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[Back]= Back, Kerry. A Course in Derivative Securities: Introduction to Theory and Computation . New York, NY: Springer, 2005. ISBN: 9783540253730.
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[CLM]= Campbell, John Y., Andrew W. Lo, and A. Craig MacKinlay. The Econometrics of Financial Markets . Princeton, NJ: Princeton University Press, 1996. ISBN: 9780691043012.
[Cochrane]= Cochrane, John H. Asset Pricing . Revised ed. Princeton, NJ: Princeton University Press, 2005. ISBN: 9780691121376.
[DS]= DeGroot, Morris, and Mark J. Schervish. Probability and Statistics . 3rd ed. Reading, MA: Addison-Wesley, 2002. ISBN: 9780201524888.
[Tsay]= Tsay, Ruey S. Analysis of Financial Time Series . 2nd ed. New York, NY: John Wiley Sons, 2005. ISBN: 978047169074. Course readings. LEC TOPICS READINGS 1 Arbitrage-free pricing models
[Back], Chapter 1.
Derman, Emanuel, and Iraj Kani. 'The Volatility Smile and Its Implied Tree.' Goldman Sachs Quantitative Research Notes, January 1994. 2 Stochastic calculus and option pricing [Back], Sections 2.1-2.6, 2.8-2.9, 2.11, 13.2, 13.3, and Appendix B.1. 3 Simulation methods
[CLM], Section 9.4.
Ersatzteile g43 . Boyle, Phelim, Mark Broadie, and Paul Glasserman. 'Monte Carlo Methods for Security Pricing.' Journal of Economic Dynamics and Control 21 (1997): 1267-1321.
Glasserman, Paul. Sections 2.2, 4.1, 4.2, 7.1, and 7.2 in Monte Carlo Methods in Financial Engineering . New York, NY: Springer, 2003. ISBN: 9780387004518. 4 Dynamic portfolio choice I: Static approach to dynamic portfolio choice Reference
Cover, Thomas M. 'Universal Portfolios.' Mathematical Finance 1, no. 1 (1991): 1-29. 5 Dynamic portfolio choice II: Dynamic programming Reference
Bertsimas, Dimitris, and Andrew W. Lo. 'Optimal Control of Execution Costs.' Journal of Financial Markets 1 (1998): 1-50. 6 Dynamic portfolio choice III: Numerical approximations in dynamic programming 7 Parameter estimation
[Tsay], Sections 1.2.4, 2.4.2, and 8.2.4.
[Cochrane], Sections 11.1, 14.1, and 14.2.
[CLM], Section A.2, A.4. 8 Standard errors and tests
[Cochrane], Sections 11.1, 11.3-4, 11.7, and 20.1.
[CLM], Sections A.2-4.
Cochrane, John H. 'New Facts in Finance.' Federal Reserve Bank of Chicago: Economic Perspectives QIII (1999): 36-58. 9 Small-sample inference and bootstrap
[CLM], Section 7.2.
Efron, Bradley, and R. J. Tibshirani. Sections 4.2-4.3, 10.1-10.2, and 12.1-12.5 in An Introduction to the Bootstrap . New York, NY: Chapman and Hall, 1994. ISBN: 9780412042317.
Davison, A. C., and D. V. Hinkley. Chapter 2 in Bootstrap Methods and Their Application . Cambridge, UK: Cambridge University Press, 1997. ISBN: 9780521574716.
Stambaugh, Robert F. 'Predictive Regressions.' Journal of Financial Economics 54 (1999): 375-421. 10 Volatility models
[Tsay], Sections 3.3-3.5, 3.8.
[CLM], Sections 12.2 (Introduction), 12.2.1.
(note: there are typos in eq. 12.2.19) Slots game of thrones .
Andersen, Torben G., Tim Bollerslev, Peter Christoffersen, and Francis X. Diebold. 'Volatility and Correlation Forecasting.' In Handbook of Economic Forecasting . Edited by Graham Elliott, Clive W. J. Granger, and Allan Timmermann. Amsterdam: North-Holland, 2006, pp. 778-878. ISBN: 9780444513953.
Ghysels, Eric, Pedro Santa-Clara, and Rossen Valkanov. 'Predicting Volatility: Getting the Most Out of Return Data Sampled at Different Frequencies.' Journal of Econometrics 131 (2006): 59-95. Welcome!
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Learn more at Get Started with MIT OpenCourseWare M Sloan Phone LEC TOPICS READINGS 1 Organizational Session Part I: Distribution Systems Survey for Part I:
Muckstadt, J.A., and R.O. Roundy. 'Centralized Planning Models for Multi-Echelon Inventory Systems under Uncertainty.' Chapter 3 in Handbooks in Operations Research and Management Science . Vol. 4, Logistics of Production and Inventory , edited by S. Graves, A. H. G. Rinnooy Kan, and P. Zipkin. Amsterdam: North-Holland, 1993, 59-132
Federgruen, A. 'Continuous Review Policies for Multi-Level Inventory Systems with Stochastic Demand.' Chapter 4 in Handbooks in Operations Research and Management Science. Vol. 4, Logistics of Production and Inventory, edited by S. Graves, A. H. G. Rinnooy Kan, and P. Zipkin. Amsterdam: North-Holland, 1993, 133-74. 2 Eppen, Gary, and Linus Schrage. 'Centralized Ordering Policies in a Multi-Warehouse System with Lead times and Random Demand.' Eppen, Gary, and Linus Schrage. 'Centralized Ordering Policies in a Multi-Warehouse System with Lead times and Random Demand.' TIMS Studies in the Management Sciences. Vol. 16, Multi-Level Production/Inventory Control Systems, Theory and Practice, edited by Leroy B. Schwarz. Amsterdam: North-Holland, 1981. 3 Graves, Stephen. 'A Multi-Echelon Inventory Model for a Repairable Item with One-for-One Replenishment.' Graves, Stephen. 'A Multi-Echelon Inventory Model for a Repairable Item with One-for-One Replenishment.' Management Science 31, no. 10 (1985). 4 Roundy, Robin. '98-Effective Integer-Ratio Lot Sizing for One-Warehouse Multi-Retailer Systems.' Roundy, Robin. '98-Effective Integer-Ratio Lot Sizing for One-Warehouse Multi-Retailer Systems.' Management Science 31, no. 11 (1985): 1416-30. Part II: Assemble-to-Order Systems Survey for Part II:
Song, Jing-Sheng, and Paul Zipkin. 'Supply Chain Operations: Assemble-to-Order Systems.' Chapter 11 in Handbooks in Operations Research and Management Science. Vol. 30, Supply Chain Management, edited by T. De Kok, and S. Graves. Amsterdam: North-Holland, 2003. 5 Rosling, K. 'Optimal Inventory Policies for Assembly Systems Under Random Demand.' Rosling, K. 'Optimal Inventory Policies for Assembly Systems Under Random Demand.' Operations Research 43, no. 6 (1989). 6 Gallien, Jrmie, and Lawrence Wein. 'A Simple and Effective Component Procurement Policy for Stochastic Assembly Systems.' Gallien, Jrmie, and Lawrence Wein. 'A Simple and Effective Component Procurement Policy for Stochastic Assembly Systems.' Queueing Systems Theory and Applications 38, no. 2 (2001). 7 Lu, Yingdong, and Jing-Sheng Song. 'Order-Based Cost Optimization in Assemble-to-Order Systems.' Lu, Yingdong, and Jing-Sheng Song. 'Order-Based Cost Optimization in Assemble-to-Order Systems.' 2003. To appear in Operations Research . 8 Wang, Y., and P. Glasserman. 'Lead-time Inventory Trade-offs in Assemble-to-order Systems.' Wang, Y., and P. Glasserman. 'Lead-time Inventory Trade-offs in Assemble-to-Order Systems.' Operations Research 43, no. 6 (1998). 9 Plambeck, Erica, and Amy Ward. 'Optimal Control of High-Volume Assemble-to-Order Systems.' Plambeck, Erica, and Amy Ward. 'Optimal Control of High-Volume Assemble-to-Order Systems.' Stanford, CA: Stanford University, 2003. Part III: Forecast Evolution Models 10 Heath, D. C., and P. L. Jackson. 'Modeling the Evolution of Demand Forecasts with Application to Safety Stock Analysis in Production/Distribution Systems.' Heath, D. C., and P. L. Jackson. 'Modeling the Evolution of Demand Forecasts with Application to Safety Stock Analysis in Production/Distribution Systems.' IIE Transactions 26, no. 3 (1994): 17-30. 11 Graves, Stephen, D. B. Kletter and W. B. Hetzel. 'A Dynamic Model for Requirements Planning with Application to Supply Chain Optimization.' Graves, Stephen, D. B. Kletter, and W. B. Hetzel. 'A Dynamic Model for Requirements Planning with Application to Supply Chain Optimization.' Operations Research 46, supp. no. 3 (1998): S35-49. 12 Toktay, Beryl L., and Lawrence M. Wein. 'Analysis of a Forecasting-Production-Inventory System with Stationary Demand.' Toktay, Beryl L., and Lawrence M. Wein. 'Analysis of a Forecasting-Production-Inventory System with Stationary Demand.' Management Science 47, no. 9 (2001): 1268-81. Part IV: Short Life-Cycle Product Management 13 Fisher, Marshall, and A. Raman. 'Reducing the Cost of Demand Uncertainty Through Accurate Response to Early Sales.' Fisher, Marshall, and A. Raman. 'Reducing the Cost of Demand Uncertainty Through Accurate Response to Early Sales.' Operations Research 44, no. 1 (1996): 87-99. 14 Kurawarwala, A., and H. Matsuo. 'Forecasting and Inventory Management of Short Life-Cycle Products.' Kurawarwala, A., and H. Matsuo. 'Forecasting and Inventory Management of Short Life-Cycle Products.' Operations Research 44, no. 1 (1996): 131-50. 15 Ho, Teck-Hua, Sergei Savin, and Christian Terwiesch. 'Managing Demand and Sales Dynamics in New Product Diffusion Under Supply Constraint.' Ho, Teck-Hua, Sergei Savin, and Christian Terwiesch. 'Managing Demand and Sales Dynamics in New Product Diffusion Under Supply Constraint.' Management Science 48, no. 2 (2002): 187-206. 16 Fisher, Marshall, and Kumar Rajaram. 'Accurate Retail Testing of Fashion Merchandise: Methodology and Application.' Fisher, Marshall, and Kumar Rajaram. 'Accurate Retail Testing of Fashion Merchandise: Methodology and Application.' Marketing Science 19, no. 3 (2000): 266-78. Part V: Customer Choice Models Textbook/Survey for Part V:
Anderson, Simon, Andre de Palma, and Jacques-Francois Thisse. Discrete Choice Theory of Product Differentiation . Cambridge, MA: MIT Press, 1992. ISBN: 026201128X. 17 Mahajan, Siddharth, and Garrett van Ryzin. 'Stocking Retail Assortments Under Dynamic Consumer Substitution.' Mahajan, Siddharth, and Garrett van Ryzin. 'Stocking Retail Assortments Under Dynamic Consumer Substitution.' Operations Research 49, no. 3 (2001): 334-51. 18 Bitran, Gabriel, P. Rocha e Oliveira, and A. Schilkrut. 'Managing Customer Relationships Through Price and Service Quality.' Bitran, Gabriel, P. Rocha e Oliveira, and A. Schilkrut. 'Managing Customer Relationships Through Price and Service Quality.' Cambridge, MA: MIT Sloan School of Management, 2003. 19 Talluri, Kalyan, and Garrett van Ryzin. 'Revenue Management Under a General Discrete Choice Model of Consumer Behavior.' Talluri, Kalyan, and Garrett van Ryzin. 'Revenue Management Under a General Discrete Choice Model of Consumer Behavior.' Barcelona, Spain: Universitat Pompeu Fabra, 2000. To appear in Management Science . Part VI: Customer Service Centers Survey for Part VI:
Gans, Noah, Ger Koole, and Avishai Mandelbaum. 'Telephone Call Centers: A Tutorial and Literature Review.' Manufacturing and Service Operations Management 5, no. 2 (2003): 79-141. 20 Whitt, Ward. 'Improving Service by Informing Customers About Anticipated Delays.' Whitt, Ward. 'Improving Service by Informing Customers About Anticipated Delays.' Management Science 45, no. 2 (1999): 192-207. 21 Harrison, Michael J., and Assaf Zeevi. 'A Method for Staffing Large Call Centers Based on Stochastic Fluid Models.' Harrison, Michael J., and Assaf Zeevi. 'A Method for Staffing Large Call Centers Based on Stochastic Fluid Models.' Stanford, CA: Stanford University, 2003. 22 Pinker, Edieal J., and Robert A. Shumsky. 'The Efficiency-Quality Trade-Off of Cross-Trained Workers.' Pinker, Edieal J., and Robert A. Shumsky. 'The Efficiency-Quality Trade-Off of Cross-Trained Workers.' Manufacturing and Service Operations Management 2, no. 1 (2000): 32-48. 23 Armony, Mor, and Costis Maglaras. 'On Customer Contact Centers with a Call-Back Option: Customer Decisions, Routing Rules and System Design.' Armony, Mor, and Costis Maglaras. 'On Customer Contact Centers with a Call-Back Option: Customer Decisions, Routing Rules and System Design.' Operations Research 52, no. 2 (2004): 271-92. 24 Shumsky, Robert A., and Edieal J. Pinker. 'Gatekeepers and Referrals in Services.' Shumsky, Robert A., and Edieal J. Pinker. 'Gatekeepers and Referrals in Services.' Management Science 49, no. 7 (2003): 839-56.
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