• The repository covers the following topics: asset pricing theory and its applications, financial optimization, market equilibrium,marketfrictions, dynamics trading strategies, risk management, and selected advanced topics in financial engineering and technology (C++ & Python Java & Visual Basic).

• Stochastic modeling in finance
  • State-space model
  • Securities market
  • Trading strategies
  • Complete markets and state prices
  • Arbitrage
• Monte Carlo simulations
• Arbitrage pricing
  • Fundamental Theory of Asset Pricing (FTAP)
  • Pricing by arbitrage
  • State price density (SDP)
  • Risk-neutral pricing
  • Relating physical and risk-neutral probabilities
  • Martingale
• Continuous-time models
  • Brownian motion
  • Stochastic calculus
  • Payoff and price processes in continuous-time
  • Dynamic trading, replication and hedging in continuous-time
  • FTAP in continuous-time
  • Risk-neutral pricing in continuous-time
• Applications
  • Return, risk and dynamic trading
  • Derivative pricing, hedging and replication
  • Stochastic volatility
  • Credit risk and pricing
  • Interest rate models
  • Linear factor models

• Expected utility theory
• Consumption-saving/portfolio decisions
• Dynamic programming
• Optimal consumption-portfolio choices under complete markets
• Optimal consumption-portfolio decision in continuous time
• Optimization with constraints
• Applications
  • Dynamic portfolio choices
  • Optimal order execution
  • Optimal trading strategy with constraints: margin/leverage, draw-downs
  • Asset-liability management

• Equilibrium analysis
• Equilibrium asset-pricing models
  • Capital Asset Pricing Model (CAPM)
  • Intertemporal Capital Asset Pricing Model (ICAPM)
  • Consumption-based Capital Asset Pricing Model (CCAPM)
• Applications
  • Equilibrium models for interest rates (Cox-Ingersoll-Ross etc)
  • Equilibrium implications on market leverage, asset allocation, risk premium and volatility

• Asymmetric information
  • Rational expectations and market efficiency: Grossman-Stiglitz model
  • Market micro-structure: Kyle model, Glosten-Milgrom model
• Incomplete markets and constraints
  • Liquidity risk
  • Limits to arbitrage
  • Heterogeneous beliefs and mispricing

• Methodology: numerical approach to dynamic programming
• Optimal order execution
• Dynamic portfolio strategies with margin constraints and liquidity risk
• Risk management: basis risk, liquidity risk

This project is licensed under the MIT License - see the LICENSE file for details