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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by Henk van Elst - arXiv
These lecture notes provide a self-contained introduction to the mathematical methods required in a Bachelor degree programme in Business, Economics, or Management. A special focus is set on applications in quantitative economical modelling.
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This manuscripts is designed for an introductory course in the theory of interest and annuity. Each section contains the embedded examples with answer keys. The manuscript is suitable for a junior level course in the mathematics of finance.
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The aim of this book is to stimulate a debate on reforming the global finance. It examines recent problems afflicting the global financial system. It enunciates guiding principles and offers concrete policy measures to create a more stable system.
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An introduction to those aspects of partial differential equations and optimal control most relevant to finance: PDE’s naturally associated to diffusion processes, Kolmogorov equations and their applications, linear parabolic equations, etc.