Chase the Devil
Stochastic Collocation - Old And New
NUFFT and COS
Forward Variance Models and Calibration
A Not So Great New Simulation Scheme for the Heston Model
Expansions for the time-dependent Heston model: Useless?
A New Asian Basket Spread Option Approximation
LLMs Are Not Good For Basic Homework
Calibrating Heston to Variance Swaps - a bad idea?
OpenSuse Tumbleweed to the Rescue
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?
About
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