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Poisson Processes and Jump Pricing Models (Market Notes, 556 Pages)
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Poisson Processes and Jump Pricing Models (Market Notes, 556 Pages)

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HangukQuant
May 16, 2023
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HangukQuant Research
HangukQuant Research
Poisson Processes and Jump Pricing Models (Market Notes, 556 Pages)
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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:

Formulaic Alphas

Formulaic Alphas

HangukQuant
·
May 13, 2023
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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:

Quantitative Portfolio Management in Python - AQR EPO 2020 X Russian Doll

Quantitative Portfolio Management in Python - AQR EPO 2020 X Russian Doll

HangukQuant
·
May 10, 2023
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In the upcoming posts, we extend the discussion on both portfolio management and linear algebra theory.

Preview of Market Notes and TOC (Pages <= 50)

Market Notes Pg 1 50
570KB ∙ PDF file
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Full Market Notes (556 Pages, Paid)

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