A collection of short notes on topics including change of measure, the Girsanov theorem, and the fundamental theorem of asset pricing.
Iterative solvers, preconditioning strategies, and low-rank approximations are discussed in the context of large covariance matrix estimation.
The axiomatic theory of coherent risk measures is reviewed, with emphasis on CVaR, spectral measures, and their use in regulatory capital models.
We survey neural network methods for option pricing and hedging, including deep BSDE solvers and physics-informed networks.
A practitioner-oriented overview of signal construction, execution algorithms, and portfolio optimisation techniques used in systematic trading.