Blog Posts

HJM No-Arbitrage Drift Condition

In late 1980s David Heath, Robert Jarrow and Andrew Morton worked on interest rate framework which would unify the theory for valuing contingent claims under a stochastic term structure of interest rates. The paper, Bond pricing and the term structure of interest rates: A new methodology for contingent claims valuation, was published in 1992 in Econometrica.

Amazon AWS and iPython Notebook

Amazon Web Services (AWS) offer easy-to-use and cheap cloud computing on demand - the elastic cloud computing (EC2). I’ve been using it for several of my projects and I found that using spot instances is an extremely useful and effective way to test/experiment with your ideas.

Simple Monte Carlo With Thrust

We have already shown before how to set up CUDA in both Windows and Linux environment and how to create a simple project. Today we will demonstrate how easy it is to perform a simple Monte Carlo simulation using Thrust library. We will do so by estimating $\pi$ with random numbers.