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Cartesian Faith

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Cartesian Faith

Category Archives: quantitative finance

Random matrix theory and APT’s daily global model

January 25, 2012

Someone emailed me recently and asked about how APT uses random matrix theory in their factor model. Another question I …

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Calculating DV01 using futile.paradigm

April 25, 2011

UPDATE: Converted to lambda.r. Here’s a short example of using lambda.r for calculating the DV01 of a bond. The basic …

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