Radu Paul Mondescu

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 13,946

SSRN RANKINGS

Top 13,946

in Total Papers Downloads

2,728

CITATIONS
Rank 19,315

SSRN RANKINGS

Top 19,315

in Total Papers Citations

16

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
Imperial College London, DRW Trading Group and DRW Trading Group
Downloads 1,569 (6,308)
Citation 1

Abstract:

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
Lester Ingber Research (LIR) and DRW Trading Group
Downloads 342 (68,884)
Citation 2

Abstract:

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
Lester Ingber Research (LIR) and DRW Trading Group
Downloads 304 (77,476)
Citation 3

Abstract:

Simulated Annealing, Statistical Mechanics, Trading Financial Markets

Probability Tree Algorithm for General Diffusion Processes

Number of pages: 12 Posted: 13 Mar 2001
Lester Ingber Research (LIR), DRW Trading Group, DRW Trading Group, DRW Trading Group and Bank of America - Quantitative Research
Downloads 242 (102,121)
Citation 10

Abstract:

path integral; statistical mechanics

Probability Tree Algorithm for General Diffusion Processes

Physical Review E, Forthcoming
Posted: 23 Aug 2001
Lester Ingber Research (LIR), DRW Trading Group, DRW Trading Group, DRW Trading Group and Bank of America - Quantitative Research

Abstract:

path integral, diffusion process, binomial tree, options