Risk and Asset Allocation - a gem of a book

Attilio Meucci's book Risk and Asset Allocation is a true gem. Clear and practical without sacrificing quality or detail. Meucci really sets the bar for scientific writing.

Note also the extensive amount of extra material at his homepage. Extra appendices, presentation slides covering the whole book, Matlab code.

Last but not least, Meucci donates heavily to charities from his book project and teachings. Just go buy the book. Now.

fstat.no - even cooler

fstat.no - the place to be for fat-tailed finance. Complete coverage of the Norwegian derivatives market, daily updates of market prices and monte carlo simulations, Normal Inverse Gauss (NIG) distributions, volatility plots, heavyness plots in NIG-triangles. It's all there, and it's getting better by the day.

Enjoy

10 x speed increase in gaussian random numbers in excel

For generating Gaussian random numbers in Excel, one could simply do

=NORMSINV(RAND())

but the performance is horrible. Instead, try this VBA function from www.vbnumericalmethods.com.
It will easily give you a 10x speed increase:

'From Jack at www.vbnumericalmethods.com
'Simulate a Gaussian variable N(0,1)
Public Function Gauss()
          Dim fac As Double, r As Double, V1 As Double, V2 As Double
      10  V1 = 2 * Rnd - 1
          V2 = 2 * Rnd - 1
          r = V1 ^ 2 + V2 ^ 2
          If (r >= 1) Then GoTo 10
          fac = Sqr(-2 * Log(r) / r)
          Gauss = V2 * fac
End Function

Young entrepreneur

Do you ever google yourself? I did so today, and found this article in Universitas from 2003. Looking back five years feels good, I recognize both who I was and who I am.

The article describes a venture we did in 2003-2005. Building your own business and making it cash-positive is a great, although hard, experience. The mindset of business rally can't be learned any other way, and the start-up experience really helped shape who I am as a professional.