CS286r Readings

Reading for 25 April:
Reading for 11 April:

An afterthought from our risk class on 4 April:

Reading for 21 March:
Reading for 14 March: The reading to prepare for the 14 March 2008 lecture is as follows:
There are 2 handouts about HW3 questions:

Reading for 7 March:

Reading for 29 February:

There are two papers on artificial neural networks applied to finance, and one on ARCH/GARCH models for nonlinear time series, which will be revelant in our future reading.

Reading for 22 February:
Reading for 15 February:
Voit: (PDF Part 1, PDF Part 2)
Chap 4, except 4.5.8 on volatility indices
Chap 5 : 5.1 to 5.4 and 5.6.4
Chap 7: 7.1 to 7.4

Your peers' submitted homeworks on asset classes from last week are not required reading.

Reading for 8 February:
  1. Voit, Chapters 1, 2
    PDF Excerpt
    You should study Chapter 2 as thoroughly as possible; while it is brief, it is crucial. Chapter 3 is optional this week.
  2. Taleb, Chapter 10
    PDF, pp. 135-161 PDF, pp. 162-164
  3. Lo and MacKinlay: Introduction, Chapters 1, 2
    PDF Excerpt
  4. [Now Optional for this week] Ross, Chapters 4-6
    You will need to be familiar with the material in chapters 1-3.