Finance, Economics and Statistics documents
Finance/Economics
Fixed Income Know-How
This is an introduction to the basic notions, conventions and applications of the term structure of interest rates, commonly called the yield curve. Here you will find a discussion of the basic notions like interest rate, discount factor zero, par and forward curve, and slightly more advanced topics. This introduction evolved from a handout for finance professionals who are not fully acquainted with the fixed income area. A pdf version of the document is available upon request.
The Kelly criterion and fixed fraction betting
The Kelly criterion and fixed fraction betting is briefly introduced and extended to left bounded profit/loss distributions (i.e. profit/loss distributions that are bounded from the left). Various inequalities are studied and analytical tools are offered.
The Economic Factor Model and a class of affine term structure models
The economic factor model is affine term structure model where the factors have a particular economic interpretation. In the document the general affine n-factor term structure model is presented and the EFM as a special case is developed in detail.
Statistics
Hidden Markov Models
Hidden markov models are briefly introduced and the major results are collected: Maximum likelihood inference, the Baum-Welch algorithm, and Monte-Carlo approaches. The document also contains an overview of selected HMMs that are of particular practical use.
Only in English / Nur in Englisch / Solamente in inglese / Seulement en anglais