Goldman Sachs Quantitative Strategies Research Notes

Back in the 90's, Goldman Sachs released a series of papers called "Quantitative Strategies Research Notes" — mostly technical papers on derivatives. This is a collection of those papers.

Papers

• Understanding Guaranteed Exchange-Rate Contracts In Foreign Stock Investments. Emanuel Derman, Piotr Karasinski and Jeffrey Wecker
• Valuing and Hedging Outperformance Options. Emanuel Derman
• Pay-On-Exercise Options. Emanuel Derman and Iraj Kani
• The Ins and Outs of Barrier Options. Emanuel Derman and Iraj Kani
• The Volatility Smile and Its Implied Tree. Emanuel Derman and Iraj Kani
• Static Options Replication. Emanuel Derman, Deniz Ergener and Iraj Kani
• Enhanced Numerical Methods for Options with Barriers. Emanuel Derman, Iraj Kani, Deniz Ergener and Indrajit Bardhan
• The Local Volatility Surface: Unlocking the Information in Index Option Prices. Emanuel Derman, Iraj Kani and Joseph Z. Zou
• Implied Trinomial Trees of the Volatility Smile. Emanuel Derman, Iraj Kani and Neil Chriss
• Model Risk. Emanuel Derman
• Trading and Hedging Local Volatility. Iraj Kani, Emanuel Derman and Michael Kamal
• Investing in Volatility. Emanuel Derman, Michael Kamal, Iraj Kani, John McClure, Cyrus Pirasteh and Joseph Zou
• Is the Volatility Skew Fair? Emanuel Derman, Michael Kamal, Iraj Kani and Joseph Zou
• Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility. Emanuel Derman and Iraj Kani
• The Patterns of Change in Implied Index Volatilities. Michael Kamal and Emanuel Derman
• Predicting the Response of Implied Volatility to Large Index Moves: An October 1997 S&P Case Study. Emanuel Derman and Joe Zou
• How to Value and Hedge Options on Foreign Indexes. Kresimir Demeterfi
• Regimes of Volatility: Some Observations on the Variation of S&P 500 Implied Volatilities. Emanuel Derman
• Valuing Options On Periodically-Settled Stocks. Emanuel Derman, Iraj Kani and Alex Bergier
• When You Cannot Hedge Continuously: The Corrections of Black-Scholes. Michael Kamal
• Valuing Convertible Bonds As Derivatives. Indrajit Bardhan, Alex Bergier, Emanuel Derman, Cemal Dosembet and Iraj Kani
• More Than You Ever Wanted To Know About Volatility Swaps. Kresimir Demeterfi, Emanuel Derman, Michael Kamal and Joseph Zou
• Strike-Adjusted Spread: A New Metric For Estimating The Value Of Equity Options. Joseph Zou and Emanuel Derman

Contributing

Contributions are welcome. TODO list:

• Find missing papers from the above list and send a pull request (preferably, one pull request per paper).