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C# programming, machine learning, quantitative finance, numerical methods

In fixed income analysis it is often required to calculate the yield of some coupon paying instrument, for example a bond. Very simply, an yield of a bond is defined as a single rate of return. Under continuous compounding, given … Continue reading

Posted in Numerical Analysis
Tagged c#, Numerical Analysis

In this post on numerical methods I will share with you the theoretical background and the implementation of the two types of interpolations: linear and natural cubic spline. These interpolations are often used within the financial industry. For example, discount … Continue reading

To continue my blogging on machine learning (ML) classifiers, I am turning to decision trees. The post on decision trees will be in two parts. Part 1 will provide an introduction to how decision trees work and how they are … Continue reading

Posted in Machine Learning, Numerical Analysis
Tagged Machine Learning, Numerical Analysis

On my blog space I am going to share with you example implementations of the most common machine learning techniques. The code will be either in C# or Python. This is the first post in the series of several posts … Continue reading

Posted in Machine Learning, Numerical Analysis
Tagged Machine Learning, Numerical Analysis

In my previous post here I have shared with you some methods for generating uniform random variables. For many practical tasks we need random variables that are distributed normally around some mean. There are two well know approaches for transforming … Continue reading

Posted in Monte Carlo
Tagged Numerical Analysis, Random Variables