Martin's Extra CQF Stuff

From June 2009, I'm enrolled in the Wilmott CQF, a course on quantitative finance directed by Paul Wilmott. This web space is a location I will use on my server to share some public documents I produce which are related to this course.

—Martin Blais <>

Cheatsheets Developed for the Course

Stochastic Calculus Cheatsheet

Math Review Cheatsheets

Differential Equations Cheatsheet
Series Cheatsheet
Complex Variables Cheatsheet
Trigonometry Cheatsheet

Math Notes

A note about the Chain Rule.

Tools & Toys
(For Windows) A tool that allows you to select an Excel XLS file, extracts all the VBA modules from it, converts the code into VB.NET suitable for ExcelDna conversion.
A tool I built to submit exams in PDF format. I scan/photograph my submission pages from paper, and then this program reduces and bundles a list of jpeg images into a single PDF file.

R Versions of Excel Code

Fat tails price distribution example in Module 1.1
Volatility calculations from Module 2.4
[R CODE] | EWMA Volatility [GRAPH] | GARCH Volatility [GRAPH]

Notes about LaTeX

Random Notes on typesetting math with LaTeX

Pragmatic Topics

There are a few topics which fascinate me for being difficult and having very little published works that address them directly. I'm going to build cheatsheets and notes on these topics; they are:

  1. Debugging and profiling software. This is a black art which can only be learnt with a lot of practice.
  2. Doing rigorous proofs. The reference is Polya's excellent book (and associated cheatsheet); there are a few recent publications on this.
  1. Building analog circuits (e.g. design an amplifier). There are relatively few people who know how to do it, and the books only help to a certain extent, because the knowledge is vast and is often only applicable under specific conditions.
  2. Making numerical approximations to analytical functions.