One of my favourite abstract painters is Richard Diebenkorn. Click here to see an Art Blog which has a post on his most famous Ocean Park Series. Click here for a link to a blog showing one of the Dibenkorn's canvases in an NY apartment. In these sorts of works it is fascinating how you can see … Continue reading Experimentation in Art & non-deterministic grammars
Month: December 2011
Intuition for the forward FX equation
Every quant knows the expression that defines a forward FX rate on date t with maturity T: where B_f is the foreign discount factor and B_d is the domestic discount factor. But what is the best way to explain this intuitively? Here is my suggestion. Let's pick an example pair, say EUR and CHF, and see … Continue reading Intuition for the forward FX equation
Some links on Lisp
Curious about the programming language Lisp? Follow these few links to some thought-stimulating commentary and sites. lisperati: a fun introduction to Lisp. Lisp as super-powered XML: I thought this article was a pretty good go at describing what is great about Lisp. Paul Graham: generally interesting chap who made a lot of money with a … Continue reading Some links on Lisp
PhD Mathematics
For anyone interested, here are a few links to academic articles I wrote during my PhD on probability theory. I would say that one of the most pleasing parts of the work I completed for my thesis was that we managed to find the right mathematical way to describe a complex problem, which essentially made … Continue reading PhD Mathematics
Introduction
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
Speaking with a rates trader: cents or bips?
As everyone knows: one basis point is 0.01%, and one cent is 0.01% too. The difference is that we typically use cents when we refer to an upfront price, and use bips when we refer to a rate (in a swap for example). So a trader may ask: "what is 3 bps worth upfront?" which … Continue reading Speaking with a rates trader: cents or bips?
Ito’s product and quotient rules as described by a trader
Ito's product and quotient rules are a corollary of the Ito lemma, and are one of the most important parts of the stochastic-calculus toolkit. When I first started working as a quant I managed to find an alternative form for the rules which sits well in a Black-Scholes type of world and corresponds more closely … Continue reading Ito’s product and quotient rules as described by a trader
The power of notation in problem solving
It's trivial when you think about it: good mathematical notation is one way of making a problem easier to solve. In my introduction to advanced probability theory I put emphasis on how probability theory has developed a clever and natural way to describe the processes we deal with. If you think about it some more, … Continue reading The power of notation in problem solving
A useful tip for learning a language
When I was teaching English in Rome I took a lot of interest in reading the literature on how we can best learn a language, and how we can best help our students to learn a language. There are lots of different approaches out there but most schools teach an approach which is a mix … Continue reading A useful tip for learning a language
Fermat's Last Spreadsheet 