It's All Greek to Me

  http://www.amazon.com/Rock-Breaks-Scissors-Outguessing-Outwitting/dp/1491531185 This is the third book I have read recently that is abou...

The theme of this book is very similar to Nate Silver's The Signal and the Noise . The first few chapters are worth reading, while as it...

An anecdotal account without much technical materials, nonetheless an enjoyable read. Through the case studies (weather forecast, earthquake...

Minority game (and other extensions) is the formalized study of the El Farol Bar problem . It was proposed by various researchers that the d...

Local Volatility (LV) Model LV preserves market completeness (is it a good/must-have thing?) LV gives forward smiles that are too flat co...

As the title suggests, this was supposed to be a three part series . But I feel like I have left out so much that I wanted to discuss, so ...

This one is a classic that I believe is found in one of the popular interview books. You start with N pieces of strings that are mixed into...

Last time we added jumps to the recipe to enrich the original random walk dynamics. Jump diffusion model is able to fit to market implied v...

Q: It's 12:00 now. What time would it be when the minute hand crosses the hour hand again? A: Between 1200 and 2400, this will happen f...

1. Regarding calibration Numerical optimization is computatinoal intensive and prone to local max, but it is able to estimate any genera...