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Jun 15, 2010: Estimating Correlation Vega of a Basket  |
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Apr 15, 2010: The Need for a Brownian Bridge to value Derivatives |
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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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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 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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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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