-
Saving Us - Book Review
-
Monotonicity of the Black-Scholes Option Prices in Practice
-
Copilot vs ChatGPT on the Optimal Finite Difference Step-Size
-
News on the COS Method Truncation
-
Variance Swap Term-Structure under Schobel-Zhu
-
New Basket Expansions and Cash Dividends
-
New Approximations for the Prices of Asian and basket Options
-
Easy Mistake With the Log-Euler Discretization On Black-Scholes
-
Roughness of Pure Jumps
-
Roughness of Stochastic Volatility with Jumps
-
Measuring Roughness with Julia
-
Black with Bachelier
-
Clenshaw-Curtis Quadrature Implementation by FFT in Practice
-
Ghost Vacations
-
Maximum Implied Variance Slope
-
The Return of the Arbitrage in the Perfect Volatility Surface
-
Princeton Fintech and Quant conference of December 2022
-
Desktop Linux in 2022
-
Roughness of the Implied Volatility
-
Volatility: Rough or Not? A Short Review
-
Monte-Carlo Parallelization: to vectorize or not?
-
More Automatic Differentiation Awkwardness
-
Quadprog in Julia
-
Positive Stochastic Collocation
-
My Review of Steven Koonin's Book on Climate
-
Github and SSH setup
-
Covid-19 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 64-bits 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 non-negative constraint - 28 years later
-
Implied Volatility from Black-Scholes 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 floating-strike and fixed-strike Asian options
-
Bachelier Normal Volatility Asymptotics
-
A new scheme for Heston
-
Andreasen-Huge interpolation - Don't stay flat
-
Put-Call parity and the log-transformed Black-Scholes PDE
-
Benaim et al. extrapolation does not work on equities
-
AES for Monte-Carlo
-
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
-
Crank-Nicolson and Rannacher Issues with Touch options
-
Clouds
-
Go for Monte-Carlo
-
Bumping Correlations
-
Andreasen Huge extrapolation
-
Unintuitive behavior of the Black-Scholes formula - negative volatilities in displaced diffusion extrapolation
-
Linux Desktops in 2015
-
Square Root Crank-Nicolson
-
Decoding Hagan's arbitrage free SABR PDE derivation
-
Matching Hagan PDE SABR with the one-step Andreasen-Huge SABR
-
Modern Programming Language for Monte-Carlo
-
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
-
Pseudo-Random vs Quasi-Random 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 Schobel-Zhu issues with short expiries
-
On the Role of Static Types and Generic Types on Productivity
-
Moore-Penrose Inverse & Gauss-Newton SABR Minimization
-
One Interview Question for Job Seekers in Finance
-
On the importance of accuracy for bpvol solvers
-
throws Exception
-
KDE, XFCE, Gnome-Shell in 2014
-
Two SABR for the same smile
-
Heston vs SABR slice by slice fit
-
Quadratic Spline with Knots at Mid-Points
-
On Interviewing Candidates for a Job
-
Non-linear 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 Black-Scholes Fits of the Volatility Surface, what about SABR?
-
Arbitrage Free Wiggles
-
Adjoint Delta for Monte-Carlo
-
SVI on top of SABR
-
Smart Initial Guess for Schobel-Zhu
-
A Look at Small Time Expansions for Heston
-
A Small-Time Schobel-Zhu Expansion
-
An SSD instead of a laptop
-
Brownian Bridge or Not with Heston Quadratic Exponential QMC
-
Adjoint Algorithmic Differentiation for Black-Scholes
-
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/Schobel-Zhu Local Volatility
-
Local Stochastic Volatility with Monte-Carlo
-
Heston, Schobel-Zhu, Bates, Double-Heston 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, Lord-Kahl & 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 Andreasen-Huge
-
Large Steps in Schobel-Zhu/Heston the Lazy Way
-
Exact Forward in Monte-Carlo
-
Quasi Monte Carlo in Finance
-
Time Estimates in Software Development
-
Upper Bounds in American Monte-Carlo
-
The Wonderful UN
-
Moved From Dropbox to Ubuntu One
-
Quasi Monte-Carlo & Longstaff-Schwartz 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 Mersenne-Twister
-
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 Plug-In 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
-
Commons-Beanutils 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