually reinvested)  and finally returns the principal.
Yield = interest rate such that if we use it to discount all future coupon payments to present time  and sum them  we will get the present price (PV).
PV = C/(1+y) + C/(1+y)**2 + ...+ C/(1+y)**N , where C = Coupon payment (constant in the simpliest case)
To calculate the yield "y" from the above formula, we have to do iterations (numerically)  there is no analytical formula.
http://www.mngt.waikato.ac.nz/kurt/frontpage/ModelMainpages/FixedIncomeModels.htm  models in Excel, some references
derivatives  home  top of the page  email 
Derivatives  futures, options, warrants, convertible
bonds, etc.  instruments derived from securities or physical markets.
In many cases derivatives are contracts rather than assets.
� investfaq.com/articles/derivbasics.html
 very good intro
� www.numa.com/ref/faq.htm
 (also www.numa.com/ref )  Numa
Financial Systems References on derivatives
� investfaq.com

� www.margrabe.com/Dictionary.html
 ( www.derivativesdigest.com
) 
� www.adtrading.com

� www.adtrading.com/beginners/index.cfm
 several tutorials
� www.dpmllc.com

� www.derivatives.com
Derivatives.com is the brainchild of Imagine Software Inc. I realtime
derivatives trading and portfolio risk management software.
Futures:
 http://www.investopedia.com/university/futures/futures2.asp  very good article explaining the basics of Futures contracts.The main idea illustration:
The farmer and bread maker get into a contract at $4 for a unit of wheat  which both believe is a fair price.
They deposit some amount (up to 10%, called initial margin).
Price changes from day to day,  so the settlement is made every day.
If price grew to $5  then $1 will be transferred from account of farmer to account of bread maker.
After final settlement and closing of the account, the farmer and bread maker still need to sell/buy the goods.
The bread maker will go on cash market to buy wheat at current cash price of $5.
But as he received $1 from futures contract  he effectively pays only $4.
Similar with the farmer  he will get $5 for his product on cash market,
but as he already gave $1  he effectively receives $4.
So futures contract helped them to get the price of $4 which they originally believed is a good price.
Options:
 http://www.myoptionvalue.com/movschool/FAQ/
 Listed options are traded on the nation's option exchanges chief among
these is the Chicago Board Options Exchange.
Listed options come in two forms:
For a great location to learn about listed options visit: http://www.cboe.com/education/.
Barrier option  can be exercised only when certain barrier is reached. There are put and call, as well as European and American varieties.
If the option expires inactive, there may be some rebate payment (or nothing  depends on the option). The four main types of barrier options are:

swaps  home  top of the page  email 
Swaps:
Big banks swap all kinds of promises all the time, like interest
rate swaps, forward currency swaps, options on futures, etc. They try to
balance all these promises (hedging), but there is the big danger
that one big player will go bankrupt and leave lots of people holding worthless
promises. Such a collapse could cascade, as more and more speculators
(banks) cannot meet their obligations because they were counting on the
defaulted contract to protect them from losses.
interest rate swaps  exchange floating bond to fixed bond
LIBOR  London InterBank Offering Rate
tax swaps
interest rates  home  top of the page  email 
repos  secure loan (usually overnight)
reporate of bonds (bonds have different value/rate as a collateral)
asset_allocation  home  top of the page  email 
Asset Allocation  (AA)  allocate your assets
(parts of your portfolio) into different types of securities, thus decreasing
your risk and maximimizing returns over period of time.
AA approach is based on proven theory that the type or class
of security you own is much more important than the particular security
itself. AA should not be confused with simple diversification.
Diversification means putting your money into several securities which
could be of similar type  and thus may react to market in a similar way
(correlation).
AA not only reduces risk, but also maximizes returns over a period of time. This is because the proper blend of six or seven asset classes will allow you to benefit from the returns in all of those classes.
� www.gofso.com/Premium/IS/fg/fgAssets.html

risk management  home  top of the page  email 
Risk Management  ways to understand and control portfolio
risks.
Here is a formal definition:
" Risk management is a discipline for dealing with the possibility
that some future event will cause harm. It provides strategies, techniques,
and an approach to recognizing and confronting any threat faced by an organization
in fulfilling its mission. Risk management may be as uncomplicated as asking
and answering three basic questions:
 What can go wrong?
 What will we do (both to prevent the harm from occurring and
in the aftermath of an "incident")?
 If something happens, how will we pay for it? "
� www.ecmag.net/EC1999/cagan12.html

� www.riskwaters.com/home.htm
 Risk Waters Group
� www.tradetrek.com/Education/risk_management.asp

� www.firstunion.com/capitalmarkets/riskmgmt/interestrate.html
 interest rate risk management
� www.cfo.com/
 read about Risk Management here
Famous story about Hedge Fund "LongTerm Capital Management" (LTCM) was a U.S. hedge fund located in Greenwich, Connecticut. It was founded in 1993  and was very successful  until it failed in AgustSeptember of 1998. Lost $4.6 billion in ~ 4 months following Russian crisis. The total borrowed assets of the fund were estimated at $125 billion, and the notional principal amount of over $1 trillion. The Federal government had stepped in to facilitate the bailout. The firm closed in 2000. This story is interesting, because this fund was a very elite group of world's top experts. The founders included two Nobel Prizewinning economists, Myron Scholes and Robert C. Merton. There were also some top people from Solomon Brothers. Fund used trading strategies such as fixed income arbitrage, statistical arbitrage, and pairs trading, combined with very high leverage (~50). The disaster is mostly attributed to poor risk management:
PnL Explained (PnL Attribution) Report
PnL Explained report (aka PnL Attribution Report) is a Profit and Loss report, where the causes of PnL are subdivided into some categories (buckets). Those categories may be subdivided into subcategories. Selection of categories/subcategories depends on the market and product. And in the same market one can generate different report using different set of categories.
Here is an example for Fixed Income:
http://en.wikipedia.org/wiki/Fixed_income_attribution  process of measuring returns generated by various sources of risk in a fixed income portfolio.
Here is another example of categories:
Programming for Quants
http://www.datasimfinancial.com/forum/index.php 
C++, C# forum for Financial Engineers, including a book C++ for
Financial Engineers.
tax swaps  home  top of the page  email 
� http://investfaq.com/articles/taxswap.html  A tax swap is an investment strategy usually designed for municipal bond portfolios. It is designed to allow you to take a tax loss in your portfolio while at the same time adjusting factors such as credit quality, maturity, etc. to better meet your current needs and the outlook of the market. A tax swap can create a capital loss for tax purposes, can maintain or enhance the overall credit quality of your portfolio, and can increase current income.
mathematics of derivatives  home  top of the page  email 
stochastic calculus:
http://www.cs.cmu.edu/~chal/shreve.html  Steven Shreve's Lectures
on Stochastic Calculus and Finance
http://www.chiark.greenend.org.uk/~alanb/  Alan Bain Stochastic Calculus
Notes
http://www.risktraining.com  Risk Training
volatility surfaces:
http://www.tta.com.au/Services/Quant/VolSurface/VOLSURFACEmain.htm
http://www.bradyplc.co.uk/corpweb/Equities/wp2k.htm
http://www.risk.net/  Risk Magazine
The debate over stochastic volatility versus implied volatility surfaces
to model and price derivatives ...
term structure models:
http://finance.bi.no/~bernt/gcc_prog/algoritms/algoritms/node54.html
term structure modelling:
 modelling the spot rate,
 modelling the term structure of forward rates
Each method has advantages and disadvantages: For spot rate modelling
the
question of model choice is unclear, while for most HJM models computations
are difficult. We present a new class of term structure models essentially
as general as either of the above and for which differences between
models
are easy to understand and, for a class of interesting models, computations
are easy.  David Heath
http://www.angelfire.com/ny/financeinfo/
 titles and links
Arbitrage Pricing Theory (APT)
A model of financial instrument and portfolio behavior based on the
proposition that if the returns of a portfolio of assets can be described
by
a factor structure or model, the expected return of each asset in the
portfolio can be described by a linear combination of the factors with
the
returns of the asset.
The factors can be statistical artifacts; they can be market or industry
related; or they can be macroeconomic variables such as interest rates,
inflation, industrial production, etc. The resulting factor model can
be
used to create portfolios that track a market index, to estimate and
monitor
the risk of an asset allocation strategy, or to estimate the likely
response
of a portfolio to economic developments. Starting from an initial model
proposed by Stephen Ross, APT models have been created for applications
in
most cash and derivatives markets. See Multi Factor Model.
http://netec.wustl.edu/WoPEc.html
http://netec.wustl.edu/WoPEc/data/Papers/wpawuwpfi9902001.html
binomial trees:
http://www.inthemoney.com/presentation/sld072.htm
http://cswww.cs.yale.edu/homes/shaw/finance/bscholes_top.html
http://www.vbfi.com/handbook/topic9/5.asp

Types of software:
 trading systems
 online trading systems
 information and sharts
 analytics
 reporting

Fixed Income
Security Analysis & Portfolio Management
Derivatives & Risk Management
Financial Engineering