2026
2024
- 22 Dec Adaptive RFQ Pricing: When Forgetting Matters More Than Exploration
- 25 Sep SVD and PCA for Systematic Investing: From Matrix Decomposition to Portfolio Risk
- 10 May Regime Switching in Options: From Historical States to Risk-Neutral Prices
- 10 Mar Financial Planning with Stochastic Programming
- 01 Mar Measuring Private Investment Returns
2022
- 15 Dec Sector Factor Models: Correct Returns, SVD, and Robust Estimation
- 05 Nov When Can We Trust a Sector ETF's Factor Exposures?
- 05 Nov CDS in QuantLib: calibrate survival and reconcile the credit legs
- 02 Nov Cross-currency swaps: a cash-flow ledger before the pricing engine
- 30 Oct Interest rate swaps in QuantLib: cash flows, fair coupons and hedging
- 29 Oct Swap curves in QuantLib: separate projection from discounting
- 25 Oct Duration, convexity and quote risk: what a bond hedge actually removes
- 25 Oct Bond valuation in QuantLib: coupons, settlement and accrued interest
- 20 Oct Yield curves in QuantLib: from par quotes to cash-flow discounting
- 15 Oct Black–Scholes–Merton in QuantLib: price, parity and the local hedge
- 10 Oct Money Weighted Return (Approximating with Taylor Series)
- 09 Oct Gaussian Segmentation: Finding a Break and Knowing It Has Happened
- 08 Oct Market Regimes: Can a Hidden Markov Model Improve Tomorrow's Risk Forecast?
- 03 Oct Maximum Diversification: More Diversified Does Not Mean Less Volatile
- 02 Oct Defensive Allocation: Separate the Warning Signal from the Holdings
- 01 Oct Vigilant Allocation: The Same Leader, a Different Risk Budget
- 15 Jul Sector Momentum: A Leader Can Still Be Losing Money
- 10 Jul Kelly Allocation: Growth Depends on the Edge You Actually Have
- 02 Jul Hierarchical Risk Parity: What the Correlation Tree Changes
- 01 Jul Mean–Variance Allocation: How Much Should a Forecast Move the Portfolio?
- 30 Jun Risk Parity: Equal Capital Is Not Equal Risk
- 20 Feb About Me?