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swinki3


Total Posts: 18
Joined: Apr 2009
 
Posted: 2018-06-27 18:09
Does anyone access to recent Robeco's collection of their earlier articles: "Quant
Allocation"?
Thank you

iasmath


Total Posts: 49
Joined: Feb 2010
 
Posted: 2018-07-02 03:30
Anyone with "An analytical approximation for single barrier options under stochastic volatility models", Hideharu Funahashi and Tomohide Higuchi

"When we pull back the curtain, we see that the wizard is just a man, but also that the man is a wizard"

Strange


Total Posts: 1409
Joined: Jun 2004
 
Posted: 2018-07-02 03:44
if you don't mind share the barrier option paper with me too, please!

I don't interest myself in 'why?'. I think more often in terms of 'when?'...sometimes 'where?'. And always how much?'

schmitty


Total Posts: 51
Joined: Jun 2006
 
Posted: 2018-07-02 05:46
Attached File: Analytical_Approx_Single_Barrier_Options_Stoch_Vol.pdf

Strange


Total Posts: 1409
Joined: Jun 2004
 
Posted: 2018-07-02 05:56
Beer Thanks!

PS. Have you played with it and managed to reproduce the local vol results, out of curiosity?

I don't interest myself in 'why?'. I think more often in terms of 'when?'...sometimes 'where?'. And always how much?'

nsande


Total Posts: 622
Joined: Apr 2004
 
Posted: 2018-07-02 13:57
If anyone has "Stress testing correlation matrices for risk managament" by So, Wong and Asai. North American Journal of Economics And Finance, vol 26 (2013) then I'd appreciate a copy.

"Det nya räknesättet Aggression: - Ett plus ett är jävlar i mig fem!" "Alcohol and Calculus don't mix - never drink and derive"

schmitty


Total Posts: 51
Joined: Jun 2006
 
Posted: 2018-07-03 02:54
Attached File: Stress_Testing_Correlation_Matrices_Risk_Management.pdf

nsande


Total Posts: 622
Joined: Apr 2004
 
Posted: 2018-07-03 09:22
Thanks mate! Applause

"Det nya räknesättet Aggression: - Ett plus ett är jävlar i mig fem!" "Alcohol and Calculus don't mix - never drink and derive"

iasmath


Total Posts: 49
Joined: Feb 2010
 
Posted: 2018-07-03 14:49
Many tks schmitty

"When we pull back the curtain, we see that the wizard is just a man, but also that the man is a wizard"
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