Cristian Homescu

Independent

No Address Available

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 2,305

SSRN RANKINGS

Top 2,305

in Total Papers Downloads

11,783

CITATIONS

2

Scholarly Papers (8)

1.

Implied Volatility Surface: Construction Methodologies and Characteristics

Number of pages: 38 Posted: 10 Jul 2011
Cristian Homescu
Independent
Downloads 1,813 (4,737)
Citation 2

Abstract:

volatility surface, dynamics of implied volatility, stochastic volatility models, local stochastic volatility models, calibration, numerical methods, optimization, computational efficiency

2.

Local Stochastic Volatility Models: Calibration and Pricing

Number of pages: 57 Posted: 11 Jun 2014 Last Revised: 15 Jul 2014
Cristian Homescu
Independent
Downloads 1,593 (3,334)

Abstract:

Local stochastic volatility models, calibration, pricing, estimation, PDE, PIDE, jumps, regime switching, optimization, finite difference

3.

Adjoints and Automatic (Algorithmic) Differentiation in Computational Finance

Number of pages: 25 Posted: 02 May 2011 Last Revised: 12 Sep 2011
Cristian Homescu
Independent
Downloads 1,182 (10,126)

Abstract:

Adjoint, Automatic Differentiation, Algorithmic Differentiation, Monte Carlo, Greeks, Calibration, computational efficiency

4.

Robust and Practical Estimation for Measures of Tail Risk

Number of pages: 50 Posted: 02 Jun 2014
Cristian Homescu
Independent
Downloads 1,134 (10,026)

Abstract:

Value-at-risk, VaR, Expected Shortfall, Expectiles, backtesting, tail risk measure, historical simulation, Monte Carlo, Extreme Value Theory, Basel Accords, financial regulation

5.

Many Risks, One (Optimal) Portfolio

Number of pages: 217 Posted: 30 Jul 2014
Cristian Homescu
Independent
Downloads 1,022 (11,930)

Abstract:

portfolio management, risk management, asset allocation, performance measures, risk parity, risk measures, factor investing, robust estimation, optimization, diversification, smart beta, leverage, Black Litterman model, Modern Portfolio Theory, Monte Carlo, testing, stress, tail risk

6.

Better Investing Through Factors, Regimes and Sensitivity Analysis

Number of pages: 100 Posted: 30 Jan 2015
Cristian Homescu
Independent
Downloads 880 (10,007)

Abstract:

factor investing, factor models, regime switching, sensitivity analysis, backtesting, portfolio management, risk management, asset allocation, risk parity, parameter estimation, optimization, diversification, smart beta, Monte Carlo, testing, stress, tail risk

7.

Tail Risk Protection in Asset Management

Number of pages: 42 Posted: 16 Nov 2014
Cristian Homescu
Independent
Downloads 826 (15,469)

Abstract:

portfolio management, risk management, asset allocation, performance measures, risk parity, risk measures, factor investing, robust estimation, optimization, diversification, smart beta, leverage, testing, stress, tail risk, hedging

8.

Generic Computing Alternatives for Better Greeks

Number of pages: 28 Posted: 03 Sep 2011 Last Revised: 12 Sep 2011
Cristian Homescu
Independent
Downloads 714 (23,839)

Abstract:

Greeks, complex-step derivative approximation, adjoint, automatic differentiation, algorithmic differentiation, risk management, accuracy, computational efficiency