Understanding EWMA vs. Shrinkage Covariance
When exponential weighting helps, when shrinkage helps, and how to combine both for stable risk estimates.
Writing
Technical notes, derivations, and study writeups on quantitative finance, risk, and machine learning. Short-form companions to the longer project documentation.
When exponential weighting helps, when shrinkage helps, and how to combine both for stable risk estimates.
Modeling joint tail dependence across assets and why Gaussian copulas understate crisis co-movements.
Antithetic variates, control variates, and quasi-random sequences for faster derivative pricing.