Poisson Processes and Jump Pricing Models (Market Notes, 556 Pages)
In the last notes, we discussed modelling of the interest rate term structure. In this notes, we extend the compiled notes. Section 5.17 now contains discussion on exponential random variables, poisson distributions and poisson processes. Section 12.9 contains treatment of martingale jump processes and pricing of options under the jump model.
In the previous post, we published our formulaic alpha report:
In the next week, our formulaic alpha report will be a documentation on interpretation of the quantitative alpha formulas.
The previous post on portfolio management discussed and implemented the shrinkage technique coined the EPO method by AQR, which involved shrinking the correlation matrix to reduce the weighting on low variance principal component portfolios:
In the upcoming posts, we extend the discussion on both portfolio management and linear algebra theory.
