Setting up a Spark cluster on AWS

On 7th December 2017 I gave a presentation at CodeNode (London UK) in which I showed how to set up a Spark cluster on AWS spot-requested instances. You can find the meeting notes on the Full Stack Quants website -- there is a link to a video recording of the session as well as links … Continue reading Setting up a Spark cluster on AWS

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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?