Author Archives: David

Moment Generating Functions and the Uniform Distribution

Posted on April 25, 2011 by David

Using the MGF of the uniform is a pain. Here’s why along with the solution if you insist on going this route. Continue reading →

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Martingales, part 1

Posted on April 20, 2011 by David

I had an interesting interview question pop-up last week that made clear I’m past due for a review Martingales. The question was: if X is a martingale whose underlying process follows Geometric Brownian Motion(GBM), is X3 a martingale? Before getting … Continue reading →

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Rock Paper Scissors…

Posted on March 10, 2011 by David

I saw this article in the NY Times and was inspired to write my own Rock Paper Scissors implementation. The AI uses something very similar to a Markov Chain to determine it’s next move, with the exception that the transition … Continue reading →

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Brownian Bridge Code

Posted on March 9, 2011 by David

Got a small amount of work on this project done. This is some code that I’ve written based on the algorithm in Monte Carlo Methods in Financial Engineering by Paul Glasserman: # Implementation a Brownian Bridge. # by David Blankley … Continue reading →

Posted in Includes R code, Statistics | Leave a comment

Proof of concept – Tomcat inside WordPress

Posted on March 5, 2011 by David

Can I get a jsp page to load inside wordpress? Yes! This next line is the output of an echo: If php echo works, then you see this message. And this is the output of a jsp page: Warning: include(http://www.blankley.com:8080/sample/dhbHello.jsp) … Continue reading →

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An interesting portfolio optimization question…

Posted on February 13, 2011 by David

Let’s pretend I am a trader on a structured products desk in late 2008, early 2009 and I have a very strong view that the baby has been thrown out with the bathwater, and numerous bonds that are currently priced … Continue reading →

Posted in Statistics | Leave a comment

NYU Research Day

Posted on February 6, 2011 by David

I got to attend the research day hosted by the finance department at NYU this past Friday. Very high level of presentations for what were all working papers. My personal favorite was Aswath Damodaran talking about the equity risk premium … Continue reading →

Posted in Finance | Leave a comment

Some simulation code

Posted on February 2, 2011 by David

For one of my first classes at Baruch’s MS program I worked on replicating some of the simulation results from Realised Kernels in Practice: Trades and Quotes by Barndorff-Nielsen, Hansen, Lunde and Shephard. What were my goals for the project? … Continue reading →

Posted in Includes C# code, School, Statistics | Leave a comment

Grade inflation…

Posted on January 11, 2011 by David

I’m currently busy reading “Principles of Mathematical Analysis” by Rudin as preparation for a Real Analysis class I’m taking next semester, when a couple of thoughts struck me with regard to the current debate on grade inflation vis-a-vis my experiences … Continue reading →

Posted in School | Leave a comment

ARMAX

Posted on January 3, 2011 by David

This past semester I attended the Time Series class at Baruch. I say attended, since it clashed with the Regression class I had to take for the department pre-requisite (I got an A in both; just the Time Series one … Continue reading →

Posted in School, Statistics | Tagged | Leave a comment