Wyandanch Library | Open Source Finance Education

The Theory of Price

A rigorous treatment of price theory — supply, demand, costs, and market structure — from one of the Chicago School's finest minds.

Incerto: Fooled by Randomness, Black Swan, Antifragile

Nassim Nicholas Taleb

Taleb's philosophical and mathematical framework for navigating uncertainty, fat tails, and the limits of prediction. Why most risk models are wrong and what to do about it.

Behavioral Finance: Kahneman, Tversky & Beyond

Kahneman, Tversky, Thaler

The psychological foundations of market behavior. Prospect theory, loss aversion, anchoring, overconfidence, and the systematic biases that create mispricings.

The Little Book of Valuation

Aswath Damodaran

Damodaran distills valuation into its essentials: intrinsic value, relative value, and the stories that connect numbers to narratives.

Quantitative Foundations

The mathematical and statistical foundations for quantitative finance: linear algebra, probability, optimization, and their applications to portfolio theory.

Econometrics & FX

Applied econometrics with a focus on foreign exchange markets. Regression, time series, and the empirical tools for macro-financial research.

An introduction to GARCH models for volatility estimation and forecasting. Understanding how volatility clusters and why it matters for risk management.

Portfolio Construction

Markowitz, Black-Litterman, Various

From Markowitz's efficient frontier through Black-Litterman, risk parity, and Kelly criterion at the portfolio level. How to turn signals and convictions into actual allocations.

From Theory to Application

Bridging the gap between academic finance theory and practical portfolio construction. How to turn research insights into implementable strategies.

Systematic Indices

The design and construction of systematic, rules-based indices. Factor tilts, rebalancing mechanics, and the rise of smart beta.

Gappy Lecture 1: Alpha Research

The first in a three-part series on systematic investing. How to generate, test, and validate alpha signals from quantitative research.

Gappy Lecture 2: Factor Models

Factor models for explaining and predicting returns. From Fama-French to modern multi-factor frameworks.

Gappy Lecture 3: Factor Evaluation

How to evaluate whether a factor is real, robust, and investable. Statistical tests, economic rationale, and implementation considerations.

Model Implementation

Taking quantitative models from prototype to production. Software engineering practices, numerical methods, and the engineering of trading systems.

Derivative Portfolio Management

Managing a portfolio of derivative instruments. Greeks, hedging strategies, and the practical challenges of options book management.

Fixed Income Fundamentals

Bonds, yield curves, duration, convexity, and rate trading. The largest asset class in the world, and the one most finance curricula cover worst.

Market Microstructure & Trading

How orders become trades: market microstructure, order book dynamics, information asymmetry, and the economics of market making.

Stochastic Volatility Models

Beyond Black-Scholes: models where volatility itself is a random process. Heston, SABR, and the calibration challenges of modern derivatives pricing.

Differential Machine Learning

Using automatic differentiation and neural networks to price and hedge derivatives. A modern approach combining ML with quantitative finance.

Quasi-Random Number Generation

Low-discrepancy sequences for Monte Carlo simulation. Sobol, Halton, and why quasi-random beats pseudo-random for high-dimensional integration.