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Cartesian Faith

Category Archives: quantitative finance

Tolerance and numerical analysis

June 5, 2014

This is a companion post to the article What’s the ROI of your loan? It depends…, which discusses approaches for …

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Zato Novo licenses its first model

May 1, 2014

I’m happy to publicly announce the partnership between Zato Novo and NoteX360, an execution venue for multiple P2P lending platforms. …

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Pricing interest rate swaps with lambda.r

July 19, 2013

People think I’m joking when I say something should only take 20 lines of code. More often than not it …

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Detecting regime change in irregular time series

July 11, 2013

In my current research, I am modeling consumer spending behavior to predict future income and spending. To do this I …

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Quantitative finance and computational systems

April 1, 2012

I’m writing a book proposal based on the lecture notes for my R for Quants workshop I conducted at the …

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R for Quants, Part III (A)

February 18, 2012

This is the third part in a three part series on teaching R to MFE students at CUNY Baruch. The …

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R for Quants, Part II (A)

February 16, 2012

This is the second part in a three part series on teaching R to MFE students at CUNY Baruch. The …

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R for Quants, Part I (B)

February 13, 2012

This is a continuation of the R workshop I’m teaching at the Baruch MFE program. This section discusses the programming …

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R for Quants, Part I (A)

February 12, 2012

I’m teaching an R workshop for the Baruch MFE program. This is the first installment of the workshop and focuses on …

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Zero rates with lambda.r

February 8, 2012

UPDATE: Now with lambda.r Here’s a short example of calculating zero rates and discount factors from cash rates using lambda.r. …

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