Posts Tagged ‘ quantitative finance ’

R for Quants, Part III (A)

February 18, 2012
By
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 …Continue reading »

Read more »

R for Quants, Part II (A)

February 16, 2012
By
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 …Continue reading »

Read more »

R for Quants, Part I (B)

February 13, 2012
By
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 …Continue reading »

Read more »

R for Quants, Part I.A

February 12, 2012
By
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 …Continue reading »

Read more »

Zero rates with futile.paradigm

February 8, 2012
By
Zero rates with futile.paradigm

Here’s a short example of calculating zero rates and discount factors from cash rates using futile.paradigm. Of note is how …Continue reading »

Read more »

Introduction to Cointegration and Pairs Trading

April 15, 2011
By
Introduction to Cointegration and Pairs Trading

Introduction Suppose you see two drunks (i.e., two random walks) wandering around. The drunks don’t know each other (they’re independent), so there’s no meaningful relationship between their paths. But suppose instead you have a drunk walking with her dog. This … Continue reading →

Read more »