In this short article, I attempt to justify the CDS pricing formulas straightforwardly. I leveraged probability density functions to model the likelihood of credit events at specific
times and equate this to changes in the probability that a credit event does not occur.
Report: CDS: A probabilistic Understanding
In this short article, I attempt to showcase my understanding of filtration and the sigma field with a concise example: A sequential binary code generation process uses a constant prefix 'A' and 5 binary digits. The process evolution is mapped using sigma algebras for each time step, representing the available information. This sequence of sigma fields is termed a filtration.
Report: A simple explanation of filtration and sigma field
I provide a simple justification of the Lagrange multiplier as a tool to find local extremums in optimization problems with constraints.
Both the single-constraint case and multi-constraint case are discussed.
Report: Lagrange Multiplier