With thanks to Prof Bindel of the Big Red. I am putting this up because the wikipedia example on this is divinely lacking in what normal people consider “correct”ness or clarity of exposition. Source - qrdecomp Working implementation - qrdecomp It uses a slightly modified version of my Newton v1.10 library – all modifications will be incorporated [...]
I’m proud to present the first paper I have ever done for work – Principal Component Equivalent Deltas. It’s of literally sophomoric complexity, of course, but it helped solve an important portfolio management problem we were handling. The premise is this: much of the literature on principal component analysis in finance focuses on how well [...]
FX hw2 Pricer
Everyone’s a little bit racist It’s true. But everyone is just about As racist as you! If we all could just admit That we are racist a little bit, And everyone stopped being So PC Maybe we could live in – Harmony! – Avenue Q nb: in this post i intentionally entirely ignore gender issues [...]
Even though I am not yet a trader, I get, and ask, a fair amount of questions about this topic and so I thought I should put up some initial observations. I fully expect a fair amount of the following to be wrong – some factually wrong, some conditionally wrong, others correct but misleading. I [...]
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