“How can I integrate PHP and R?” I know I’m not the only one who’s asked this question. After all, with great content management systems like Drupal, it would very cool to be able to drop an R module into some PHP code and instantly have a web ... [Read more...]

After a month of on-again, off-again coding, I’ve finally completed a web site geared towards calculating the Value at Risk of the average investor’s portfolio. The site is visualvar.com. The big idea was to combine the statistical and visualization tools of R (especially ggplot2) with the web ... [Read more...]

I recently posed a question on stackoverflow on whether anyone knew an efficient way to save an R plot to a MySQL database as a BLOB. My plan was to use my personal desktop to perform R routines and save them to a web server, where they could then be ... [Read more...]

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I find options fascinating because they deal with the abstract ideas of volatility and correlation, both of which are unobservable and can often seem like wild animal spirits (take the current stock market as an example). Understanding these subtle concepts is never easy, but it is essential in pricing some ... [Read more...]

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A common model used in the financial industry for modelling the short rate (think overnight rate, but actually an infinitesimally short amount of time) is the Vasicek model. Although it is unlikely to perfectly fit the yield curve, it has some nice properties that make it a good model to ... [Read more...]

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So why should R only be used for ’serious’ stuff? No longer! I’ve written the following code in R which executes a little gravitational physics game. The goal of the game is simple. You supply a velocity and direction to a spaceship with the goal of getting the ship ... [Read more...]

I’ve found this standard normal random number generator in a number of places, one of which being from one of Paul Wilmott’s books. The idea is that we can use the Central Limit Theorem (CLT) to easily generate values distributed according to a standard normal distribution by using ... [Read more...]

I’ve come across a very useful plugin for WordPress which highlights code in posts using GeSHi called WP-Syntax. This plugin is easy to use and adds highlights simply by putting the appropriate tags around code blocks. For instance, we can make the following R code much more readable by ... [Read more...]

In 1827, the botanist Robert Brown was studying pollen particles as they floated in water. When viewed through a microscope, he observed that the particles seemed to move around as if the were alive. Although he couldn’t have known at the time, the seemingly random motion was caused by the ... [Read more...]