risk neutrality: the equivalent martingale measure

In the realm of mathematical finance there are two relatively disjoint worlds: the “buy-side” and the “sell-side”. Buyers are analyzing the available financial products (e.g. stocks, bonds, derivatives, etc.) and are trying to predict, and profit off of, the future prices of these assets—i.e. they are trying to estimate the real-world probability distribution, commonly denoted $P$, of the future stochastic price movements. On the other side, sellers (aka market-makers) are trying to set a fair price for more illiquid assets, like derivatives, using the prices of more liquid assets, like stocks, which are priced by supply and demand....

March 31, 2022 · 6 min

using Julia to do web based interactive plotting

So you want inline interactive plots in your blog posts? But you don’t want to learn javascript and there wasn’t an obvious way to embed matplotlib? If your comfortable with (or willing to learn) Julia, there is a simple and elegant solution! Makie.jl is a julia plotting package with a lot of functionality, including a backend system consisting of WGLMakie and JSServe which provides a way to embed makie plots—including 3d visualizations—right into html and inserted into markdown jekyll blog posts....

December 20, 2021 · 3 min