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 Zura Kakushadze - arXiv
These are the lecture notes for an advanced Ph.D. level course, primarily focused on an introduction to stochastic calculus and derivative pricing with various stochastic computations recast in the language of path integral, which is used in physics.
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These volumes present the elements of analysis and linear algebra used in financial models and in microeconomics. Functions and matrices are developed in part I and vector spaces, linear mappings and optimization methods are developed in part II.
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