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Mar 07, 2010: The Strange Equation of physics that turned our world Upside Down  |
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Feb 10, 2010: Valuation of Callable Options and Structures |
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Dec 18, 2009: Maximizing Entropy and the 50:50 rule in the financial markets |
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Nov 12, 2009: Raising Transition Probability Matrices to Non-Integer powers - a problem in Quantitative Finance |
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Oct 25, 2009: How do we model Stochastic Correlations? |
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Oct 13, 2009: Fibonacci Numbers and the Golden Ratio - An Eigenvalue problem |
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Oct 12, 2009: What is Model free Implied Volatility? |
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Sep 22, 2009: Analysing the Determinant of a Variance-Covariance or a Correlation Matrix |
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Sep 14, 2009: In Finance, we use the counterintuitive, Physics-type “Randomness” |
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Sep 09, 2009: What are “Linear” and “Non-Linear” systems?
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Aug 09, 2009: Understanding the Black-Scholes Partial Differential Equation (PDE)
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May 16, 2009: Why are Asset paths unpredictable in the short run?
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May 10, 2009: Why do we have Log Returns in continuous time finance? |
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May 08, 2009: How Random are Random Numbers in a Monte Carlo Simulation problem |
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Mar 25, 2009: When a Stochastic Differential Equation blows up on an Excel spreadsheet |
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Feb 26, 2009: The Problem with the Probability measure |
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Jan 01, 2009: Uncertainty Principle in Quantitative Finance and Probabilistic Correlation |
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Dec 27, 2008: Quantum Random Walk - Could this be a model of Financial Assets? |
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Dec 19, 2008: The "Zero-Space" in interest rates, financial assets, and our lives! - Part II |
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Dec 17, 2008: The "Zero-Space" in interest rates, financial assets, and our lives! - Part I |
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May 22, 2008: Parabolas in Financial Markets |
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Oct 10, 2007: Volatility, Correlation and the Variance-Covariance Matrix |
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May 04, 2007: Partial Differential Equations in Finance |
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Feb 24, 2007: Cleaning a Correlation Matrix of Asset Returns - Spreadsheet Example |
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Feb 15, 2007: Principal Components Analysis and the Cholesky Decomposition |
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Jan 28, 2007: Monte Carlo Integration on Excel spreadsheet |
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Oct 03, 2006: Using Point Biserial Correlation in Credit Analysis |
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Sep 28, 2006: Mathematics for Traders |
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Jun 25, 2006: Breakdown of Credit Correlation Matrix for a First to Default Basket |
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Jun 01, 2006: Monte Carlo Simulation by Cholesky or PCA?-Part II |
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Jun 01, 2006: Monte Carlo Simulation by Cholesky or PCA?-Part I |
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May 17, 2006: A Beginner's Guide to Credit Derivatives |
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May 08, 2006: CDO Pricing Puzzle - Hoping for a "Model Nirvana" |
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Apr 22 2006: Enhanced Numerical Methods with for Options with Barriers |
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Apr 04, 2006: Arc Sine Law-A Trader's Dilemma |
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Mar 11, 2006: Interest Rates and Newton's Law of Cooling |
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Mar 06, 2006: Interest Rate as a Call Option |
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Feb 12, 2006: Derivatives Quiz # 1 |
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Oct 20, 2005: Why so much fuss about Taylor Series Expansion? |
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Sep 05, 2005: Black-Scholes in English |
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Aug 23, 2005: Once Again an Infinite Series |
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Jun 27, 2005: A Simple Credit Risk Model for Emerging Markets |
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Jun 17, 2005: An Infinite Problem |
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Apr 12, 2005: Pricing Exotics Under Smile
(As appeared in Risk Magazine in November 1999 and J P Morgan, September, 1999) |
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Apr 04, 2005: The Back of Beyond |
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Apr 04, 2005: Asian Connections |
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Mar 23, 2005: Lessons in Stock Picking: A Stock-picker Eyes Late Stage Cyclicals
Traders, NY |
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Mar 21, 2005: Option Pricing with Pizzas |
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Mar 06, 2005: Model Risk and Its Control
This is an excellent paper on Model Risk, the mother of all risks, by Toshiyasu Kato and Toshinao Yoshiba of Bank of Tokyo Mitsubishi and Bank of Japan published in December 2000. We strongly recommend all quants to read this paper thoroughly. |
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Feb 21, 2005: De-Mystifying "Rocket Science" |
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Feb 10, 2005: Blowing Up - How Nassim Taleb Turned The Inevitability Of Disaster Into An Investment Strategy
(Posted with permission) |
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