Heat equation and Black-Scholes formula

January 16, 2021 blog math

It is well known for a long time that the quant finance borrowed a lot of results from physics. The notable Feynman-Kac formula is one example. In the case of vanilla European option pricing, the Black-Scholes formula gives the following result: [more]

Copying weight tensors from PyTorch to Tensorflow

December 31, 2020 blog code

Having build the same LSTM network using PyTorch and Tensorflow 2, this is an exercise on how to copy the trained model from one platform to another. While there may be issue arose from the floating point precisions mismatch between the two platforms, I believe the effect is usually not... [more]

Collinearlity, degrees of freedom and LSTM networks

December 22, 2020 blog code math

There are many code samples on using LSTM networks for time series prediction. Rather than writing your own LSTM modules and gradient descent computations, usually we will use the off-the-shelf implementations from PyTorch or Tensorflow. Let’s look at a PyTorch model, from data preparation to evaluation: [more]

PXE boot Debian

November 24, 2020 blog system

Diskless system is an old idea (remember Sun Ray 1?) but surprisingly coming back (Raspberry Pi cluster!). I have a system with PXE boot but no disk so it is perfect to try out a diskless system. [more]

DD-WRT on Linksys

November 22, 2020 blog system

I have been using a Linksys WRT3200ACM (with DD-WRT installed) for a while now and I decided to make a better use of such a high-end WiFi router. These are some notes that worth to write down: [more]