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Stein, Harvey J.'s
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
15,119 |
Total
Citations
9 |
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1.
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Stein, Harvey J.
Bloomberg L.P.
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4,199
(761)
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HJM, LGM, HW, Gaussian, linear, Markovian, Hull-White, swap, swaption, Bermudan, range, range accrual, cap, caplet, floor, digital, stripping, convexity, convexity adjustment, adjustment, adjusters, control variate, interest rate modeling, interest rate exotics
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2.
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Stein, Harvey J.
Bloomberg L.P. Belikoff, Alexander L.
Bloomberg L.P. Levin, Kirill
Bloomberg Financial Markets (BFM) - Bloomberg LP Tian, Xusheng
Bloomberg L.P. - R&D
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07 Jan 07
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Last Revised:
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16 Mar 11
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2,733
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MBS, CMO, OAS, credit crisis, subprime crisis, interest rate modeling, rate, yield, yield curve, Gaussian, Monte Carlo, parallelization, GPU, CUDA, Markovian, mortgage, mortgage backed, collateralized mortgage obligation, collateralized, structured product, prepayment, prepayment modeling
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3.
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Stein, Harvey J.
Bloomberg L.P.
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2,563
(1,851)
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1
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Foreign exchange, Forex, FX, Foreign, Call, Put, Vanilla, Black-Scholes, Vanna-volga, Hedging, Stochastic, volatility, local volatility, Random risk reversal, Stochastic skew, skew, term structure, numerical methods, interpolation, business time
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4.
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Stein, Harvey J.
Bloomberg L.P. Lee, Kin Pong
Bloomberg L.P.
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28 Aug 09
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Last Revised:
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15 Feb 12
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2,403
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2
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CVA, risk, counterparty risk, credit risk, counterparty risk valuation, interest rate derivatives, CDS, credit default swaps, CCDS, contingent credit default swaps, interest rate swaps, credit crisis, financial crisis, FASB 157, IAS 39
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5.
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Stein, Harvey J.
Bloomberg L.P. Carr, Peter
New York University (NYU) - Courant Institute of Mathematical Sciences Hogan, Apollo
Bloomberg L.P. - R&D
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1,611
(4,168)
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6
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Black-Scholes, variance gamma model, skew, kurtosis, volatility smile, option pricing, equity options, time changed Brownian motion
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6.
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Stein, Harvey J.
Bloomberg L.P.
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1,008
(9,282)
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MBS, CMO, OAS, interest rate modeling, rate, yield, yield curve, Gaussian, Monte Carlo, parallelization, Markovian, mortgage, mortgage backed, collateralized mortgage obligation, collateralized, structured product, prepayment, prepayment modeling
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7.
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Filippi, Mirko
Bloomberg L.P. Stein, Harvey J.
Bloomberg L.P.
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06 Sep 09
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Last Revised:
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15 Feb 12
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328
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Structured note, interest rate derivatives, credit risk, exotic interest rate derivatives, derivatives, valuation
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8.
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Stein, Harvey J.
Bloomberg L.P.
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274
(54,071)
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greeks, delta, gamma, theta, differentiation, numerical, numerical differentiation, error, error control, roundoff, convexity, cancellation, smoothing, Hermite, filtering, convolution, Fourier, Gaussian, quadrature, Complex
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Records 1 -
8
of 8 matches
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