Posts

Low- and high-dimensional logistic regression

Interpretation, implementation and computational comparison

The math of neural networks

Mathematical details on forward and backward propagation and a small illustration

The GARCH(1,1) model and its extensions

Benchmark stochastic volatility models

The Vasiček short-rate model

Zero-coupon bond pricing by risk-neutral valuation, Feynman-Kac, and Monte Carlo simulation

The greenhouse effect

Understanding global warming

Which computational language to choose?

A comparison of C++, Matlab, Python and R for Monte Carlo simulations