Author: Jérémie Smaga

  • Why you should not use JustCloud for your backups!

    Why you should not use JustCloud for your backups!

    Today I wanted to share with you my experience using the services of JustCloud to backup my personal file. I started looking for a cloud backup solution about 2 years ago, since I had accumulated a considerable amount of personal data I did not want to lose and as I knew that personal backups such as external…

  • The early days of Quantitative Finance

    The early days of Quantitative Finance

    A lot of people start studying Quantitative Finance because they see it as a great way to earn money. It seems indeed reasonable that somebody with great mathematical skills would be looking for opportunities allowing him to make a profit — sometimes at the expense of others. I can still remember like yesterday seeing a…

  • Implied odds behind lay betting

    Implied odds behind lay betting

    In a precedent post,  I introduced the concept of back and lay bets on a given event, for example the fact that it will rain on a given day.  We also said that we are given some odds $o$, which express how much we can earn if we guess the right outcome between the event…

  • Expected Shortfall closed-form for Normal distribution

    Expected Shortfall closed-form for Normal distribution

    Today, I would like to share a little exercise I did to compute the Expected Shortfall of a normal variable. For those of you who are not familiar with this risk measure, it evaluates the average of the $(1-\alpha)$-worst outcomes of a probability distribution (example and formal definition follow). If you have enough data, the…

  • An introduction to Risk Parity

    Hello everyone! In this post, I’d like to start talking again about asset allocation and in particular to introduce you to a relatively new concept in the field: risk parity. Don’t get me wrong, this approach has been around for quite a while now — I think the first to create a product around this…