Articles
Notes on rates, financial mathematics, and the code I write to check whether I actually understand them.
The standard decomposition splits a long yield into expected policy and a term premium. Since 2022 the residual has been doing most of the work — and that is a statement about the model, not about the bond market.
An SVI parameterisation that stays arbitrage-free across strikes, fitted with nothing heavier than scipy.optimize and a careful choice of initial guess.
Working through the Itô integral one assumption at a time, without skipping the step where quadratic variation stops behaving like anything in ordinary calculus.
Six strategies I believed in, run against a walk-forward split with realistic costs. Five die on transaction costs alone; the sixth dies more interestingly.