"These lecture notes treat various versions of the so-called “fundamental theorem
of asset pricing”. Many students are familiar with statements about models for
financia...
This paper studies the properties of the continuous double auction trading mechanishm using an artificial market populated by heterogeneous computational agents. In particular, we...
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...
Fads models were introduced by Shiller (1984) and Summers (1986) as plausible alternatives to the efficient markets/constant expected returns assumptions. Under these models, loga...