Monte Carlo Pricing, Error Bars Included
A reproducible European call-pricing example that derives the estimator, implements it in NumPy, and measures simulation uncertainty.
What the Volatility Surface Says During a Selloff
A stylized look at how equity skew and term structure tend to move during a sharp drawdown—and what those moves do not prove.
Itô’s Lemma in One Dimension
A compact derivation of the stochastic chain rule from a second-order Taylor expansion and the scaling of Brownian motion.
Why Cholesky Beats a Matrix Inverse
Portfolio covariance calculations make the case for solving linear systems directly: less work, better numerical behavior, clearer intent.
Review: The Man Who Solved the Market
Reflections on Gregory Zuckerman’s account of scientific culture, secrecy, and the unusual institution behind systematic investing.
Overnight Versus Intraday Equity Returns
A small return decomposition, a careful timestamp convention, and a discussion of what an aggregate backtest cannot establish.
The Case for Keeping a Research Notebook
A personal note on using writing to preserve questions, failed attempts, and the half-formed ideas that are easiest to lose.
A Vectorized Backtest Without Look-Ahead Bias
A small signal pipeline that makes information timing explicit and exposes the indexing mistakes that commonly inflate results.
Rust Ownership: Three Useful Mental Models
Ownership, borrowing, and lifetimes explained through resource responsibility, temporary access, and proof carried by types.
Review: The Beginning of Infinity
Notes on David Deutsch’s view of explanation, error correction, and the possibility of open-ended progress.