Chao-Jen Chen
My blogs
| Gender | Male |
|---|---|
| Introduction | I'm learning F# and exploring its applications in computational finance. Here is my plan for blog posts in near future: (1) Monte Carlo: performance, random number generation, accuracy, variance reduction, pricing American style..etc (2) tree: using monads (3) Fourier transform (4) Linear programming (5) VAR: conditional VAR and Vasicek model (6) perhaps a bit algo trading? Well, this plan has no guarantee. |