Introduction

The “Checklist”

Equities

Currencies

Fixed-income

Derivatives

Credit

High frequency

Strategies

The final output

Efficiency: random walk

Mean-reversion (continuous state): ARMA

Mean-reversion (discrete state): Markov chains

Long memory: fractional integration

Volatility clustering

Multivariate quest

The final output

Setting the flexible probabilities

Historical

Maximum likelihood

Bayesian

Shrinkage

Generalized method of moments

Robustness

Missing data

(Dynamic) copula-marginal

The final output

Points of interest, pitfalls, practical tips

One-step historical projection

Analytical

Historical

Application: multivariate Markov chains

The final output

Points of interest, pitfalls, practical tips

Exact repricing

Carry

Taylor approximations

The final output

Static market/credit risk

Stress-testing

The final output

The final output

Top-down exposures: factors on demand

Application: hedging

The final output

Minimum-torsion bets attribution of variance

The final output

The final output

Simplistic portfolio construction

Advanced portfolio construction

Expected utility maximization

Option based portfolio insurance

Rolling horizon heuristics

Signal induced strategy

Convexity analysis

The final output

Points of interest, pitfalls, practical tips

Factor models and learning

Regression LFM’s

Principal component LFM’s

Systematic-idiosyncratic LFM’s

Cross-sectional LFM’s

Ensemble learning

Dynamic principal component

Linear state space models

Hidden Markov models

Finite set of times to maturity

The continuum limit

Maximum likelihood

Bayesian

Regularization

Logistic regression

Interactions

Encoding

Regularization

Trees

Gradient boosting

k-means clustering

Valuation

Fundamental axioms

Stochastic discount factor

Fundamental theorem of asset pricing

Risk-neutral pricing

Capital asset pricing model framework

Completeness

Intertemporal consistency

Options

Fixed-income

Performance analysis

Pitfalls and practical tips

Quant toolbox

Efficiency: Lévy processes

Mean-reversion (discrete state)

Long memory: fractional Brownian motion

Volatility clustering

Ornstein-Uhlenbeck

Technical signals

Microstructure signals

Signal processing

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