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Sep 13, 2025 · 5 min read · Introduction When working with financial time series (returns, volatility, prices), understanding the underlying distribution before preprocessing matters. Two common transformations are: Standardization (Z-score normalization): rescales data to hav...
Join discussionApr 18, 2025 · 7 min read · Bond pricing is fundamental in fixed income investing. This post will walk through: the bond price formula as a function of yield how prices respond to changes in yield how Taylor series approximations give rise to important concepts like duration...
Join discussionApr 11, 2025 · 4 min read · The Ornstein-Uhlenbeck process (OU Process) is a stochastic process which tends to drift towards its mean function (a more familiar term: mean-reverting ). It is also both a stationary Gauss-Markov process and a homogeneous process (the probability o...
Join discussionApr 6, 2025 · 3 min read · A common assumption in financial markets is that an asset's price follows a Geometric Brownian Motion (GBM). The GBM model assumes the asset price, denoted by \(S_t\), follows the following SDE: $$dS_t = \mu S_t dt + \sigma S_tdW_t$$$$\frac{dS_t}{S_t...
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