The Kelly criterion and Black-Scholes option pricing are the same mathematical object viewed from different angles. Both lead to the growth-optimal portfolio — Platen’s benchmark — which prices derivatives under the real-world measure without requiring a risk-neutra…
Mathematical Finance
CAD 530 a Month: What Your Car Insurance Premium Actually Pays For
A friend bought a Ford F-150 in Ontario. The insurance quote came in at 530 dollars a month. I built a mathematical model to find out how much of that is justified.
Langevin Dynamics and Why They Matter in Finance
The Langevin equation was written to describe a particle in a fluid. It turns out to be exactly the right language for interest rates, volatility, and forward curves.