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Lecture Notes
These notes cover several topics such as Predicting Asset Returns, Linear Factor Model, Linear Factor Models in SDF Form, Consumption-Based Asset Pricing, Riskneutral Distributions...
Book
This is a great draft book about stochastic calculus and finance. It covers large number of topics such as Introduction to Probability Theory, Conditional Expectation, Arbitrage Pr...
FPL
2008
Springer
13 years 9 months ago
2008
Springer
Today, quasi-Monte Carlo (QMC) methods are widely used in finance to price derivative securities. The QMC approach is popular because for many types of derivatives it yields an es...
SIAMJO
2008
13 years 7 months ago
2008
This paper concerns a fractional function of the form xT a/ xT Bx, where B is positive definite. We consider the game of choosing x from a convex set, to maximize the function, an...
JC
2010
13 years 5 months ago
2010
We present a new general class of methods for the computation of high-dimensional integrals. The quadrature schemes result by truncation and discretization of the anchored-ANOVA d...