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 | [CL&M], Section 9.4. 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 | ### ReferenceCover, Thomas M. "Universal Portfolios." *Mathematical Finance* 1, no. 1 (1991): 1-29. |

5 | Dynamic portfolio choice II: Dynamic programming | ### ReferenceBertsimas, 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. [CL&M], Section A.2, A.4. |

8 | Standard errors and tests | [Cochrane], Sections 11.1, 11.3-4, 11.7, and 20.1. [CL&M], 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 | [CL&M], 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. [CL&M], Sections 12.2 (Introduction), 12.2.1. (note: there are typos in eq. 12.2.19) 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. |