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.Anote onHagan'sadjusters. 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. Largedeviationpropertyofthe conditionnumberofarectangularrandomVandermonde-likematrix.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.