Summaries for Quantitative Finance

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Economics & Finance


1. Firms in competitive markets. Version 1.0: PDF, DOC.
2. A study note on the IS-LM & Mundell-Fleming models. Version 1.0.2: PDF, DOC.
3. Mathematical clarification of Ricado's model of comparative advantage. Version 1.1.2: PDF, DOC.
4. Mean variance analysis and CAPM. Version 1.0.2: PDF, DOC.
5. Book Summary: Warrent Buffett and the Interpretation of Financial Statements (by Mary Buffett and David Clark). Chinese summary in PDF and DOC.

Derivative Pricing

1. Fundamental Theorem of Asset Pricing in a nutshell: With a view toward numéraire change. Version 1.0: PDF, LaTeX.
2. A note on Hagan's adjusters. Version 1.0: PDF, LaTeX.
3. Convexity adjustment: A user's guide. Version 1.0.1: PDF, LaTeX.
4. Approximation formulas for implied volatility. Version 1.0: PDF, LaTeX.
5. Elements of Hull-White model. Version 1.0: PDF, LaTeX.
6. HJM model and interest rate derivatives modelling. Version 1.0.1: PDF, LaTeX.
7. Elements of LGM model. Version 1.0: PDF, LaTeX.
8. SABR model. Version 1.0: PDF, LaTeX.
9. Covariance matrix of factors in two-factor Hull-White model under money market account numeraire. PDF, LaTeX.
10. Interest rate modeling: A summary. PDF, LaTeX.
11. Martin Bohner. Fixed Income Models. (Lecture notes for "Advanced Topics in Financial Mathematics", essentially a book summary of Brigo & Mercurio). 

Math, Probability & Statistics

1. Construction of Markov processes. Version 1.0: PDF, LaTeX.
2. Frequently used results from measure theory. Version 1.0: PDF, LaTeX.
3. Pinned diffusions. Version 1.0: PDF, LaTeX.
4. Time series models: A guide for practitioners. Version 1.0.2: PDF, LaTeX.
5. Classical linear regression model: Assumptions and diagnostic tests. Version 1.1: PDF, LaTeX.
6. Three perspectives on Jordan canonical form: matrix theory (PDF, LaTeX), spectral theory (PDF, LaTeX), module theory (PDF, LaTeX).
7. Influence curve and robust estimation (in Chinese). Version 1.0: PDF, LaTeX.
8. Density estimation and non-parametric regression (in Chinese). Version 1.0: PDF, LaTeX.
9. Random Forest cheat sheet. Version 1.0: PDF, DOC.

Practical Problems in Quant Finance

1. Large deviation property of the condition number of a rectangular random Vandermonde-like matrix. PDF, LaTeX.
2. Maximum value of the correlation between a standard normal random variable and a binomial random variable. PDF, LaTeX.
3. Numerical analysis of calibrating HW1F to caps market. PDF, LaTeX.
4. Maximum likelihood estimation of two-parameter Weibull distribution. PDF, LaTeX.
5. A semi-closed form solution to power regression. PDF, LaTeX.

Quant Summaries

  • Book Summary: Econometrics for Dummies (by Roberto Pedace). Version 1.0.5: PDF, LaTeX.
  • Book Summary: Introductory Econometrics for Finance, 2ed edition (by Chris Brooks). Version 1.0: PDF, LaTeX.

  • Course Summary: An Introduction to Statistical Learning (by Hastie and Tibshirani). Version 1.0.1: PDF, LaTeX. Videos.
  • Course Summary: MIT OpenCourseWare 18.443 Statistics for Applications, Fall 2003. Version 1.0.1: PDF, LaTeX. Course website.


Last updated: 2017-11-05.