It's hard working in the data salt mines - the inverse problem problem in quant finance
Some heavy maths in local vol calibration
Local Volatility by Regularization
Smoothing Dupire
The Ingredients of Dupire's Formula
Yet another differentiation trap
Implied Black Volatilities continued
When Uncertainty is Good
What we can recover from data
The goats, wolves and lion puzzle - views through different lenses
There is one more thing ...
Fast Functionsl Goats, Wolves and Lions
Two-dimensional Lions
The F-Word of Programming
Classes of Magic Forests
Four Lessons We Can Learn from the Goats (or the Lions)
Functional Goats, Wolves and Lions
How I Have Failed to Solve the Goats, Wolves and Lions Problem
3 Ways to Solve the Goats, Wolves and Lions Problem
Goats, Wolves, Lions
THE swap that landed at a court
The next round in the swap trial
The City Swap Conclusions
VaR and ES - The City Swap
VaR and Expected Shortfall for Managing the FX Swap
FX Option Values Under Garman Kohlhagen
Garman Kohlhagen Analyzed
The Future Development of Exchange Rates
Getting Numbers For the Swap
A Short History of Floating Rates
We Valuate THE Swap on February 5.
The trap of negative values
Libor and the Negative Eigenvalue Trap
Negative Eigenvalues in Practical Finance
When Variance Is Negative
Black vs Bachelier revisited
The Theory of Speculation
From the cross-sectoral maths knowledge base
FEM and Boundary Conditions II
FEM and Boundary Conditions I
FEM - From Single Elements to Global Matrices
FEM - Boundary Conditions II
FEM - Boundary Conditions I
FEM - From Single Elements to Global Matrices
More FEM - Thinking About Time
Why FEM in Quantitative Finance - VII
Why FEM in Quantitative Finance - VI
Why FEM in Quantitative Finance - V
Why FEM in Quantitative Finance - IV
Why FEM in Quantitative Finance - III
Why FEM in Quantitative Finance - II
Why FEM in Quantitative Finance - I
