Statistics
The Kelly criterion and fixed fraction betting is briefly introduced and extended to left bounded profit/loss distributions (i.e. profit/loss distributions that are bounded from the left). Various inequalities are studied and analytical tools are offered. Click here for the full text. Introduction### Let $X$ be a real
Statistics
Hidden Markov models (HMMs) are briefly introduced and the major results are collected: Maximum likelihood inference, the Baum-Welch algorithm, and Monte-Carlo approaches. The document also contains an overview of selected HMMs that are of particular practical use. Click here.
Statistics
The economic factor model is an affine term structure model where the factors have a particular economic interpretation. The general affine n-factor term structure model is presented and the EFM as a special case is developed in detail. The results include general expressions for dynamics bond prices, forward curves and