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Paper / 2013SMQ / 127824847956859
When to sell Apple and the NASDAQ? Trading bubbles with a stochastic disorder model
Shiryaev, Albert N. / Zhitlukhin, M. V. / Ziemba, William T.
stochastic processesResource overview

When to sell Apple and the NASDAQ? Trading bubbles with a stochastic disorder model

Paper2013

by Shiryaev, Albert N., Zhitlukhin, M. V., Ziemba, William T.

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stochastic processes

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Suggested foundations for stochastic processes and pricing. Specialist prerequisites vary by paper.

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  1. Conditional Expectation

    Understand what it means to condition on current information.

  2. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow Brownian dynamics and the second-order term in Itô calculus.

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  1. Market Model and Risk-Neutral Valuation

    Connect stochastic dynamics to no-arbitrage prices.

  2. Simulating SDEs

    Translate continuous dynamics into a numerical experiment.

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