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Book Recommendation for Aspiring Quants: "Introduction to Stochastic Finance with Market Examples" by Nicolas Privault As a Quantitative Analyst deeply immersed in the intricacies of financial mathematics, I highly recommend Nicolas Privault's book, "Introduction to Stochastic Finance with Market Examples." Key Features: Comprehensive Coverage: This book serves as an introduction to a diverse array of financial mathematics topics, including Black–Scholes pricing, exotic and American options, term structure modeling, change of numéraire, stochastic volatility, and models with jumps. Analytical and Probabilistic Methods: Privault skillfully navigates through the mathematics of pricing and hedging in both discrete and continuous-time financial models. The emphasis on complementarity between analytical and probabilistic methods is particularly noteworthy. Having personally benefited from this book, I recommend it to those seeking to deepen their expertise in financial mathematics and quantitative finance. #QuantitativeFinance #StochasticProcesses #FinancialMathematics #Physics #DataScience #Economics

Today, I taught a course on "Creation of Probabilistic Models for the Financial Market." The course aimed to introduce students to quantitative finance using the methodology of the well-known investor Robert Pardo, as explained in his book “The Evaluation and Optimization of Trading Strategies.” In his book, Robert Pardo explains the Walk Forward Analysis (WFA) and Walk Forward Efficiency methodologies, which are techniques used to test the robustness of probabilistic models and analyze obtained metrics in the best possible way. The book covers important points about creating probabilistic models, such as historical simulations, model optimization, overfitting, WFA, and WFE. I would like to express my gratitude to the coordinator, Professor Dr. Vanessa Rolnik, for providing me with the opportunity to develop this course. From the beginning, I aimed to present didactic knowledge about quantitative finance, showcasing an area of expertise where various mathematicians, including Jim Simons, Robert Mercer, and Edward Thorp, have left their legacies.

Looking forward to speaking tomorrow on 'Smile Dynamics and Rough Volatility' at Columbia University's Mathematical Finance Seminar Series. Many thanks to Marcel Nutz for the invitation! #columbiauniversity #quantfinance #seminar #finance #mathematics

Our Gann Theory Study Guide brings the power of Gann’s techniques to traders of all levels. If you’re looking for practical tools to apply in forecasting and trading, this guide offers a curated selection of works that break down Gann’s concepts into actionable insights. Each author has distilled years of research into comprehensive methodologies that will help you accelerate your understanding of Gann’s theories. Visit our website today to explore how this guide can elevate your understanding of Gann Theory: https://bit.ly/3VBHmBH #GannTheory #MarketForecasting #TradingTechniques #CosmoEconomics #MarketInsights #TradingTools #ProfessionalTraders #TradingEducation #MarketSuccess #InnovativeFinance

This book shows how Stochastic Differential Equations need to be taught to students of Financial Engineering.

I am happy to share that our new paper, ‘Shapley Curves: A Smoothing Perspective’ is forthcoming in the Journal of Business & Economic Statistics: https://lnkd.in/eUphFQUv ✅ The paper fills the limited statistical understanding of Shapley values as a variable importance measure from a nonparametric perspective. We derive asymptotic results for the Shapley values and provide a consistent bootstrap approach to estimate confidence intervals. It works well in finite sample, I promise! Many thanks to my collaborators Dr. Georg Keilbar and Wolfgang Karl Härdle for the productive work, it has been fun! #MachineLearning #VariableImportance #Bootstrap #ExplainableML #Statistics

Joining Western University #Financial #Economics #Faculty page. I am excited about cross departmental collaborations between different research modelling areas. https://lnkd.in/gV-GRuci Letitia Golubitsky, Ph.D Faculty Lecturer, #Statistical and #Actuarial #Science #Department Research Interests / Specializations: Financial Mathematics, Counterparty Credit Risk, Market Risk, Commodities modelling, Machine Learning models for Finance Teaching: Mathematics of Financial Options WSC 214A

𝟯𝗿𝗱 𝗘𝗱𝗶𝘁𝗶𝗼𝗻 𝗼𝗳 𝗪𝗶𝗱𝗲𝗹𝘆 𝗔𝗱𝗼𝗽𝘁𝗲𝗱 𝗧𝗲𝘅𝘁𝗯𝗼𝗼𝗸 𝗶𝗻 𝟮𝟮 𝗖𝗼𝘂𝗻𝘁𝗿𝗶𝗲𝘀 𝘼𝙣 𝙄𝙣𝙩𝙧𝙤𝙙𝙪𝙘𝙩𝙞𝙤𝙣 𝙩𝙤 𝘿𝙚𝙧𝙞𝙫𝙖𝙩𝙞𝙫𝙚 𝙎𝙚𝙘𝙪𝙧𝙞𝙩𝙞𝙚𝙨, 𝙁𝙞𝙣𝙖𝙣𝙘𝙞𝙖𝙡 𝙈𝙖𝙧𝙠𝙚𝙩𝙨, 𝙖𝙣𝙙 𝙍𝙞𝙨𝙠 𝙈𝙖𝙣𝙖𝙜𝙚𝙢𝙚𝙣𝙩 (3𝙧𝙙 𝙀𝙙𝙞𝙩𝙞𝙤𝙣) by Leading academic expert on derivatives 𝗥𝗼𝗯𝗲𝗿𝘁 𝗔 𝗝𝗮𝗿𝗿𝗼𝘄 (Cornell University) and his former student Arkadev Chatterjea. The book is written in a lucid style, with easy-to-follow economic and logical arguments. Everything is developed from scratch; only high school mathematics is needed to understand more than 90 percent of the material. Yet, the book has deep insights and practical material that are often absent in other books. Check out the book at https://lnkd.in/gusvHRgr. 𝘞𝘩𝘢𝘵 𝘖𝘵𝘩𝘦𝘳𝘴 𝘈𝘳𝘦 𝘚𝘢𝘺𝘪𝘯𝘨 𝘈𝘣𝘰𝘶𝘵 𝘚𝘦𝘤𝘰𝘯𝘥 𝘌𝘥𝘪𝘵𝘪𝘰𝘯: "𝘛𝘩𝘪𝘴 𝘣𝘰𝘰𝘬 𝘪𝘴 𝘢 𝘨𝘳𝘦𝘢𝘵 𝘳𝘦𝘴𝘰𝘶𝘳𝘤𝘦 𝘧𝘰𝘳 𝘢 𝘳𝘪𝘨𝘰𝘳𝘰𝘶𝘴 𝘪𝘯𝘵𝘳𝘰𝘥𝘶𝘤𝘵𝘪𝘰𝘯 𝘵𝘰 𝘥𝘦𝘳𝘪𝘷𝘢𝘵𝘪𝘷𝘦𝘴, 𝘣𝘰𝘵𝘩 𝘱𝘳𝘪𝘤𝘪𝘯𝘨 𝘢𝘯𝘥 𝘮𝘢𝘳𝘬𝘦𝘵𝘴. " - 𝗗𝗿 𝗧𝗵𝗶𝗷𝘀 𝘃𝗮𝗻 𝗱𝗲𝗿 𝗛𝗲𝗶𝗷𝗱𝗲𝗻, University of Melbourne, Australia "𝘐 𝘩𝘢𝘷𝘦 𝘳𝘦𝘢𝘥 𝘵𝘩𝘦 𝘸𝘩𝘰𝘭𝘦 𝘣𝘰𝘰𝘬 𝘢𝘯𝘥 𝘐 𝘧𝘪𝘯𝘥 𝘪𝘵 𝘦𝘹𝘤𝘦𝘭𝘭𝘦𝘯𝘵. 𝘐𝘵'𝘴 𝘢 𝘨𝘳𝘦𝘢𝘵 𝘣𝘭𝘦𝘯𝘥 𝘰𝘧 𝘵𝘩𝘦𝘰𝘳𝘺 𝘢𝘯𝘥 𝘵𝘩𝘦 '𝘪𝘯𝘴𝘵𝘪𝘵𝘶𝘵𝘪𝘰𝘯𝘢𝘭' 𝘢𝘴𝘱𝘦𝘤𝘵𝘴 𝘰𝘧 𝘥𝘦𝘳𝘪𝘷𝘢𝘵𝘪𝘷𝘦𝘴 𝘵𝘳𝘢𝘥𝘪𝘯𝘨." - 𝗣𝗿𝗼𝗳𝗲𝘀𝘀𝗼𝗿 𝗥𝗮𝗳𝗮𝗲𝗹 𝗱𝗲 𝗦𝗮𝗻𝘁𝗶𝗮𝗴𝗼, IESE Business School, Spain Sample chapter available at https://lnkd.in/gqkKYiqC. Get your copy at https://lnkd.in/gusvHRgr. Quote "WSMGT25" for a 25% off, valid till 31 Aug 2024. #Derivatives #FinancialMarkets #RiskManagement #FinancialEngineering #DerivativeSecurities