
More Automatic Differentiation Awkwardness

Quadprog in Julia

Positive Stochastic Collocation

My Review of Steven Koonin's Book on Climate

Github and SSH setup

Covid19 Fake News

Are traditional banks ready for the 21st century?

Yesterday, Pirates Took Over My Parents Bank Account

Remarkable Coincidences, Bad Book?

Bad papers and the roots of high degree polynomials

Disaster Capitalism  Summer Reading Review

More on random number generators

The war of the random number generators

Sobol with 64bits integers

Intel failure and the future of computing

March 9, 2020 crash  where will CAC40 go?

42

Numba, Pypy Overrated?

Fixing NaNs in Quadprog

On the Probability of a Netflix Stock Crash

On the Probability of a TSLA Stock Crash

The Fourth Moment of the Normal SABR Model

Implying the Probability Density from Market Option Prices (Part 2)

Senior Developers Don't Know OO Anymore

Implying the Probability Density from Market Option Prices

Where is the S&P 500 going to end?

Discrete Sine Transform via the FFT

Quantitative Finance Books Citing My Papers

Google phones are overrated

SVN is dead

The Neural Network in Your CPU

Benham disc in web canvas

Blogs on Quantitative Finance

Typo in Hyman nonnegative constraint  28 years later

Implied Volatility from BlackScholes price

The VIX starts smiling

When SVI Breaks Down

Brownian Bridge and Discrete Random Variables

Samsung Wireless Printer under Fedora 25

A new scheme for Heston  Part 2

Power management and XFCE under Fedora 25

Equivalence between floatingstrike and fixedstrike Asian options

Bachelier Normal Volatility Asymptotics

A new scheme for Heston

AndreasenHuge interpolation  Don't stay flat

PutCall parity and the logtransformed BlackScholes PDE

Benaim et al. extrapolation does not work on equities

AES for MonteCarlo

A review of Thomas Piketty  Le capital au XXI siecle

Number of regressors in a BSDE

Shooting arbitrage  part II

Shooting arbitrage  part I

Dearbitraging a weak smile on SVI with Damghani's method

Arbitrage in Zeliade's SVI example

Dupire Local Volatility with Cash Dividends Part 2

Dupire Local Volatility with Cash Dividends

SVI, SABR, or parabola on AAPL?

Adaptive Filon quadrature for stochastic volatility models

Least Squares Rational Function

Least Squares Spline for Volatility Interpolation

The Mystic Parabola

Yahoo Finance Implied Volatility

Is Tufte overrated?

Linear and Flat forward interpolation with cash dividends

Moved to hugo

Controlling the SABR wings with Hagan PDE

Broken Internet?

Holiday's read  DFW  Everything and more

CrankNicolson and Rannacher Issues with Touch options

Clouds

Go for MonteCarlo

Bumping Correlations

Andreasen Huge extrapolation

Unintuitive behavior of the BlackScholes formula  negative volatilities in displaced diffusion extrapolation

Linux Desktops in 2015

Square Root CrankNicolson

Decoding Hagan's arbitrage free SABR PDE derivation

Matching Hagan PDE SABR with the onestep AndreasenHuge SABR

Modern Programming Language for MonteCarlo

Volatility Swap vs Variance Swap Replication  Truncation

Arbitrage free SABR with negative rates  alternative to shifted SABR

Variance swaps on a foreign asset

Jumps impact: Variance swap vs volatility swap

Variance Swap Replication : Discrete or Continuous?

GTK 3.0 / Gnome 3.0 annoyance

Monte Carlo & Inverse Cumulative Normal Distribution

Local Stochastic Volatility  Particles and Bins

Flat Volatility Surfaces & Discrete Dividends

Machine Learning & Quantitative Finance

PseudoRandom vs QuasiRandom Numbers

Integrating an oscillatory function

The elusive reference: the Lamperti transform

Barrier options under negative rates: complex numbers to the rescue

Initial Guesses for SVI  A Summary

Asymptotic Behavior of SVI vs SABR

SVI and long maturities issues

More SVI Initial Guesses

Another SVI Initial Guess

New SABR Formulae

Heston or SchobelZhu issues with short expiries

On the Role of Static Types and Generic Types on Productivity

MoorePenrose Inverse & GaussNewton SABR Minimization

One Interview Question for Job Seekers in Finance

On the importance of accuracy for bpvol solvers

throws Exception

KDE, XFCE, GnomeShell in 2014

Two SABR for the same smile

Heston vs SABR slice by slice fit

Quadratic Spline with Knots at MidPoints

On Interviewing Candidates for a Job

Nonlinear Option Pricing

5 Minutes of Xtend

Building a more accurate basis point volatility formula

Fast and Accurate Implied Volatility Solver

Arbitrage Free Interpolation of Option Prices using Piecewise Constant Density

C2 Arbitrage Free Interpolation with Tension Splines

Bachelier and BlackScholes Fits of the Volatility Surface, what about SABR?

Arbitrage Free Wiggles

Adjoint Delta for MonteCarlo

SVI on top of SABR

Smart Initial Guess for SchobelZhu

A Look at Small Time Expansions for Heston

A SmallTime SchobelZhu Expansion

An SSD instead of a laptop

Brownian Bridge or Not with Heston Quadratic Exponential QMC

Adjoint Algorithmic Differentiation for BlackScholes

Placing the Strike on the Grid and Payoff Smoothing in Finite Difference Methods for Vanilla Options

Coordinate Transform of the Andreasen Huge SABR PDE & Spline Interpolation

Random Hardware Issues

Levenberg Marquardt & Constraints by Domain Transformation

Arbitrage Free SABR  Another View on Hagan Approach

American Option on Forward/Futures

Spikes in Heston/SchobelZhu Local Volatility

Local Stochastic Volatility with MonteCarlo

Heston, SchobelZhu, Bates, DoubleHeston Fit

Second Cumulant of Heston

Maxima for Symbolic Calculus

Martin Odersky teaches Scala to the Masses

Setting Values in Java Enum  A Bad Idea

Making Classic Heston Integration Faster than the Cos Method

Better Fonts in Fedora than in Ubuntu

Attari, LordKahl & Cos Methods Comparison on Heston

Giving Fedora Another Chance

Julia and the Cumulative Normal Distribution

The COS method for Heston

Octave vs Scilab for PDEs in Finance

Joda LocalDateTime vs DateTime

The CUDA Performance Myth II

Unity vs KDE in Virtualbox

Bessel and Harmonic Kinks in the Forward

Godaddy sold my domain name

Scala Build Tool : SBT

The Finite Difference Theta Scheme Optimal Theta

Simple 'Can Scala Do This?' Questions

Akima for Yield Curve Interpolation ?

2 Ways for an Accurate Barrier with Finite Difference

SABR with the new Hagan PDE Approach

SABR with AndreasenHuge

Large Steps in SchobelZhu/Heston the Lazy Way

Exact Forward in MonteCarlo

Quasi Monte Carlo in Finance

Time Estimates in Software Development

Upper Bounds in American MonteCarlo

The Wonderful UN

Moved From Dropbox to Ubuntu One

Quasi MonteCarlo & LongstaffSchwartz American Option price

A Fast Exponential Function in Java

Root finding in Lord Kahl Method to Compute Heston Call Price (Part III)

Root finding in Lord Kahl Method to Compute Heston Call Price (Part II)

Root finding in Lord Kahl Method to Compute Heston Call Price

From Double Precision Normal Density to Double Precision Cumulative Normal Distribution

Cracking the Double Precision Gaussian Puzzle

A Double Precision Puzzle with the Gaussian

A Seasoned Volatility Swap

A Volatility Swap and a Straddle

Parallel Can Be Slower

Scala is Mad (part 2)

From OpenSuse to Ubuntu 13.04

Productivity Zero

Better Finite Difference Boundaries with a Tridiagonal Solver

Non Central Chi Squared Distribution in Java or Scala

Finite Difference Approximation of Derivatives

A Discontinuity

Scala is Mad

Local Volatility Delta & Dynamic

OpenSuse 12.2

GPU computing in Finance

Pretty Fonts in Chrome with Linux

Fedora 17 vs Ubuntu 12.04

Binary Voting

Moving The Needle

When solar panels don't work

Excel Bulk Entry of Jira using Apache HttpClient & POI

Keyboard Porn

Adaptive Quadrature for Pricing European Option with Heston

Gnome Shell more stable than Unity on Ubuntu 12.04

John Carmack on Parallelism

Google Galaxy Nexus Sound Quality Is Great

Why primitive arrays matter in Java

Scala Again

KDE 4.8 finally has a dock

List of companies where I have been an employee

Generating random numbers following a given discrete probability distribution

Quant Interview & Education

Gnome 3 not so crap after all

Good & Popular Algorithms are Simple

Gnome 3, Unity, Crap

Carmack & GPGPU programming

exp(y*log(x)) Much Faster than Math.pow(x,y)

Best Headphones Ever?

SIMD and MersenneTwister

XORWOW L'ecuyer TestU01 Results

The CUDA Performance Myth

Firefox 4 Is Great

Another Look at Java Matrix Libraries

Java enum Is Evil

A Very Interesting Feature of Scala

Street Fighting Mathematics Book

Bye Bye Firefox

Diffusion Limited Aggregation Applet

Java & 3D Surface

double[][] Is Fine

The Pain of Java Matrix Libraries

Java Calendar Is Broken On JVM Upgrade

Implicit Finite Differences Method For Pricing Barrier Option

Pulseaudio Nightmares  Pure ALSA to the Rescue

Java int Overflow Behavior

Static Fields and Inheritance

Benchmarking Languages Is Difficult

Cholesky & Jakarta Commons Math

Hull American Option Price Fallacies

On Quasi Random Numbers  MersenneTwister vs Sobol precision in Asian Option Pricing

Java Logging Still Crap in 2009

Bachelier vs. Black

Linux Audio State = Miserable

Senior Developers Team Productivity X4 (from MS Research Paper)

The End Of Rings Around Plain Java  A Better Concurrency Test

Object Oriented Analysis And Design with Applications Book Review

Running Rings Around Plain Java  The Killer Code

Running rings around plain Java

More Double Troubles

Java Programmers Are Idiots?

Double.NaN Is Evil

Grails Spring Union Not Surprising

Java Is Dead

Why ArchLinux Is Better Than Ubuntu

KDE 4.1.3 (again) on ArchLinux

Stupid Programmer Interviews

The Art of Multiprocessor Programming Book Review

OO Desillusion

Linus vs OpenBSD

Suse 11 with KDE4

Java Compilation Performance / Processor Speed

Firefox 3

Trying Google AppEngine

Option, Futures and Other Derivatives Book Review

Structured Equity Derivatives Book Review

Fedora Linux & Apple Bluetooth Keyboard

DecimalFormat Is Broken

Using MiG Layout For Better Swing Development

_the_ Google 1998 paper

Fedora 9 Already Stable

SwiXml Review

Better Java Swing Development

Fedora 8 vs. Ubuntu 8

Windows Vista Is Crap!

The 2008 Java Web Framework

KDE4 Still Not Ready

Fedora 8  The Comeback

Haskell Fibonacci Revisited

Ubuntu 7.10 vs Fedora Core 8  Gutsy vs Werewolf

Apache DbUtils Completely Useless

I fell in the trap of Boolean.getBoolean()

Fast Web Development With Scala

2 Months of Ubuntu on Mac Mini

Spring Web Services, Finally!

Original Pattern: ServletRequest in ThreadLocal

Vim setup

Why Eclipse Is Better

Tapestry5 vs Wicket: 1  0

NetBeans 6.0M10 out without announcement yet!

Use ORM For Better Performance

People Using Spring, EJBs Don't Know Basic JDBC

Wizards Bad For Productivity

Less Productive With Maven2.

How to Build Good Software? Good network connection

How to Build Good Software? Private office, again

How to Build Good Software? Welcome newcomers

Project Estimations And Fibonacci Sequence.

How to Build Good Software? Use a bug management software, really.

How to Build Good Software? Have a good build process

How to Build Good Software? Private Office

How to Build Good Software? Lay Off Quickly.

How to Build Good Software? Talk to people, especially the ones you don't know well.

Find Grep And Vi Keys Small Memo

How to Build Good Software? MS Press Code Complete says Measure twice, cut once

Java Concurrency In Practice Book Review

Why are you not using Entity EJB 1.1?

Switching to Windows

Social (Web) Revelation: Tags Are Lame

1 year of mac mini  the deception point

Tired Of Bad Singletons

Declaring Your Logger  No Problem

Very Quick Django Trial > Bye Bye Django

A Proof That JavaScript Sucks.

Building With Ant + Maven Antlib?

The Hibernate Network Proxy, A Dumb Idea.

Workaround When Eclipse Fucks Off With CVS

Maven: Game Over, Try Again

How JDepend Changed My Java Packaging

You Know IOException? Think Again!

Good Software Books  2006 version

I Get Spring

Java Serialization vs .NET Serialization  Java Perverse?

5 Minutes of Google Spreadsheets

Procedural Programming in an OO language

Back To Real Java, Bye Bye J2EE

Moving weekly Javablog stats to a new blog

JSF Was Too Hard for Experienced Developers

Top 10 Most Read Last Week On Javablogs.com, Week 24

On EJB Restrictions  Can You Open a Socket?

Top 10 Most Read Last Week On Javablogs.com, Week 23

Non Blocking with Traditional Java IO  On the Use of InputStream.available() and Thread.sleep()

Top 10 Most Read Last Week On Javablogs.com, Week 22

Is Java Flawed  a big advantage of Python/Ruby/(your favorite interpreted language)

Using Linux to Recover Fucked Up Windows Data

Java HTML Parsing Example With htmlparser

Top 10 Most Read Last Week On Javablogs.com, Week 21

Top 10 Most Read Last Week On Javablogs.com, Week 20

Top 10 Most Read Last Week On Javablogs.com, Week 19

First Steps With EhCache

Null vs. Errors

Algorithms in Java (Third Edition) Book Review

Caching HTTP Responses in Java

Javablogs.com 2005 Top 20

How To Use Java With Blogger: A Tutorial

Last week Javablogs.com top 10

Web Services No Better Than CORBA?

Is your UML Composition French or American?

Are UML Aggregation and Composition Good Concepts?

SOA and B. Meyer

Tired Of 'My 10 Best XXX' Blog Posts

Bilinear Gaussian Lanczos? Downsampling!

Getting Started With DOM, XOM, DOM4J by Parsing an RSS Feed  An Experience Review

Bad JDK Design Example

Current Popular Subjects In Java Blogs

Non Fiction Books (Mostly Software Programming) Before 2003

How Mac Os X Made Me Discover a Bug in my Java Prog

Del.icio.us Firefox Toolbar Update

Why did Netscape choose Javascript?!?

New Mac Mini

Features That Ruby Lacks and Java Has

What Is 'Modern' Java Compilation?

RMI Nightmares  Non Interoperability

What Is Clustering About – An answer to Spring is not designed for scalability

My Dream Job

Ogg better than MPC and MP3  AAC crap

What's Your Favorite Design Pattern

Professional Portal Development Book Review

IBM Websphere Portal Strategy

Portlets in an AJAX World

Good Software Books

Apple Rumors and X86 first move

7 Years Later: Still EJBs

Job Hunting: Interview Madness

Does Eclipse Rot The Brain?

Orkut Statistics and Blog Evolution

Spring Books Roundup Updated

Spring Books Roundup

Interesting PlugIn Framework  DPML Transit

Java Puzzlers  Can you figure this out?

Is Prolog Better Suited Than SQL?

When California Was An Island

Currying  A Very Interesting Use Of Generics

On J2EE Portability Accross Application Servers

JavaBlogs Weekly Top 10 and Java HTML parsing

Spam In Blog Comments

JavaBlogs Daily Analysis

CommonsBeanutils Is Slow

Generate your RSS feed in Java

The Evil Port 80

Google Sidebar Hotkey Activation

I Need Another DB Framework!

del.icio.us toolbar customized

Inside the Java Virtual Machine

Firefox Shortcut URL as Command Line for the Web

Hibernate Criteria API vs HQL Overhead

How to become a JavaRSS member on blogger.com

Java is more productive than Ruby/Rails

féminisme et statistiques

Ruby, Python, JavaScript, Lua, Java, C++ benchmark

Fowler On Your Future: editing the abstract representation of a program

Jython instead of Ant: sample code

Java development without Ant

lion

This is who I am