Quantitative Methods

Stochastic Calculus

1. 1 Probability at Speed 8 solved exercises
2. 2 Brownian Motion 8 solved exercises
3. 3 Itô Calculus 8 solved exercises
4. 4 Stochastic Differential Equations 8 solved exercises
5. 5 Girsanov and Changes of Numeraire 8 solved exercises
6. 6 Jump Processes 8 solved exercises
7. 7 Point Processes and Hawkes Processes 8 solved exercises
8. 8 Markov Chains and Queues 8 solved exercises
9. 9 Stochastic Control 8 solved exercises
10. 10 Optimal Stopping and Impulse Control 8 solved exercises

Statistics

1. 11 Estimation 8 solved exercises
2. 12 Testing and Multiple Testing 8 solved exercises
3. 13 Resampling 8 solved exercises
4. 14 Bayesian Methods 8 solved exercises
5. 15 Robust Statistics and Heavy Tails 8 solved exercises
6. 16 Linear Models under Stress 8 solved exercises

Time Series

1. 17 Linear Time Series 8 solved exercises
2. 18 Volatility Models 8 solved exercises
3. 19 State-Space Models and the Kalman Filter 8 solved exercises
4. 20 Multivariate Series and Cointegration 8 solved exercises
5. 21 High-Frequency Econometrics 8 solved exercises

High Dimension and Optimisation

1. 22 Covariance Estimation and Random Matrices 8 solved exercises
2. 23 Convex Optimisation 8 solved exercises
3. 24 Numerical Optimisation in Practice 8 solved exercises

Numerical Methods

1. 25 Floating Point and Numerical Linear Algebra 8 solved exercises
2. 26 Monte Carlo 8 solved exercises
3. 27 Finite-Difference Methods 8 solved exercises
4. 28 Transforms, Interpolation and Algorithmic Differentiation 8 solved exercises
5. 29 Games, Auctions and Information 8 solved exercises

29 chapters — 29 online so far, and more publishing regularly. The complete book is already available as a free PDF you can read online.