I have put together a compendium of over 500 C++ programs, discussing a plethora of topics spanning from modern C++ programming style, the standard template library(STL) containers and algorithms, numerical linear algebra, using Quantlib, to creating data structures and solvers commonly found in...

Geometric Arbitrage Theory reformulates a generic asset model possibly allowing for arbitrage by packaging all assets and their forwards dynamics into a stochastic principal fibre bundle, with a connection whose parallel transport encodes discounting and portfolio rebalancing, and whose...

Recent advances in machine learning are finding commercial applications across many industries, not least the finance industry. This paper focuses on applications in one of the core functions of finance, the investment process. This includes return forecasting, risk modelling and portfolio...

Mathematics is a very important subject in the science of education. But mathematics subjects are also one of the subjects that are feared or hated by most students. Mathematics is a very important subject in the science of education. But mathematics subjects are also one of the subjects that...

A look at regulatory challenges and recommendation in the age of AI. Investigating topics like monopoly formation, machine learning auditability, bias mitigation strategies and automated regulatory monitoring

In this introductory paper, we discuss how quantitative finance problems under some common risk factor dynamics for some common instruments and approaches can be formulated as time-continuous or time-discrete forward-backward stochastic differential equations (FBSDE) final-value or control...

Structural VAR models require two ingredients: (i) Informational sufficiency, and (ii) a valid identification strategy. These conditions are unlikely to be met by small-scale recursively identified VAR models. I propose a Bayesian Proxy Factor-Augmented VAR (BP-FAVAR) to combine a large...

Structural VAR models require two ingredients: (i) Informational sufficiency, and (ii) a valid identification strategy. These conditions are unlikely to be met by small-scale recursively identified VAR models. I propose a Bayesian Proxy Factor-Augmented VAR (BP-FAVAR) to combine a large...

Currency, money economy and money management are the workmanship and profit of financial player intensity to take various routine precautions like meteorology, weather analysis and means of communication services including radio services, television services and information science to minimize...