Explores the link between exchange rates and asset returns, including nominal and real rates, equilibrium exchange rate, and FX options.
Covers the fundamental theorems of asset pricing, including EMM, self-financing strategies, risk-neutral pricing, and completeness of markets.
Provides an in-depth analysis of factor investing, including value and growth stocks, small and big stocks, and the momentum anomaly.
Covers the Capital Asset Pricing Model, estimating betas, empirical evidence on returns versus beta, short-sale constraints, and optimal portfolio choice.
Explores turbulence characteristics, simulation methods, and modeling challenges, providing guidelines for choosing and validating turbulence models.
Explores asset pricing, equity premium puzzle solutions, stock prices, dividends, CAPE, and interest rate structures.
Covers financial markets structure, participants, government debt, asset managers, market sizes, derivatives, trading frequencies, orders, and portfolio returns.
Explores degree of freedom analysis, redundancy, and data reconciliation in process modeling and optimization.
