Derek — notesNotes on risk, probability, optimization, and whatever else I'm studying.https://example.pages.dev/Filtered historical simulationhttps://example.pages.dev/notes/filtered-historical-simulation/https://example.pages.dev/notes/filtered-historical-simulation/risk, time seriesSun, 20 Sep 2026 00:00:00 GMTWhy expected shortfall replaced VaR in the trading bookhttps://example.pages.dev/notes/es-over-var/https://example.pages.dev/notes/es-over-var/riskMon, 14 Sep 2026 00:00:00 GMTCleaning a covariance matrix with Marchenko–Pasturhttps://example.pages.dev/notes/marchenko-pastur/https://example.pages.dev/notes/marchenko-pastur/risk, linear algebraWed, 02 Sep 2026 00:00:00 GMTFiltered historical simulation in four stepshttps://example.pages.dev/notes/garch-fhs/https://example.pages.dev/notes/garch-fhs/risk, time seriesThu, 20 Aug 2026 00:00:00 GMTThe simplex method is walking along edgeshttps://example.pages.dev/notes/simplex-geometry/https://example.pages.dev/notes/simplex-geometry/optimizationThu, 11 Jun 2026 00:00:00 GMT