Hayden Kane

Federal Reserve Banks - Federal Reserve Bank of Richmond

P.O. Box 27622

Richmond, VA 23261

United States

SCHOLARLY PAPERS

3

DOWNLOADS

151

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Price Discovery Across Equity and Option Markets

Number of pages: 57 Posted: 15 Sep 2013 Last Revised: 12 Sep 2014
Hayden Kane
Federal Reserve Banks - Federal Reserve Bank of Richmond
Downloads 99 (269,033)

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Options, Price Discovery, Market Microstructure

2.

Approaches to Calculate Tail Quantiles of Compound Distributions

Number of pages: 52 Posted: 13 Mar 2017
Federal Reserve Banks - Federal Reserve Bank of Richmond, Federal Reserve Banks - Federal Reserve Bank of Richmond and Federal Reserve Banks - Federal Reserve Bank of Richmond
Downloads 51 (388,160)

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Panjer Recursion, Monte Carlo, Single Loss Approximation

3.

Calculate Tail Quantiles of Compound Distributions

Journal of Computational Finance, Vol. 22, No. 5, 2019
Number of pages: 30 Posted: 02 May 2019
Federal Reserve Banks - Federal Reserve Bank of Richmond, Federal Reserve Banks - Federal Reserve Bank of Richmond and Federal Reserve Banks - Federal Reserve Bank of Richmond
Downloads 1 (656,915)
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compound distributions, fast Fourier transform (FFT), Monte Carlo, perturbative expansion correction (PEC), single-loss approximation (SLA)