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Finance and Markets for Engineers and Scientists
Unit 1: Financial Basics
Valuation of Abstract Assets
Unit 2: Wealth Creation Tools
U.S. Treasury Securities
Treasury Bills, Notes and Bonds
Treasury Security Pricing Dynamics and Risks
STRIPS Bonds and the Term Structure of Interest Rates
Equity Securities
Equities, Markets, and Stylized Facts
Lattice Models of Equity Pricing
Brownian Motion Models of Equity Pricing
Advanced Stochastic Models of Equity Pricing
Multivariate Brownian Motion Models of Equity Prices
Derivative Securities
American and European Call and Put Contracts
Composite Contract Profit and Loss at Expiration
The Extrinsic and Intrinsic Value of an Option Contract
Option Contract Price Dynamics and Sensitivities
Trade mechanics for options positions: The Art of the Roll
Unit 3: Modern Portfolio Theory
Data-Driven Portfolio Allocation
Model-Driven Portfolio Allocation
Portfolio Reallocation Strategies
Surviving Black Swan Events
Value at Risk and Conditional Value at Risk
Hedging and Dynamic Hedging Approaches
Unit 4: Rational Decision Theory
Maximzing the Expected Utility
Markov Models
Hidden Markov Models of Investor Behavior
Markov Decision Process Models of Sequential Decision Making
Reinforcement Learning
Bandit problems, exploration versus exploitation and Thompson sampling
Reinforcement Learning (RL) and the asset management problem
Appendices
Probability and Random Variables
Stochastic Processes
Julia Basics
Julia Installation
Julia Types, Functions and Programs
Working with Data in Julia
References
References
Repository
Open issue
.md
.pdf
Value at Risk and Conditional Value at Risk
Value at Risk and Conditional Value at Risk
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