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Enhanced Numerical Methods For Options With Barriers.pdf
Enhanced Numerical Methods For Options With Barriers.pdf
 
 
How To Value And Hedge Options On Foreign Indexes.pdf
How To Value And Hedge Options On Foreign Indexes.pdf
 
 
Implied Trinomial Trees Of The Volatility Smile.pdf
Implied Trinomial Trees Of The Volatility Smile.pdf
 
 
Investing In Volatility.pdf
Investing In Volatility.pdf
 
 
Model Risk.pdf
Model Risk.pdf
 
 
More Than You Ever Wanted To Know About Volatility Swaps.pdf
More Than You Ever Wanted To Know About Volatility Swaps.pdf
 
 
README.md
README.md
 
 
Regimes of Volatility Some Observations On The Variation Of S&P 500 Implied Volatilities.pdf
Regimes of Volatility Some Observations On The Variation Of S&P 500 Implied Volatilities.pdf
 
 
Static Options Replication.pdf
Static Options Replication.pdf
 
 
Stochastic Implied Trees_ Arbitrage Pricing With Stochastic Term Adn Strike Structure Of Volatility.pdf
Stochastic Implied Trees_ Arbitrage Pricing With Stochastic Term Adn Strike Structure Of Volatility.pdf
 
 
Strike-Adjusted Spread_ A New Metric For Estimating The Value Of Equity Options.pdf
Strike-Adjusted Spread_ A New Metric For Estimating The Value Of Equity Options.pdf
 
 
The Local Volatility Surface_ Unlocking The Information In Index Option Prices.pdf
The Local Volatility Surface_ Unlocking The Information In Index Option Prices.pdf
 
 
The Volatility Smile And Its Implied Tree.pdf
The Volatility Smile And Its Implied Tree.pdf
 
 
Trading And Hedging Local Volatility.pdf
Trading And Hedging Local Volatility.pdf
 
 
Valuing Convertible Bonds As Derivatives.pdf
Valuing Convertible Bonds As Derivatives.pdf
 
 
Valuing Options On Periodically-Settled Stocks.pdf
Valuing Options On Periodically-Settled Stocks.pdf
 
 
When You Cannot Hedge Continuously_ The Corrections To Black-Scholes.pdf
When You Cannot Hedge Continuously_ The Corrections To Black-Scholes.pdf
 
 
generate.sh
generate.sh
 
 

Repository files navigation

Publications:

  • Enhanced Numerical Methods For Options With Barriers
  • How To Value And Hedge Options On Foreign Indexes
  • Implied Trinomial Trees Of The Volatility Smile
  • Investing In Volatility
  • Model Risk
  • More Than You Ever Wanted To Know About Volatility Swaps
  • Regimes of Volatility Some Observations On The Variation Of S&P 500 Implied Volatilities
  • Static Options Replication
  • Stochastic Implied Trees: Arbitrage Pricing With Stochastic Term Adn Strike Structure Of Volatility
  • Strike-Adjusted Spread: A New Metric For Estimating The Value Of Equity Options
  • The Local Volatility Surface: Unlocking The Information In Index Option Prices
  • The Volatility Smile And Its Implied Tree
  • Trading And Hedging Local Volatility
  • Valuing Convertible Bonds As Derivatives
  • Valuing Options On Periodically-Settled Stocks
  • When You Cannot Hedge Continuously: The Corrections To Black-Scholes

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Goldman Sachs - Quantitative Strategies Research Notes

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