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diogenes


Total Posts: 78
Joined: Apr 2006
 
Posted: 2010-12-16 22:12
Looking for:

Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions

Author: A. Bensoussana

Published in: Stochastics An International Journal of Probability and Stochastic Processes, Volume 9, Issue 3 1983 , pages 169 - 222

Email in profile; thanks in advance.

Scotty


Total Posts: 721
Joined: Jun 2004
 
Posted: 2010-12-28 15:10

Hi

Could anyone assist with "Maximum likelihood estimation for a multifactor equilibrium model of the term structure of interest rates" by Chen, R.R. and Scott, L. The Journal of Fixed Income, vol 3, no 3, 1993.


Thanks


“Whatever you do, or dream you can, begin it. Boldness has genius and power and magic in it.”

nikol


Total Posts: 411
Joined: Jun 2005
 
Posted: 2010-12-28 18:21

Hello,

I am looking for "Pricing American Options with the SABR Model"

Google gives me only this http://portal.acm.org/citation.cfm?id=1587499

And the prev. version ttp://www.staff.science.uu.nl/~hogen103/tussen/Vlaming.pdf

Thank you. Nik


rmeenaks


Total Posts: 150
Joined: Mar 2007
 
Posted: 2010-12-29 20:05
Hi,

Looking for the following paper:

"Callable Multiple Step-Up Bonds" Prudential Securities Financial Strategies Group. Audley, Chin, and Ramamurthy

Thanks,

Ram

william.fe


Total Posts: 24
Joined: Jan 2010
 
Posted: 2010-12-30 03:39
Hi all,

Looking for JPM papers:
“Dispersion Trading and Volatility Gamma Risk – Analysis of Tail Risk in Dispersion Trades”, 17 November 2008.
“A New Framework for Correlation – the Mean Variance Ratio”, 3 January 2007.
“Primer on Variance Swaps”
"A framework for credit-equity investing"

Thank you very much.

William

london


Total Posts: 302
Joined: Apr 2005
 
Posted: 2010-12-30 15:54
@William.Fe: I can help you with the Jan07 paper, but you need to put an email in your profile to get delivery

bastien


Total Posts: 29
Joined: Dec 2007
 
Posted: 2010-12-30 16:50
@william.fe :

Attached File: Dispersion Trading and Volatility Gamma Risk.pdf

Attached File: A New Framework for Correlation.pdf

Attached File: A Framework for Credit-Equity Investing.pdf

I cannot find the "Primer on Variance Swaps". Is this : Attached File: Variance Swaps.pdf ?

baghead


Total Posts: 865
Joined: Sep 2004
 
Posted: 2010-12-30 16:50
Will, I have the credit-equity stuff. Didn't find it too helpful (capital structure arb) but can email it to you once you put an address in your profile.

edit: cross post

what a bunch of quants...

bastien


Total Posts: 29
Joined: Dec 2007
 
Posted: 2010-12-30 16:53
Is there a problem with posting the files ?

william.fe


Total Posts: 24
Joined: Jan 2010
 
Posted: 2011-01-01 07:50
Thank you. I have updated with my email address.

william.fe


Total Posts: 24
Joined: Jan 2010
 
Posted: 2011-01-01 07:51
Thank you for the quick responses. I have updated my profiles.

Happy New Year to all of you!

william.fe


Total Posts: 24
Joined: Jan 2010
 
Posted: 2011-01-01 18:04
Oh, not sure posting files are "not ok". But, these reports were supposed to be released to clients.

Personally, my friends and I share them once we have got them, just to keep learning.

=P

Kutilya
Quote Machine

Total Posts: 1286
Joined: Jun 2004
 
Posted: 2011-01-03 21:26


Looking for couple of old papers

The performance of tactical asset allocation by Eric Weigel

http://www.jstor.org/pss/4479472

Return and Risk Characteristics of Tactical Asset Allocation Under Imperfect Information by Wai Lee

http://www.iijournals.com/doi/abs/10.3905/jpm.1998.409661


Splitting tens.

baghead


Total Posts: 865
Joined: Sep 2004
 
Posted: 2011-01-07 13:27

Could I also get the "Callable Multiple Step-Up Bonds" paper, please? email in profile. thanks


London? - London. - London? - Yes, London. You know: fish, chips, cup 'o tea, bad food, worse weather, Mary phucking Poppins.

Kutilya
Quote Machine

Total Posts: 1286
Joined: Jun 2004
 
Posted: 2011-01-11 17:09

Looking for two papers below

Fraser, P., and O. Oyefeso, 2005, U.S., U.K., and European Market Integration, Journal of Business Finance and Accounting.


Gerristis, R., and A. Yuce, 1999, Short- and Long-term Links Among European and U.S. Stock Markets, Applied Financial Economics.



Splitting tens.

mtsm


Total Posts: 193
Joined: Dec 2010
 
Posted: 2011-01-12 03:53
what do you want this paper for scotty? I need to know. Tell me. I need to know.

Attached File: chen_scott93.pdf

aschon


Total Posts: 164
Joined: Jun 2008
 
Posted: 2011-01-12 09:01
Kutilya, check your email.

In practice, this works, but how about in theory?

Kutilya
Quote Machine

Total Posts: 1286
Joined: Jun 2004
 
Posted: 2011-01-12 10:13

Thanks aschon


Splitting tens.

rmeenaks


Total Posts: 150
Joined: Mar 2007
 
Posted: 2011-01-12 14:08
Looking for:

European Equity Derivatives Weekly, 2 October 2006
European Equity Derivatives Weekly, 6 November 2006

both from JP Morgan...

Thanks,

Ram

bastien


Total Posts: 29
Joined: Dec 2007
 
Posted: 2011-01-12 18:26
@rmeenaks :
Attached File: Equity Derivatives European Weekly Market Outlook - 20061002.pdf
and
Attached File: Equity Derivatives European Weekly Market Outlook - 20061106.pdf

rmeenaks


Total Posts: 150
Joined: Mar 2007
 
Posted: 2011-01-12 19:15
Kudos bastien...

Thanks a lot,

Ram

Scotty


Total Posts: 721
Joined: Jun 2004
 
Posted: 2011-01-14 15:26

Thanks.  I'm trying a couple of different approaches to extract the factors driving yield curves.  Staight Kalman filter assuming Gaussian affine.  The Chen and Scott inversion thing and dynamic Nelson Siegel.

Happy to chat offline or online if you want.  If I'm not mistaken, you might be doing something similar.


“Whatever you do, or dream you can, begin it. Boldness has genius and power and magic in it.”

deeds


Total Posts: 346
Joined: Dec 2008
 
Posted: 2011-01-14 15:45

Hi, I am looking for

Staub, Renato, and Jeffrey Diermeier. "Illiquidity, Segmentation and Returns". Journal of Investment Management,. Vol. 1, No. 1, 2003

a search of the web finds a nice discussion by UBS ("Modeling Illiquidity Premia for Alternative Investments"), but not the original (except at the journal site)

a search of NP did not turn it up, either, although I remember a discussion initiated by Nonius on this  topic

Can anyone assist?

thank you so much

D


Kutilya
Quote Machine

Total Posts: 1286
Joined: Jun 2004
 
Posted: 2011-01-16 18:56
any body have this paper

Journal of quantitative finance
Measuring large comovements in financial markets
Authors: Jeremy Penzera; Friedrich Schmidb; Rafael Schmidtc

Published Jan 2011

Splitting tens.

goldorak


Total Posts: 982
Joined: Nov 2004
 
Posted: 2011-01-16 21:38
Kutilya, have a look at your PM.

If you are not living on the edge you are taking up too much space.
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