A Note on Hugo
My comments on how Hugo compares to Pelican for static site generation
Posts
Monte Carlo Methods for Option Pricing and Greeks
Using PyTorch to easily compute Option Greeks first using Black-Scholes and then Monte Carlo methods.
Mixture Density Network for Forecasting Realized Volatility
Using a mixture density neural network implemented in PyTorch to forecast the distribution of future realized volatility.
Bayesian Autoregressive Volatility Forecasting
Using a simple bayesian autoregressive model to forecast future volatility
Comparison of Volatility Estimators
Comparing Garman-Klass estimator to 5-minute Realized Volatility estimator.
A Most Diversified ETF Portfolio
Constructing a portfolio from a selection of ETFs to maximize the diversification ratio