Release Notes

09.25

Completed the section on latent variable models within the Introduction to Bayesian Probability chapter. Added EM derivations for the Gaussian Mixture Model, the Hidden Markov Model and the Local Level Model (simple version of the Kalman Filter). Provided simulations in the accompanying notebooks.

08.25

Started section on RfQ models, describing a general model for the RfQ process, as well as models for the arrival of RfQs, attrition risk and abnormal client behavior. A new notebook has been uploaded with the full code for the simulation of synthetic client data and implementations of the models. Additionally, worked on Gen AI and Bayesian chapters.

05.25

Kalman filter and smoothing derivation for local level model. Introduction to Bayesian probability and decision theory.

02.25

Kalman filter models for mid-price estimation section started. New chapter on Gen AI started.

01.25

First version of intro to financial markets and market structure chapter finished.

12.24

First version of market microstructure chapter finished.

11.24

Started chapters on financial markets and market microstructure, with particular emphasis on the central limit order book. Added new notebooks on market microstructure. Added simulation of processes in stochastic calculus chapter

10.24

Added jump processes sections. Added several simulations for stochastic processes, including code in the notebooks section. Added market price of risk for options discussion in the Fair price estimation chapter.

09.24

Added section for the arbitrage - free theory of options (Black - Scholes - Merton theory) within the Fair Price Estimation chapter

05.24

Started working on chapter Fair Price Estimation. Added section on how to price derivatives using utility indifference theory

03.24

Created online book. Started work on the following chapters: Financial Markets, Bayesian Modelling and Stochastic Calculus