I am pleased to announce that my latest project "aleatory 0.1.0", a Python library to simulate and visualise stochastic processes, has been released and is now available in PyPi.
Tag: Probability Theory
Brief History of the Black-Scholes-Merton Model
A very brief recollection of the history of the Black-Scholes-Merton Model: 129 years from Charles Castelli to the Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel 1997.
Brownian Motion via Random Walks
The idea of this post is to show how Donsker's Theorem (also known as Donsker's Invariance Principle, or the Functional Central Limit Theorem) allows us to simulate paths of the one-dimensional standard Brownian motion using different kinds of random walks.
Brief History of the Central Limit Theorem
A very brief recollection of the history of the Central Limit Theorem: 162 years from Moivre to Feller in a page. If you are interested in reading more about the history of the Central Limit Theorem, I highly recommend: The Central Limit Theorem Around 1935 paper by L. Le Cam published in 1986 in Statistical Science.… Continue reading Brief History of the Central Limit Theorem