Jun 18, 2019
Recently I’ve been enjoying a particular YouTube channel or YouTuber named Sebastian Lague, specifically his playlist of Procedural Terrain Generation. It’s absolutely one of the best tutorials explaining how to programatically generate a 3D (endless) terrain mesh, and I really love his approach in working through the C# coding and optimization.
Now it’s officially one of my many side projects to replicate his work (he does provide the source code on GitHub!
May 29, 2019
An accumulator is a financial derivative that is sometimes known as “I kill you later". This post attempts to explain how it is structured and price it via Monte Carlo simulations in Python.
1. Overview of Accumulator Like all derivatives, there are two parties invovled in an accumulator, the buyer and the seller, both agree on a strike price that is usually at a discount to the prevailing market price of the underlying security at the time of contract origination.
May 22, 2019
Among many reasons why people find it hard to use cryptocurrency there’s a simple one – memorising the private key is too hard. So, people invented brain wallet, which turns a string of words into a private key and thus wallet.
It’s genius in that now a user needs only to memorise whatever he or she used to create the wallet. You can turn your name, phone number, DoB, favourite quote, lover’s home address, …, literally anything into a cryptocurrency wallet.
May 20, 2019
Background In certain scenarios, we want to estimate a model’s parameters on the sample for each observation with itself excluded. This can be achieved by estimating the model repeatedly on the leave-one-out samples but is very inefficient. If we estimate the model on the full sample, however, the coefficient estimates will certainly be biased. Thankfully, we have the Jackknife method to correct for the bias, which produces the (Jackknifed) coefficient estimates for each observation.
May 20, 2019
A brief description of how I write posts on this site....
May 19, 2019
Never underestimate what programmers can do.
The code below shows a fully-functioning Bitcoin address generator in obfuscated Python (2.5-2.7), which I saw in an interesting article posted in 2013....
May 19, 2019
Recently I’ve been in a project on Australian small loan market. Some fund managers and industry stakeholders actually pointed out some very intriguing perspectives when talking about this small loan business in emerging and developed countries. One that I’m interested in is the value of privacy, to the individual and to the business.
The small loan business First, we need to acknowledge that there’s long been the demand for small loans.
May 18, 2019
I’m changing the site primary domain from adrian-gao.com to mingze-gao.com for some reasons.
No Name Shame Mingze, 铭míng泽zé, is my official given name translated from Mandarin. I know that it’s hard to pronounce for native English speakers and it’s honestly nobody’s fault – you’ve to admit that there is simply no such syllable in English that correspond to its correct pronunciation in Mandarin. Though I cannot make it right for a lot of names as well, I dislike as much as everyone else does when people say my name in a strange way.
Mar 29, 2019
Mar 17, 2019
Suppose today the stock price is $S$ and in one year time, the stock price could be either $S_1$ or $S_2$. You hold an European call option on this stock with an exercise price of $X=S$, where $S_1<X<S_2$ for simplicity. So you’ll exercise the call when the stock price turns out to be $S_2$ and leave it unexercised if $S_1$.
1. Replicating Portfolio Approach Case 1 Case 2 Stock Price $S_1$ $S_2$ Option: 1 Call of cost $c$ Exercise?