In this post we describe a nice algorithm for computing implied interest rates upper- and lower-bounds from European option quotes. These bounds tell you what…

## Recovering Accurate Implied Dividend and Interest Rate Term-Structures from Option Prices

In this post we discuss the algorithms we use to accurately recover implied dividend and interest rates from option markets. Implied dividends and interest rates…

## Validating Trading Backtests with Surrogate Time-Series

Back-testing trading strategies is a dangerous business because there is a high risk you will keep tweaking your trading strategy model to make the back-test…

## Parallel Processing of Tasks with Python’s Multiprocessing lib

The Python code snippet below uses the multiprocessing library to processes a list of taks in parallel using a pool of 5 threads. note: Python…

## Parameter Grid-searching with Python’s itertools

Python’s Itertools offers a great solution when you want to do a grid-search for optimal hyperparameter values, -or in general generate sets of experiments-. In…

## Running PostgreSQL using Docker

Running PostgreSQL using Docker on your local machine is very straightforward, ..and very handy when you’re developing! The following docker-compose file launches a PostgreSQL 13.1…

## Quant Insights 2020

Join me and a very exciting list of leading industry practitioners at the CQF Quant Insights conference on November 12-13, 2020. Tickets are free for…

## CQF Talk: Neural Parametric Models

Join me and the CQF upcoming September 22, 2020 for a very exciting talk on building real-time-calibratable parametric neural network models. I’ll be discussing density…

## Gaussian Mixture Approximation for the Laplace Distribution

The Laplacian distribution is an interesting alternative building-block compared to the Gaussian distribution because it has much fatter tails. A drawback might be that some…

## Responsive 3D.js plots

The plot below is generated with the D3.js plotting library. Normally, D3.js plots have a fixed size, but we needed responsive plots that automatically adjust…