https://www.asr-lab.onlineIndependent quantitative finance research laboratory focused on transparent, reproducible and open scientific work.https://www.asr-lab.online/research/var-vs-cvar-python-reproduction/https://www.asr-lab.online/research/var-vs-cvar-python-reproduction/Sat, 18 Jul 2026 12:00:00 GMTEmpirically testing risk coherence, Monte Carlo stability, and the FRTB regulatory shift.https://www.asr-lab.online/research/feature-leakage-financial-ml/https://www.asr-lab.online/research/feature-leakage-financial-ml/Fri, 17 Jul 2026 12:00:00 GMTA model that predicts the past perfectly and the future not at all — usually because it was accidentally shown the answer.https://www.asr-lab.online/research/bachelier-theory-of-speculation-revisited/https://www.asr-lab.online/research/bachelier-theory-of-speculation-revisited/Thu, 16 Jul 2026 12:00:00 GMTLouis Bachelier’s 1900 doctoral thesis, Théorie de la Spéculation, is one of the earliest mathematical foundations of modern quantitative finance. This paper provides a modern and computationally reproducible reconstruction of selected mathematical elements of Bachelier’s theory. We formulate arithmetic Brownian motion in contemporary notation, establish its martingale property using conditional expectation, derive its variance-scaling relation, and present the normal European call-pricing formula in an explicit forward-measure and discounting framework. The analytical results are numerically corroborated through fixed-seed Python simulations, Monte Carlo estimation, automated tests, reproducible figures, an interactive notebook, and openly available research software. A local comparison with Black–Scholes distinguishes normal absolute-price dynamics from lognormal proportional-price dynamics and quantifies their pricing difference under a low-relative-volatility calibration. The contribution is not a new option-pricing theory. It is a transparent bridge between Bachelier’s historical work, modern mathematical finance, and reproducible computational practice.https://www.asr-lab.online/research/var-vs-cvar-measuring-extreme-risks/https://www.asr-lab.online/research/var-vs-cvar-measuring-extreme-risks/Thu, 16 Jul 2026 12:00:00 GMTA Rigorous Framework for Tail Risk and Regulatory Compliance.https://www.asr-lab.online/research/backtesting-pitfalls/https://www.asr-lab.online/research/backtesting-pitfalls/Wed, 15 Jul 2026 12:00:00 GMTLook-ahead bias, survivorship bias, and the quiet overfitting that makes a strategy look brilliant.https://www.asr-lab.online/research/geometric-brownian-motion-explained/https://www.asr-lab.online/research/geometric-brownian-motion-explained/Tue, 14 Jul 2026 12:00:00 GMTWhy the log-normal assumption underlies almost every classical pricing model.https://www.asr-lab.online/research/bachelier-1900-reproduction/https://www.asr-lab.online/research/bachelier-1900-reproduction/Mon, 13 Jul 2026 12:00:00 GMTA step-by-step numerical reproduction of Louis Bachelier's 1900 model: Random walks, Martingales, and Option Pricing.