Tolerance and numerical analysis
This is a companion post to the article What’s the ROI of your loan? It depends…, which discusses approaches for …
Category Archives: quantitative finance
Zato Novo licenses its first model
I’m happy to publicly announce the partnership between Zato Novo and NoteX360, an execution venue for multiple P2P lending platforms. …
Pricing interest rate swaps with lambda.r
People think I’m joking when I say something should only take 20 lines of code. More often than not it …
Detecting regime change in irregular time series
In my current research, I am modeling consumer spending behavior to predict future income and spending. To do this I …
Quantitative finance and computational systems
I’m writing a book proposal based on the lecture notes for my R for Quants workshop I conducted at the …
R for Quants, Part III (A)
This is the third part in a three part series on teaching R to MFE students at CUNY Baruch. The …
R for Quants, Part II (A)
This is the second part in a three part series on teaching R to MFE students at CUNY Baruch. The …
R for Quants, Part I (B)
This is a continuation of the R workshop I’m teaching at the Baruch MFE program. This section discusses the programming …
R for Quants, Part I (A)
I’m teaching an R workshop for the Baruch MFE program. This is the first installment of the workshop and focuses on …
Zero rates with lambda.r
UPDATE: Now with lambda.r Here’s a short example of calculating zero rates and discount factors from cash rates using lambda.r. …
Cartesian Faith 