Tag Archives: New Paper

New paper on advanced hedging methods and Advanced in cointegration and subset correlation hedging methods

New paper on advanced hedging methods

In this paper we formalize the hedging problem and introduce three new solutions, one static and two dynamic.

http://www.risk.net/journal-of-investment-strategies/technical-paper/2164439/advances-cointegration-subset-correlation-hedging-methods

Advanced in cointegration and subset correlation hedging methods risk.net

 

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Just a warning. That link takes you to a fee site. Don’t bother signing up if you don’t want to. The paper is completely available for free elsewhere (or without having to sign up for a trial).

Find it here without the hassle:
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1906489

 

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Quant Analytics New Paper: Solving Partial Differential Equations with the NAG Library

Quant Analytics New Paper: Solving Partial Differential Equations with the NAG Library

Partial Differential Equations (PDEs) are used in many important areas in science and financial mathematics, and a lot of work has been put into developing reliable methods to solve them.

Many of these methods are available in the NAG Library, and following a helpful dialogue with a NAG user at the Institute of Biomathematics and Biometry at the Helmholtz Zentrum, we have highlighted a few of them in a white paper which presents the results from the solution of a variety of PDE problems.

For the paper, go to http://www.nag.co.uk/doc/techrep/pdf/tr1_12.pdf

 

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Personally, I think this paper is a marvelous piece of work, but my opinion couldn’t be viewed as objective because I’m the author of it. 😉 Perhaps I could mention though that it’s also been put up on the Physics World site athttp://physicsworld.com/cws/channel/whitepapers.

 

 

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!