731 Lexington Avenue
New York, NY 10022
United States
Bloomberg L.P.
SSRN RANKINGS
in Total Papers Downloads
in Total Papers Citations
Smart Monte Carlo, SMC, accuracy, speed, American MC, AMC, Feynman, path integral, binning procedure, Prony, interpolating functions, smaller price error, smoother optimal exercise boundary, multidimensional SMC
Singular Spectrum Analysis, SSA, Random Matrix Theory, RMT, Wishart, correlations, stable, noise-reduced
Singular Spectrum Analysis, Risk Management, Correlations, Stable, Noise-Cleaned, Polynomials Generalizing Z-Score, Signal-To-Noise Ratio, Random Matrix Theory, Analytic Eigenvalues of Random Matrix, Business Decisions
Smart Monte Carlo, SMC, efficiency, Monte Carlo, fewer calls, price look-ups
Macro, Micro, MM, time scales, real world, trend risk, Singular Spectrum Analysis, SSA, correlations, PFE, risk simulation, quasi-random, statistical trend model, historic “time-slice” trend
Probability of Equity Crises One Year in Advance, CEEC Model, Critical Exponent Earthquake Crisis Model, Nonlinear Diffusion Reggeon Field Theory
distressed bond, proxy, portfolio
Smart Monte Carlo, SMC, accuracy, speed, extend, N-dimensional Gaussian integrals, path-to-path distance, time interpolation , consistency condition, MRG interest-rate model, real-world, risk-neutral, risk-neutral,mortgage servicing, hedge
macro, micro, MM, real-world, PFE, risk, quasi-random, trends, 3rd order skew Green function, micro mean reversion, random time distribution, approximate no-arbitrage
Key Words: Singular Spectrum Analysis, SSA, Signal to Noise, correlations, stable, noise-reduced, smoothed time series, random matrix
Singular Spectrum Analysis, counterparty risk, correlations, stable, noise-cleaned, macro, business decisions
Positive Definite, Stressed Target Matrix, Advanced Stressed Value at Risk, Spherical Decomposition, Nearest Neighbor, Risk Manager
Singular Spectrum Analysis, SSA, Non-leading eigenvalue distribution, Wishart random matrix, RMT, correlations, stable, noise-reduced, eigenvalue spacing, eigenvector components
markets in crisis, critical exponent, nonlinear-diffusion, Reggeon Field Theory, no free parameters, benchmark, rich or cheap