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
Author: Robert
Mathematician (PhD in Probability Theory).
Art lover (spent one excellent year studying painting and ceramics at Batley Art College).
Ex investment banker (2yrs of fixed-income exotics trading, 5 yrs of quantitative research, 2 yrs of inflation structuring).
Now busy as a quantitative software developer.
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
LISP = Super-powered XML
I am fascinated by the programming language LISP, since it seems to me that it offers a better union of the concept of instructions and data. Experience shows us that the shape of data often expresses an obvious algorithm for processing it, but most languages don't try to take advantage of that. LISP does. This … Continue reading LISP = Super-powered XML
A fast-moving introduction to advanced probability theory
Here is a link to a PDF doc I wrote a few years back: My fast-moving introduction to Advanced Probability Theory. I was taught undergraduate probability theory by one of the best. Williams's book Probability with Martingales is a popular introduction to advanced probability theory, and was the text I used to learn about the formal theoretical … Continue reading A fast-moving introduction to advanced probability theory
Understanding trader jargon
In this post I present some tips on how to understand fixed-income trader jargon. If you are a quant working closely with swaps or options traders (as I was once), then you won't get very far in a discussion unless you have a certain amount of fluency with the following terms. Some were passed on … Continue reading Understanding trader jargon
Fermat's Last Spreadsheet 