Quant Girl

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icon location London, UK icon location I write about Financial Mathematics, Statistics, and Programming. I enjoy learning, baking, and practicing yoga.

Results 3 issues of Quant Girl

Add functionality for the CKLS process

Modelling [hashtag#short_term_interest_rates](https://www.linkedin.com/feed/hashtag/?keywords=short_term_interest_rates&highlightedUpdateUrns=urn%3Ali%3Aactivity%3A7195128780359692288) sometimes requires the [hashtag#stochastic_model](https://www.linkedin.com/feed/hashtag/?keywords=stochastic_model&highlightedUpdateUrns=urn%3Ali%3Aactivity%3A7195128780359692288) to be defined as the solution to a stochastic differential equation, so it is necessary to perform a time discretisation and then simulate the...

enhancement

Add fractional Brownian motion

Add simulation for fBM. Note that there are several implementations.

enhancement

[DOC] Update gallery.yml - Added new entry

1 comment

Added a new entry for Understanding Quantitative Finance Jupyter Book.