general

• None

QuantLib

• [2023-02-18] Building FX discount curve with QuantLib (updated [2024-03-13])

Market Risk

• [2024-06-13] Johnson SU distribution, and VaR (updated [2024-06-13])
• [2024-05-29] Extreme value distributions (updated [2024-05-29])

Counterparty Risk

• [2023-03-29] How collateral margaining works (updated [2024-03-29])

Stochastic Calculus

• [2024-03-30] Why $dW(t)^2$ is $dt$ (updated [2024-03-30])
• [2022-08-27] Let's quickly change the numéraire (updated [2024-03-31])