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 →

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 →

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 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 →