Why the term premium stopped explaining the long end
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.
FEB 26
Vol surface interpolation in 60 lines
An SVI parameterisation that stays arbitrage-free across strikes, fitted with nothing heavier than scipy.optimize and a careful choice of initial guess.
JAN 26
Notes on Itô, slowly
Working through the Itô integral one assumption at a time, without skipping the step where quadratic variation stops behaving like anything in ordinary calculus.
DEC 25
Backtesting my own bad ideas
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.
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