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A Trader's Guide To Quantitative Methods (Don’t Panic ):

Basic Maths & Stats

Selected (partial) Extracts

Available at the ARTShop

(528+944/1,143 colour pages, e-Book & soft cover, +software)

 

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These links are extracts,  typically only few pages each (**).

PART I – Basic Maths

3.2	Slopes and Derivatives

3.4	Higher Order Derivatives

3.5.2	Total Derivatives

4.2.2	The “area under the curve again” – CumNorm(x) & Cos(x)

4.8.4	Example Quadrature – Digital Option

5.2.5	Example Histograms: British Petroleum – “Data Pre-Processing”

5.2.8	Example Histograms: T-Bond Implied & Historical Volatility – “Statistical Smoothening”

5.9.3	Example: Moving Correlation in Structured Products 
                 (Quanto’s, Convertible Bonds, Hedging, Bond Spreads, Asset Allocation)

6.2.3 Probability Spaces & Algebras (Borel, Sigma, etc)

6.6 Multi-Dimensional Distributions

6.9.4 A 1st “Good” Shape for Uncertainty – Commodities and Skews/Jumps

6.10 Inverse Distributions

6.12 Properties and Manipulation of Distributions

6.13 Moment Generating Functions and the Characteristic Equation

7.1 BLA and Matrices: What and Why

7.5.3 Eigenvalues and Eigenvectors

8.1 Series Expansion & Representation
 
 
 
PART II – Selected Maths

10.1	Two classes of techniques
10.15	Surfaces - Approximation of Irregular Noisy Data

11.1	Root finding is an important technique used in:
12.6	Other Models for Valuation Under Uncertainty

13	 Stochastic Calculus (that even traders can understand)
14	 Valuation Under Uncertainty – Part 2
14.5.2	Contract Effects
15	Introduction to Time Series Analysis and Dynamics
15.1.1	Traditional Time Series Analysis
15.2.2	Periodic Processes and Spectral Analysis
 
16	Introduction to Optimisation
16.2    Snapshot Optimal vs. Holding-Period Optimal

17	A First Description of Four Important Numerical Methods
17.3	Finite Difference Methods
 
18.2	PCA Example: Term-Structure Models - "how many factors are enough?" 
 

      

 

Available at the ARTShop

(528+944/1,143 colour pages, e-Book & soft cover, +software)

 

Go to TG2 Series home

(**) In read-only PDF format, only for assessment for purchase and no other reason whatsoever and may not be distributed in any manner whatsoever.

 

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Last modified: July 25, 2011