Topics in Stochastic Portfolio Theory
by Alexander Vervuurt
Publisher: arXiv 2015
Number of pages: 62
Stochastic Portfolio Theory (SPT) is a framework in which the normative assumptions from 'classical' financial mathematics are not made, but in which one takes a descriptive approach to studying properties of markets that follow from empirical observations.
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Lecture notes on mathematical finance - figuring out the price of options and derivatives. The text civers elementary probability, the binomial asset pricing model, advanced probability, the continuous model, and term structure models.
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