744 pages; Convex and Quasiconvex Functions; Quantitative and Qualitative Treatments to Capital Markets
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We continue our notes on convex optimisation, from our last post on convexity preserving set operations to discussions on convex and quasiconvex functions. This should lead us to just a few more posts covering the first 3 chapters in Boyd and Vandenberghe, which readers always bring up as the biggest challenge in understanding that text. Our notes can be used as supplementary notes, which goes into much more details into the technical intricacies between the assertions made in the primary text.
Our notes now stretch across many different topics in quantitative practice, and is evolving as an invaluable handbook for many quants. As we finish convex optimization, we will pick up more on scientific programming and also introduce quantitative backtesting into one of the chapters in our lecture notes.
table of contents:
full notes (744 pages):