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Radu Paul Mondescu

SpiderRock LLC

300 S Riverside Plaza

Ste #2350

Chicago, IL IL 60604

United States

DRW Trading Group

Quantitative Research

540 W. Madison Street

Suite 2500

Chicago, IL 60661

United States

http://www.drwtrading.com/

SCHOLARLY PAPERS

4

DOWNLOADS
Rank 37,196

SSRN RANKINGS

Top 37,196

in Total Papers Downloads

3,399

TOTAL CITATIONS
Rank 36,386

SSRN RANKINGS

Top 36,386

in Total Papers Citations

33

Scholarly Papers (4)

1.

Central Clearing of Interest Rate Swaps: A Comparison of Offerings

Number of pages: 25 Posted: 14 Mar 2011
Rama Cont, Radu Paul Mondescu and Yuhua Yu
University of Oxford, SpiderRock LLC and DRW Trading Group
Downloads 2,287 (16,298)
Citation 5

Abstract:

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interest rate swap, central clearing, convexity, swap futures, price alignment interest, net present value effect

2.

Optimization of Trading Physics Models of Markets

Number of pages: 44 Posted: 06 Nov 2000
Lester Ingber and Radu Paul Mondescu
Physical Studies Institute LLC and SpiderRock LLC
Downloads 421 (172,704)
Citation 5

Abstract:

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Simulated Annealing; Statistical Mechanics; Trading Financial Markets

3.

Automated Internet Trading Based on Optimized Physics Models of Markets

Number of pages: 34 Posted: 14 Sep 2001
Lester Ingber and Radu Paul Mondescu
Physical Studies Institute LLC and SpiderRock LLC
Downloads 398 (184,129)
Citation 2

Abstract:

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Simulated Annealing, Statistical Mechanics, Trading Financial Markets

Probability Tree Algorithm for General Diffusion Processes

Number of pages: 12 Posted: 13 Mar 2001
Physical Studies Institute LLC, DRW Trading Group, SpiderRock LLC, DRW Trading Group and Bank of America - Quantitative Research
Downloads 293 (256,204)
Citation 21

Abstract:

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path integral; statistical mechanics

Probability Tree Algorithm for General Diffusion Processes

Posted: 23 Aug 2001
Physical Studies Institute LLC, DRW Trading Group, SpiderRock LLC, DRW Trading Group and Bank of America - Quantitative Research

Abstract:

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path integral, diffusion process, binomial tree, options