07.26¶
Changed the book blocks structure to introduce a new block on Advanced Analytics for Financial Markets. Completed first version of execution tactics and LOB modelling chapters. Updated the glossary section. Provided extra supporting notebooks. Fixed errors.
06.26¶
Added a new chapter on data-driven methods covering the mathematical foundations of machine learning. Completed the financial instruments chapter. Included chapters on optimal market making, optimal execution, and optimal investment theory. Revised the chapter structure for the algorithmic trading section. Continued work on the Agentic AI, Bayesian Theory, and Causal Inference chapters.
05.26¶
Added new sections to the Algorithmic Trading and Fair Price Estimation chapters. Fixed various typos throughout.
02.26¶
Added new sections to the Algorithmic Trading chapters.
12.25¶
Expanded the Fair Price Estimation chapter with fundamental models for fair pricing, including the stochastic discount factor framework, illustrated with an extensive fixed income example. Added new sections to the Algorithmic Trading and Financial Instruments chapters. Fixed citation and reference typos.
11.25¶
Began the Algorithmic Trading chapter, covering the general taxonomy of trading strategies. Continued the Financial Instruments chapter and extended the discussion of fair value estimation using Kalman filters to include a treatment of specific pricing sources.
10.25¶
Completed the Kalman filter section on fair price estimation, including a simulation-based numerical example. Began the Financial Instruments chapter.
09.25¶
Completed the latent variable models section in the Bayesian Probability chapter, including EM algorithm derivations for the Gaussian Mixture Model, the Hidden Markov Model, and the Local Level Model (a simplified Kalman filter). Added supporting simulations in the accompanying notebooks.
08.25¶
Began the RFQ Models chapter, covering a general model of the request-for-quote process and specific models for RFQ arrival, attrition risk, and abnormal client behaviour. A new notebook provides full simulation code for synthetic client data and model implementations. Continued work on the Generative AI and Bayesian chapters.
05.25¶
Derived the Kalman filter and smoother equations for the local level model. Developed the Introduction to Bayesian Probability and Decision Theory chapter.
02.25¶
Began the Kalman filter section on mid-price estimation. Started the Generative AI chapter.
01.25¶
Completed a first version of the Financial Markets and Market Structure chapter.
12.24¶
Completed a first version of the Market Microstructure chapter.
11.24¶
Began the Financial Markets and Market Microstructure chapters, with particular emphasis on the central limit order book. Added notebooks on market microstructure. Added simulations of stochastic processes to the Stochastic Calculus chapter.
10.24¶
Added sections on jump processes and extended the stochastic process simulations in the accompanying notebooks. Added a discussion of the market price of risk for options in the Fair Price Estimation chapter.
09.24¶
Added the arbitrage-free theory of options (Black–Scholes–Merton theory) to the Fair Price Estimation chapter.
05.24¶
Began the Fair Price Estimation chapter. Added a section on pricing derivatives via utility indifference theory.
03.24¶
Created the online book. Began work on the Financial Markets, Bayesian Modelling, and Stochastic Calculus chapters.