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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: 1453
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: 56
Joined: Jun 2006
 
Posted: 2018-07-02 05:46
Attached File: Analytical_Approx_Single_Barrier_Options_Stoch_Vol.pdf

Strange


Total Posts: 1453
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: 623
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: 56
Joined: Jun 2006
 
Posted: 2018-07-03 02:54
Attached File: Stress_Testing_Correlation_Matrices_Risk_Management.pdf

nsande


Total Posts: 623
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"

yanko


Total Posts: 63
Joined: Nov 2009
 
Posted: 2018-08-14 15:00
Hi, does anyone have "Quantifying Backtest Overfitting in Alternative Beta Strategies" by Antti Suhonen, Matthias Lennkh and Fabrice Perez?

Thanks,
yanko

Adeka


Total Posts: 5
Joined: Oct 2012
 
Posted: 2018-08-14 16:12
@yanko

Please check your email

yanko


Total Posts: 63
Joined: Nov 2009
 
Posted: 2018-08-14 17:07
Got it, thanks a lot!

Jurassic


Total Posts: 164
Joined: Mar 2018
 
Posted: 2018-08-16 19:34
does anyone have any bond relative value research papers from the banks?

Kch


Total Posts: 9
Joined: Aug 2017
 
Posted: 2018-08-26 03:31
Anyone have Salomon's "Understanding the Yield Curve" packaged together?

Seen it before on the phorum, looks to be gone though

purbani


Total Posts: 92
Joined: Apr 2005
 
Posted: 2018-08-27 14:40
request filled thank you

Cheng


Total Posts: 2855
Joined: Feb 2005
 
Posted: 2018-09-05 08:42
Has anyone Kolanovic's latest piece of doom porn? I just found this reference.

10 Years AFTER THE FINANCIAL CRISIS

"He's man, he's a kid / Wanna bang with you / Headbanging man" (Grave Digger, Headbanging Man)

frolloos


Total Posts: 49
Joined: Dec 2007
 
Posted: 2018-09-05 23:30
Cheng, check your mail.

Cheng


Total Posts: 2855
Joined: Feb 2005
 
Posted: 2018-09-06 18:22
Thanks.

"He's man, he's a kid / Wanna bang with you / Headbanging man" (Grave Digger, Headbanging Man)

TonyC
Nuclear Energy Trader

Total Posts: 1282
Joined: May 2004
 
Posted: 2018-09-21 03:59
looking for a recent risk.net article

https://www.risk.net/asset-management/5963086/rival-strategies-split-multi-factor-fund-investing


"Rival strategies split multi-factor fund investing
Goldman, Robeco challenge conventional ‘bottom-up’ portfolio design"
robert mannix
Sept20

flaneur/boulevardier/remittance man/energy trader

eye51


Total Posts: 200
Joined: Oct 2004
 
Posted: 2018-10-01 12:08
I am interest in the Risk Paper also :)
The related GSAM article, I assume, is: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2895101

Another related paper (Invesco): https://www.invesco.com/pdf/factor-investing_balanced-portfolios.pdf

PS; I have asked Robeco a couple of times for some papers regarding their method to filter unwanted exposures.. But did not receive any yet.. :(

Peace means reloading your guns

contango_and_cash


Total Posts: 91
Joined: Sep 2015
 
Posted: 2018-11-12 20:51
Req: JPM 2017/2018 (?) Regime switching models for the vix

frolloos


Total Posts: 49
Joined: Dec 2007
 
Posted: 2018-11-13 02:26
@contango_and_cash: sent you their latest pub on vix regime switching.

tbretagn


Total Posts: 261
Joined: Oct 2004
 
Posted: 2018-11-16 09:30
@frolloos would it be possible to get it was well? thanks T

Et meme si ce n'est pas vrai, il faut croire en l'histoire ancienne

frolloos


Total Posts: 49
Joined: Dec 2007
 
Posted: 2018-11-19 03:54
Sent.
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