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157 views

Use of Local Times in Option Pricing

I know two applications of local time in option pricing theory. First, it allows a derivation of Dupire's formula on local volatility in a neat way (i.e. without resorting to differential operator ...
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48 views

Why use the E-curve as an interest rate benchmark?

EDSF or Eurodollar synthetic forward curve is used as an interest rate benchmark. Why? When should I use the EDSF "E-curve"? Any references would be extremely helpful.
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18 views

A model of macroeconomic phase

I have been pointed towards econometric models of the state, or phase, of the general economy. What I mean more specifically is that we can think of the economy as being ruled by a few models or data ...
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104 views

Textbook / Reports on Alphanomics

Look at ACCT 340 @ http://www.gsb.stanford.edu/research/courses/acctg.html I've read some of the research papers written by the Professor, and the material is very interesting. However, I'm looking ...
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18 views

Concise method of learning monte carlo methods

Is there a concise way of learning the core Monte Carlo Methods from resources available online? This leads to my next question which is what are the core ideas to learn in Monte Carlo methods?
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31 views

Reference on risk measures

I want some reference book on risk measures and their comparisons. Thanks in advance.