Pieter Knox

affiliation not provided to SSRN

SCHOLARLY PAPERS

2

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Top 44,736

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908

CITATIONS

1

Scholarly Papers (2)

1.

Analytical Pairs Trading Under Different Assumptions on the Spread and Ratio Dynamics

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 40 Posted: 25 Aug 2010 Last Revised: 05 Apr 2011
The University of Sydney - School of Mathematics and Statistics, University of Glasgow and affiliation not provided to SSRN
Downloads 839 (27,475)
Citation 1

Abstract:

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Pair trading, mean hitting time, Cox-Ingersoll-Ross, GARCH Diffusion, Ornstein Uhlenbeck, Ratio, Spread

2.

After Tax Payoff of CPPI

Number of pages: 14 Posted: 05 Apr 2011
The University of Sydney - School of Mathematics and Statistics, University of Glasgow and affiliation not provided to SSRN
Downloads 69 (327,613)

Abstract:

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