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Rachev, Hsu, Bagasheva, Fabozzi:

Bayesian Methods in Finance

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Table Of Contents

Chapter 1: Introduction.

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Chapter 2: The Bayesian Paradigm.

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Chapter 3: Prior and Posterior Information, Predicative Inference.

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Chapter 4: Bayesian Linear Regression Model.

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Chapter 5: Bayesian Numerical Computation.

Lecture Notes (requires Adobe Acrobat Reader)

Chapter 6: Bayesian Framework for Portfolio Allocation.

Lecture Notes (requires Adobe Acrobat Reader)

Chapter 7: Prior Beliefs and Asset Pricing Models.

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Chapter 8: The Black-Litterman Portfolio Selection Framework.

Lecture Notes (requires Adobe Acrobat Reader)

Chapter 9: Market Efficiency and return Predictability.

Lecture Notes (requires Adobe Acrobat Reader)

Chapter 10: Volatility Models.

Lecture Notes (requires Adobe Acrobat Reader)

Chapter 11: Bayesian Estimation of ARCH-Type Volatility Models.

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Chapter 12: Bayesian Estimation of Stochastic Volatility Models.

Lecture Notes (requires Adobe Acrobat Reader)

Chapter 13: Advanced Techniques for Bayesian Portfolio Selection.

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Chapter 14: Multifactor Equity Risk Models.

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