jasonjfoster.github.io

 
Statistics
algorithms
r
Jason Foster
Sep 3, 2024

Securities
analysis
finance
r
For a given spot price \(S\), strike price \(K\), risk-free rate \(r\), annual dividend yield \(q\), time-to-maturity \(\tau = T - t\), and volatility \(\sigma\):
Jason Foster
May 30, 2024

Securities
analysis
finance
python
For a given spot price \(S\), strike price \(K\), risk-free rate \(r\), annual dividend yield \(q\), time-to-maturity \(\tau = T - t\), and volatility \(\sigma\):
Jason Foster
May 29, 2024

Eigen
analysis
finance
r
Underlying returns are structural bets that can be analyzed through dimension reduction techniques such as principal components analysis (PCA). Most empirical studies apply…
Jason Foster
Apr 11, 2024

Eigen
analysis
finance
python
Underlying returns are structural bets that can be analyzed through dimension reduction techniques such as principal components analysis (PCA). Most empirical studies apply…
Jason Foster
Apr 4, 2024
 
Risk
analysis
finance
python
\[ \begin{aligned} \hat{\beta}=(X^\mathrm{T}WX)^{-1}X^\mathrm{T}Wy \end{aligned} \]
Jason Foster
Mar 28, 2024
 
Risk
analysis
finance
r
\[ \begin{aligned} \hat{\beta}=(X^\mathrm{T}WX)^{-1}X^\mathrm{T}Wy \end{aligned} \]
Jason Foster
Mar 28, 2024

Markets
analysis
finance
python
One month reversal and 2-12 month momentum are two ends of the spectrum. The general trend indicates that positive acceleration leads to reversals or negative acceleration…
Jason Foster
Mar 22, 2024

Markets
analysis
finance
r
One month reversal and 2-12 month momentum are two ends of the spectrum. The general trend indicates that positive acceleration leads to reversals or negative acceleration…
Jason Foster
Mar 22, 2024

Optimization
analysis
finance
python
Need to generate uniformly distributed weights \(\mathbf{w}=(w_{1},w_{2},\ldots,w_{N})\) such that \(\sum_{j=1}^{N}w_{i}=1\) and \(w_{i}\geq0\):
Jason Foster
Feb 21, 2024

Optimization
analysis
finance
r
Need to generate uniformly distributed weights \(\mathbf{w}=(w_{1},w_{2},\ldots,w_{N})\) such that \(\sum_{j=1}^{N}w_{i}=1\) and \(w_{i}\geq0\):
Jason Foster
Feb 21, 2024
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