Over the years I have written quite a few posts on finance and financial mathematics, based on the work I was doing at the time as a derivatives quant within various investment banks. Some of my post popular posts have been: How to calculate option prices in your head How to understand fixed-income trader jargon … Continue reading Introduction

My chess-learning diary, part 2

Loving lichess.org Over the last week since I wrote part 1 of this diary, I have spent most of my chess time in lichess.org. I have been getting familiar with the features, doing a few puzzles, watching some games, browsing some studies and generally just enjoying it all. Being too timid to play against a … Continue reading My chess-learning diary, part 2

Smalltalk collections for Python coders

One of the great things about Python is the way you can easily juggle items around in collections -- lists, dictionaries, sets -- and the shortcuts you get when you combine them. For example, to get a unique collection of elements in a list: list(set(my_list)) will do it. Similar things happen in Smalltalk but these … Continue reading Smalltalk collections for Python coders

The easy route to risk-neutral measure pricing

The principle of pricing in the risk-neutral measure is the foundation of quantitative analysis. I have already written a post which gives an intuitive description of the concept of a risk premium and which discusses some aspects of the risk-neutral approach (see here). In this post I want to look again at risk-neutral pricing. It … Continue reading The easy route to risk-neutral measure pricing

What is Functional Programming and what does it do for you?

This is a good example here of a bad explanation of FP: basically saying that FP is intelligent whilst non-FP is dumb. I recently read a couple of blog posts by Kris Jenkins which give his answers to the questions: What is functional programming? Which languages could be said to be functional programming languages? I … Continue reading What is Functional Programming and what does it do for you?