Term Structure Modelling (Market Notes, 521 pages)
In our last paper we explored the Ledoit-Wolf constant correlation shrinkage method for covariance estimation.
This week, we update our market notes, adding Chapter 12.8 on Term Structure Models. This leaves the last chapter on jump processes for the theoretical treatments to stochastic calculus.
The next few posts will update and contain Python code for our Alpha library which is the Russian Doll backtesting module for alphas, designed to be a powerful and flexible tool for running our quantitatve (multi) strategy systems. This will make use of the benchmark datasets introduced here:
Table of Contents:
Full Notes: (paid)