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…