**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