Financial processes, 2016/17 spring semester
Requirements for the first test
Basic alpha signals (using open, close, return), and operations (rank, tsrank).
Basic properties of an alpha (PnL, IR, Sharpe, turnover).
Example turnover calculation with a seasonality signal.
Steps of the alpha signal processing (decay, neutralization, scaling), their importance.
definition of PUT and CALL options, price them on a binary tree, how much stock to buy or sell in the risk-free strategy
change of probability measure for random variables
Ito-integral, properties (izometric property, Ito-integral is martingale, etc.)
use Ito-formula, multidimensional case as well
modeling stock price with geometric Browninan motion, integral and derivate formula
Vasicek interest rate model
CAPM model
Theorems and methods from homeworks