The notebook for this post can be found here. Table of Contents Introduction Data Exploration and Visualization Data Preprocessing Next Step Introduction I recently learned more about c...

Table of Contents Introduction Simulating Merton Model Model Estimation Wrapping Up Introduction Let us continue our refresher series on short-rate models. We introduced the Merton shor...

Table of Contents Introduction Recap of Bond Pricing from Short Rate Models Merson’s Model Wrapping Up Optional: Technical Definition of the Solution to SDE Introduction Welcome to my...

A value strategy posits that the worth of an asset tends to oscillate around a more gradual, underlying trend. When an asset’s current value falls below this trend, it is deemed undervalued and bec...

Updates (Code snippets included in this post can be found in the Github repository.) I have updated the data used in this post to the end of 2023 to compare the results with the new model in the ne...