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where will CAC40 go?", "url": "https://chasethedevil.github.io/post/mar9-cac40-crash/", "published_at": "2020-03-09T20:56:42+00:00" }, { "id": "01a0875e-6221-71e3-ab7a-d304f0f686ee", "title": "42", "url": "https://chasethedevil.github.io/post/42/", "published_at": "2019-12-05T19:56:42+00:00" }, { "id": "01a0875e-6221-71e3-ab7a-d304f1652878", "title": "Numba, Pypy Overrated?", "url": "https://chasethedevil.github.io/post/python-numba-overrated/", "published_at": "2019-02-12T19:56:42+00:00" }, { "id": "01a0875e-6221-71e3-ab7a-d304f1bd2fc1", "title": "About", "url": "https://chasethedevil.github.io/about/", "published_at": "2018-12-17T09:05:07+00:00" }, { "id": "01a0875e-6221-71e3-ab7a-d304f24ab73f", "title": "Fixing NaNs in Quadprog", "url": "https://chasethedevil.github.io/post/quadprog-nans/", "published_at": "2018-10-07T19:56:42+00:00" }, { "id": "01a0875e-6221-71e3-ab7a-d304f29b72fd", "title": "On the Probability of a Netflix Stock Crash", "url": "https://chasethedevil.github.io/post/nflx-stock-crash-probability/", "published_at": "2018-07-12T19:56:42+00:00" }, { "id": "01a0875e-6221-71e3-ab7a-d304f36ffb0d", "title": "On the Probability of a TSLA Stock Crash", "url": "https://chasethedevil.github.io/post/tsla-stock-crash-probability/", "published_at": "2018-07-11T19:56:42+00:00" }, { "id": "01a0875e-6221-71e3-ab7a-d304f3de063a", "title": "The Fourth Moment of the Normal SABR Model", "url": "https://chasethedevil.github.io/post/normal-sabr-fourth-moment/", "published_at": "2018-06-11T19:56:42+00:00" }, { "id": "01a0875e-6221-71e3-ab7a-d304f40376a0", "title": "Implying the Probability Density from Market Option Prices (Part 2)", "url": "https://chasethedevil.github.io/post/implying-the-probability-density-from-market-option-prices-ii/", "published_at": "2018-05-27T19:56:42+00:00" }, { "id": "01a0875e-6221-71e3-ab7a-d304f42a18ee", "title": "Senior Developers Don't Know OO Anymore", "url": "https://chasethedevil.github.io/post/senior-developers-dont-know-oo-anymore/", "published_at": "2018-03-08T19:56:42+00:00" }, { "id": "01a0875e-6221-71e3-ab7a-d304f4bbd1d1", "title": "Implying the Probability Density from Market Option Prices", "url": "https://chasethedevil.github.io/post/implying-the-probability-density-from-market-option-prices/", "published_at": "2018-02-13T19:56:42+00:00" }, { "id": "01a0875e-6221-71e3-ab7a-d304f53cc816", "title": "Where is the S&P 500 going to end?", "url": "https://chasethedevil.github.io/post/spx500_bets_after_rates_hike/", "published_at": "2018-02-06T18:56:42+00:00" }, { "id": "01a0875e-6221-71e3-ab7a-d304f586892f", "title": "Discrete Sine Transform via the FFT", "url": "https://chasethedevil.github.io/post/discrete_sine_transform_fft/", "published_at": "2018-02-05T12:56:42+00:00" }, { "id": "01a0875e-6221-71e3-ab7a-d304f66e2d61", "title": "Quantitative Finance Books Citing My Papers", "url": "https://chasethedevil.github.io/post/quantitative_finance_books/", "published_at": "2017-12-09T12:56:42+00:00" }, { "id": "01a0875e-6221-71e3-ab7a-d304f6c90204", "title": "Google phones are overrated", "url": "https://chasethedevil.github.io/post/google_phones_are_overrated/", "published_at": "2017-10-02T22:56:42+00:00" }, { "id": "01a0875e-6221-71e3-ab7a-d304f71ff62b", "title": "SVN is dead", "url": "https://chasethedevil.github.io/post/svn_is_dead/", "published_at": "2017-09-26T22:56:42+00:00" }, { "id": "01a0875e-6221-71e3-ab7a-d304f7e90a6b", "title": "The Neural Network in Your CPU", "url": "https://chasethedevil.github.io/post/the_neural_network_in_your_cpu/", "published_at": "2017-08-06T22:56:42+00:00" }, { "id": "01a0875e-6221-71e3-ab7a-d304f88dfdea", "title": "Benham disc in web canvas", "url": "https://chasethedevil.github.io/post/benham_disc_in_web_canvas/", "published_at": "2017-07-10T22:56:42+00:00" }, { "id": "01a0875e-6221-71e3-ab7a-d304f98d85c4", "title": "Blogs on Quantitative Finance", "url": "https://chasethedevil.github.io/post/quantitative_finance_blogs/", "published_at": "2017-06-21T22:56:42+00:00" }, { "id": "01a0875e-6221-71e3-ab7a-d304fa55f79d", "title": "Typo in Hyman non-negative constraint - 28 years later", "url": "https://chasethedevil.github.io/post/typo-in-hyman-non-negative-constraint/", "published_at": "2017-05-23T22:56:42+00:00" }, { "id": "01a0875e-6221-71e3-ab7a-d304fade7763", "title": "Implied Volatility from Black-Scholes price", "url": "https://chasethedevil.github.io/post/implied-volatility-from-black-scholes-price/", "published_at": "2017-04-02T06:56:42+00:00" }, { "id": "01a0875e-6221-71e3-ab7a-d304fb61536d", "title": "The VIX starts smiling", "url": "https://chasethedevil.github.io/post/vix-starts-smiling/", "published_at": "2017-03-21T06:56:42+00:00" }, { "id": "01a0875e-6221-71e3-ab7a-d304fbf34ed1", "title": "When SVI Breaks Down", "url": "https://chasethedevil.github.io/post/when-svi-breaks-down/", "published_at": "2017-03-16T06:56:42+00:00" }, { "id": "01a0875e-6221-71e3-ab7a-d304fc06dc4b", "title": "Brownian Bridge and Discrete Random Variables", "url": "https://chasethedevil.github.io/post/brownian-bridge-and-discrete-sampling/", "published_at": "2017-01-26T13:55:32+00:00" }, { "id": "01a0875e-6221-71e3-ab7a-d304fcba3d75", "title": "Samsung Wireless Printer under Fedora 25", "url": "https://chasethedevil.github.io/post/samsung_wireless_printer_fedora25/", "published_at": "2017-01-26T08:55:32+00:00" }, { "id": "01a0875e-6221-71e3-ab7a-d304fcd66e36", "title": "A new scheme for Heston - Part 2", "url": "https://chasethedevil.github.io/post/a-new-scheme-for-heston_part2/", "published_at": "2017-01-23T06:55:32+00:00" }, { "id": "01a0875e-6221-71e3-ab7a-d304fd4a7699", "title": "Power management and XFCE under Fedora 25", "url": "https://chasethedevil.github.io/post/xfce_fedora25/", "published_at": "2017-01-19T08:55:32+00:00" }, { "id": "01a0875e-6221-71e3-ab7a-d304fda2659d", "title": "Equivalence between floating-strike and fixed-strike Asian options", "url": "https://chasethedevil.github.io/post/floating_strike_fixed_strike_asian_equivalence/", "published_at": "2017-01-18T08:55:32+00:00" }, { "id": "01a0875e-6221-71e3-ab7a-d304fe038d78", "title": "Bachelier Normal Volatility Asymptotics", "url": "https://chasethedevil.github.io/post/normal_volatility_asymptotics/", "published_at": "2017-01-17T08:55:32+00:00" }, { "id": "01a0875e-6221-71e3-ab7a-d304fe9e092e", "title": "A new scheme for Heston", "url": "https://chasethedevil.github.io/post/a-new-scheme-for-heston/", "published_at": "2017-01-06T06:55:32+00:00" }, { "id": "01a0875e-6221-71e3-ab7a-d304ff240717", "title": "Andreasen-Huge interpolation - Don't stay flat", "url": "https://chasethedevil.github.io/post/dont-stay-flat-with-andreasen-huge-interpolation/", "published_at": "2016-12-13T08:55:32+00:00" }, { "id": "01a0875e-6221-71e3-ab7a-d304ffb55fdc", "title": "Put-Call parity and the log-transformed Black-Scholes PDE", "url": "https://chasethedevil.github.io/post/put_call_parity_with_log_transformed_pde/", "published_at": "2016-12-05T08:55:32+00:00" }, { "id": "01a0875e-6221-71e3-ab7a-d305000a4c30", "title": "Benaim et al. extrapolation does not work on equities", "url": "https://chasethedevil.github.io/post/issues_with_bdk_extrapolation/", "published_at": "2016-10-04T08:55:32+00:00" }, { "id": "01a0875e-6221-71e3-ab7a-d30500167261", "title": "AES for Monte-Carlo", "url": "https://chasethedevil.github.io/post/aes_for_monte_carlo/", "published_at": "2016-08-17T08:55:32+00:00" }, { "id": "01a0875e-6221-71e3-ab7a-d30500752a9c", "title": "A review of Thomas Piketty - Le capital au XXI siecle", "url": "https://chasethedevil.github.io/post/piketty_capital/", "published_at": "2016-08-02T08:55:32+00:00" }, { "id": "01a0875e-6221-71e3-ab7a-d30500c16ea9", "title": "Number of regressors in a BSDE", "url": "https://chasethedevil.github.io/post/number_of_regressors_in_bdse/", "published_at": "2016-07-26T08:55:32+00:00" }, { "id": "01a0875e-6221-71e3-ab7a-d30500f1da8b", "title": "Shooting arbitrage - part II", "url": "https://chasethedevil.github.io/post/shooting_arbitrage2/", "published_at": "2016-07-05T08:55:32+00:00" }, { "id": "01a0875e-6222-7333-99f9-4b491be08204", "title": "Shooting arbitrage - part I", "url": "https://chasethedevil.github.io/post/shooting_arbitrage/", "published_at": "2016-06-22T08:55:32+00:00" }, { "id": "01a0875e-6222-7333-99f9-4b491c2b1ad6", "title": "Dearbitraging a weak smile on SVI with Damghani's method", "url": "https://chasethedevil.github.io/post/damghani_dearbitraging_a_weak_smile_on_svi/", "published_at": "2016-06-15T08:55:32+00:00" }, { "id": "01a0875e-6222-7333-99f9-4b491c81fc33", "title": "Arbitrage in Zeliade's SVI example", "url": "https://chasethedevil.github.io/post/svi_zeliade_arbitrage/", "published_at": "2016-06-14T08:55:32+00:00" }, { "id": "01a0875e-6222-7333-99f9-4b491ce4b5d2", "title": "Dupire Local Volatility with Cash Dividends Part 2", "url": "https://chasethedevil.github.io/post/dupire_cash_dividend_part2/", "published_at": "2016-05-29T15:01:00+00:00" }, { "id": "01a0875e-6222-7333-99f9-4b491d787563", "title": "Dupire Local Volatility with Cash Dividends", "url": "https://chasethedevil.github.io/post/dupire_cash_dividend/", "published_at": "2016-05-19T15:01:00+00:00" }, { "id": "01a0875e-6222-7333-99f9-4b491d7d54c3", "title": "SVI, SABR, or parabola on AAPL?", "url": "https://chasethedevil.github.io/post/svi_sabr_or_parabola/", "published_at": "2016-05-12T17:32:42+00:00" } ] posts Claim your blog

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2026

On Scrambling Importance for Sobol original ↗

14 Aug 2026

What Can Go Wrong During Caplet Stripping?original ↗

25 Jun 2026

Non-practical Pricing Techniques for Cliquets?original ↗

24 Jun 2026

A Bachelier Normal Implied Volatility Solver original ↗

7 Jun 2026

The Role of Erfcx and Erfc in the Black-Scholes Formula original ↗

30 May 2026

Which erfcx?original ↗

24 May 2026

A Faster Monotone Implied Volatiltty Solver original ↗

23 May 2026

Almost Explicit Implied Volatility original ↗

30 Apr 2026

Owen Scrambling a la Burley original ↗

8 Jan 2026

2025

Jack Audio in Opensuse Tumbleweed original ↗

22 Dec 2025

Owen Scrambling in Quantlib original ↗

17 Dec 2025

Deep Neural Networks and Julia original ↗

7 Oct 2025

Stochastic Collocation - Old And New original ↗

5 Aug 2025

NUFFT and COS original ↗

14 Jul 2025

Forward Variance Models and Calibration original ↗

21 Jun 2025

A Not So Great New Simulation Scheme for the Heston Model original ↗

18 Jun 2025

Expansions for the time-dependent Heston model: Useless?original ↗

1 Jun 2025

A New Asian Basket Spread Option Approximation original ↗

22 Apr 2025

LLMs Are Not Good For Basic Homework original ↗

6 Mar 2025

Calibrating Heston to Variance Swaps - a bad idea?original ↗

11 Feb 2025

OpenSuse Tumbleweed to the Rescue original ↗

6 Feb 2025

2024

Saving Us - Book Review original ↗

13 Oct 2024

Monotonicity of the Black-Scholes Option Prices in Practice original ↗

29 Sept 2024

Copilot vs ChatGPT on the Optimal Finite Difference Step-Size original ↗

25 Jul 2024

News on the COS Method Truncation original ↗

13 May 2024

Variance Swap Term-Structure under Schobel-Zhu original ↗

26 Mar 2024

New Basket Expansions and Cash Dividends original ↗

23 Mar 2024

New Approximations for the Prices of Asian and basket Options original ↗

17 Mar 2024

Easy Mistake With the Log-Euler Discretization On Black-Scholes original ↗

11 Mar 2024

2023

Roughness of Pure Jumps original ↗

18 Dec 2023

Roughness of Stochastic Volatility with Jumps original ↗

7 Dec 2023

Measuring Roughness with Julia original ↗

7 Nov 2023

Black with Bachelier original ↗

3 Oct 2023

Clenshaw-Curtis Quadrature Implementation by FFT in Practice original ↗

27 Sept 2023

Ghost Vacations original ↗

20 Aug 2023

Maximum Implied Variance Slope original ↗

22 May 2023

The Return of the Arbitrage in the Perfect Volatility Surface original ↗

29 Mar 2023

2022

Princeton Fintech and Quant conference of December 2022 original ↗

4 Dec 2022

Desktop Linux in 2022 original ↗

26 Oct 2022

Roughness of the Implied Volatility original ↗

9 Jul 2022

Volatility: Rough or Not? A Short Review original ↗

10 May 2022

Monte-Carlo Parallelization: to vectorize or not?original ↗

9 Apr 2022

More Automatic Differentiation Awkwardness original ↗

4 Jan 2022

2021

Quadprog in Julia original ↗

21 Nov 2021

Positive Stochastic Collocation original ↗

31 Aug 2021

My Review of Steven Koonin's Book on Climate original ↗

30 Aug 2021

Github and SSH setup original ↗

16 Aug 2021

Covid-19 Fake News original ↗

10 Aug 2021

Are traditional banks ready for the 21st century?original ↗

12 Jun 2021

Yesterday, Pirates Took Over My Parents Bank Account original ↗

10 Mar 2021

2020

Remarkable Coincidences, Bad Book?original ↗

21 Nov 2020

Bad papers and the roots of high degree polynomials original ↗

7 Nov 2020

Disaster Capitalism - Summer Reading Review original ↗

6 Nov 2020

More on random number generators original ↗

10 Oct 2020

The war of the random number generators original ↗

17 Sept 2020

Sobol with 64-bits integers original ↗

9 Sept 2020

Intel failure and the future of computing original ↗

24 Jul 2020

March 9, 2020 crash - where will CAC40 go?original ↗

9 Mar 2020

2019

42 original ↗

5 Dec 2019

Numba, Pypy Overrated?original ↗

12 Feb 2019

2018

About original ↗

17 Dec 2018

Fixing NaNs in Quadprog original ↗

7 Oct 2018

On the Probability of a Netflix Stock Crash original ↗

12 Jul 2018

On the Probability of a TSLA Stock Crash original ↗

11 Jul 2018

The Fourth Moment of the Normal SABR Model original ↗

11 Jun 2018

Implying the Probability Density from Market Option Prices (Part 2)original ↗

27 May 2018

Senior Developers Don't Know OO Anymore original ↗

8 Mar 2018

Implying the Probability Density from Market Option Prices original ↗

13 Feb 2018

Where is the S&P 500 going to end?original ↗

6 Feb 2018

Discrete Sine Transform via the FFT original ↗

5 Feb 2018

2017

Quantitative Finance Books Citing My Papers original ↗

9 Dec 2017

Google phones are overrated original ↗

2 Oct 2017

SVN is dead original ↗

26 Sept 2017

The Neural Network in Your CPU original ↗

6 Aug 2017

Benham disc in web canvas original ↗

10 Jul 2017

Blogs on Quantitative Finance original ↗

21 Jun 2017

Typo in Hyman non-negative constraint - 28 years later original ↗

23 May 2017

Implied Volatility from Black-Scholes price original ↗

2 Apr 2017

The VIX starts smiling original ↗

21 Mar 2017

When SVI Breaks Down original ↗

16 Mar 2017

Brownian Bridge and Discrete Random Variables original ↗

26 Jan 2017

Samsung Wireless Printer under Fedora 25 original ↗

26 Jan 2017

A new scheme for Heston - Part 2 original ↗

23 Jan 2017

Power management and XFCE under Fedora 25 original ↗

19 Jan 2017

Equivalence between floating-strike and fixed-strike Asian options original ↗

18 Jan 2017

Bachelier Normal Volatility Asymptotics original ↗

17 Jan 2017

A new scheme for Heston original ↗

6 Jan 2017

2016

Andreasen-Huge interpolation - Don't stay flat original ↗

13 Dec 2016

Put-Call parity and the log-transformed Black-Scholes PDE original ↗

5 Dec 2016

Benaim et al. extrapolation does not work on equities original ↗

4 Oct 2016

AES for Monte-Carlo original ↗

17 Aug 2016

A review of Thomas Piketty - Le capital au XXI siecle original ↗

2 Aug 2016

Number of regressors in a BSDE original ↗

26 Jul 2016

Shooting arbitrage - part II original ↗

5 Jul 2016

Shooting arbitrage - part I original ↗

22 Jun 2016

Dearbitraging a weak smile on SVI with Damghani's method original ↗

15 Jun 2016

Arbitrage in Zeliade's SVI example original ↗

14 Jun 2016

Dupire Local Volatility with Cash Dividends Part 2 original ↗

29 May 2016

Dupire Local Volatility with Cash Dividends original ↗

19 May 2016

SVI, SABR, or parabola on AAPL?original ↗

12 May 2016