Talks

R/Finance 2025

Parsing arbitrary FIX messages in Scala: When to engage the type system

Scala package: six forthcoming…

R/Finance 2024

A Cunning Plan: The Lambda Calculus, Lisp, Scheme, and R

R package: al

R/Finance 2022

Treezer Goode: The Curious Tale of a Wood that needed the Trees (Conference site)

Treezer Goode: The Curious Tale of a Wood that needed the Trees (GitHub.io pages)

Python package: parsearg

R/Finance 2019

Hedging the Unhedgeable: Hedging Risk when Prices are not Observable

R/Finance 2018

Trading the Untradable: Pricing Derivatives when Prices are not Observable

R/Finance 2017

The PE Package: Modeling Private Equity in the 21st Century

R/Finance 2016

Modern Bayesian Tools for Time Series Analysis

Source code

Time Series & Risk Management: 2015

NYU Courant: 2015-04-14

Baruch College: 2015-04-22

Two Tools of a Risk Quant: Time Series Analysis and Value at Risk

R/Finance 2013

Pricing FX Forwards: Tricks of the Trade