State Space Geometry of Asset Pricing: An Introduction

Auteur(s)

Igor Pozdeev

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Description

This note is aimed at familiarizing the reader with state space geometry, a useful tool in teaching asset pricing concepts. Building on the analogy between expectation and dot product, I visualize basic notions using Euclidean geometry in 2D and 3D. Numerical examples are given such that the reader could easily follow the explanations.

Sujets

Sciences economiques > Monnaie et marchés financiers

Institution partenaire

Université de St-Gall - Schools of Management

Langue

English

Date

2015