An introduction to the Brownian bridge along with an example application.
Derivation of the MLE for the drift and volatility of a GBM along with an example application.
In this follow-up post, we apply principal components regression to a small dataset.
The Poisson distribution is usually introduced by its PMF, but that's not very satisfying!
A bite-sized post on the purpose of PCA and the intuition behind it.
Most introductions to hypothesis testing are targeted at non-mathematicians... not this one.
Generate the coefficients of an arbitrary finite difference stencil with this one weird trick!
A template metaprogramming header-only library for linear interpolation in C++.
How to simulate stochastic differential equations (SDEs) and perform Monte Carlo integration using the GNU Octave Financial package.
Deriving closed form expressions American binary call and put prices.
A tutorial on the theory of the discrete and fast Fourier transforms with examples in MATLAB.