Seminal Publications
See also: List of quantitative analysts- 1900 - Louis Bachelier, Théorie de la spéculation
- 1952 - Harry Markowitz, Portfolio Selection, Modern portfolio theory
- 1956 - John Kelly, A New Interpretation of Information Rate
- 1967 - Edward O. Thorp and Sheen Kassouf, Beat the Market
- 1972 - Eugene Fama and Merton Miller, Theory of Finance
- 1973 - Fischer Black and Myron Scholes, The Pricing of Options and Corporate Liabilities and Robert C. Merton, Theory of Rational Option Pricing, Black–Scholes
- 1976 - Fischer Black, The pricing of commodity contracts, Black model
- 1977 - Phelim Boyle, Options: A Monte Carlo Approach, Monte Carlo methods for option pricing
- 1977 - Oldrich Vasicek, An equilibrium characterisation of the term structure, Vasicek model
- 1980 - Lawrence G. McMillan, Options as a Strategic Investment
- 1982 - Barr Rosenberg and Andrew Rudd, Factor-Related and Specific Returns of Common Stocks: Serial Correlation and Market Inefficiency’' Journal of Finance, May 1982 V. 37: #2
- 1982 - Robert Engle Autoregressive Conditional Heteroskedasticity With Estimates of the Variance of U.K. Inflation, Seminal paper in ARCH family of models GARCH
- 1985 - John C. Cox, Jonathan E. Ingersoll and Stephen Ross, A theory of the term structure of interest rates, Cox–Ingersoll–Ross model
- 1988 - John Hull, Options, futures, and other derivatives (7th edition issued in 2008)
- 1990 - Fischer Black, Emanuel Derman and William Toy, A One-Factor Model of Interest Rates and Its Application to Treasury Bond, Black-Derman-Toy model
- 1992 - Fischer Black and Robert Litterman: Global Portfolio Optimization, Financial Analysts Journal, September 1992, pp. 28–43 JSTOR 4479577 Black-Litterman model
- 1995 - Richard Grinold and Ronald Kahn, Active Portfolio Management: Quantitative Theory and Applications
- 1996 - Philippe Jorion, Value at risk
- 2004 - Emanuel Derman, My Life as a Quant: Reflections on Physics and Finance
- 2004 - Steven E. Shreve, Stochastic Calculus for Finance
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“Dr. Calder [a Unitarian minister] said of Dr. [Samuel] Johnson on the publications of Boswell and Mrs. Piozzi, that he was like Actaeon, torn to pieces by his own pack.”
—Horace Walpole (17171797)
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