1. Introduction In this post, I work through Adding and Subtracting Black Scholes, JFE (2011) by Antonio Mele and Dennis Kristensen. This paper develops a method for approximating the price of an asset where no closed form expression exists. In the … [Continue reading]

# The Buckingham Pi Theorem

1. Introduction In this post I outline the Buckingham $\pi$ Theorem which shows how to use dimensional analysis to compute answers to seemingly intractable physical problems. For instance, in $1950$ Geoffrey Taylor used the theorem to work out the … [Continue reading]

# Notes: Glosten and Milgrom (1985)

1. Introduction In this post, I replicate the main results from Glosten and Milgrom (1985) using the setup outlined in Back and Baruch (2003). I begin in Section $2$ by laying out the continuous time asset pricing framework. I consider the behavior … [Continue reading]

# Protected: Notes: Levy (2010)

This content is password protected. To view it please enter your password below: Password: … [Continue reading]

# CRSP Data Summary Statistics by Industry

1. Introduction In this post, I compute industry level summary statistics the CRSP monthly file using $2$ different industry classification schemes: Fama and French (1988) Moskowitz and Grinblatt (1999) All of the code for the results below … [Continue reading]