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 →

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 →

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 →

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 →