Factors on Demand 1.0

Date Added: June 06, 2013 | Visits: 516

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Three case studies: random matrix theory for estimation vs. cross-sectional model for attribution; hedging based on full-repricing instead of Black-Scholes deltas; heuristcs for best K attribution/hedging factors out NTo walk through the code and for a thorough description, seeMeucci A., "Factors on Demand",Latest version of article and code available at http://symmys.com/node/164

Requirements: No special requirements

Platforms: Matlab

Keyword: Article, Attributionhedging, Blackscholes, Deltas, Demandquotlatest, Description, Estimation, Factors, Heuristcs, Matrix, Quotfactors, Random, Seemeucci, Studies, Theory, Url Dhttpsymmyscomnode Httpsymmyscomnode Url, Version

Users rating: 0/10

License: Freeware

Size: 4.08 MB

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