Marco Renedo

Bank of America - Quantitative Research

233 South Wacker Drive, Suite 2800

Chicago, IL 60606

United States

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SCHOLARLY PAPERS

2

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5,292

SSRN CITATIONS

5

CROSSREF CITATIONS

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Scholarly Papers (2)

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1.

Eurodollar Futures Convexity Adjustments in Stochastic Volatility Models

Number of pages: 19 Posted: 28 Oct 2004

Vladimir Piterbarg and Marco Renedo

NatWest Markets and Bank of America - Quantitative Research

Downloads 5,043 (1,890)

Citation 10

Abstract:

2.

Probability Tree Algorithm for General Diffusion Processes

Downloads 249 (145,411)

Citation 19

2

Probability Tree Algorithm for General Diffusion Processes

Number of pages: 12 Posted: 13 Mar 2001

Lester Ingber, Colleen Chen, Radu Paul Mondescu, David Muzzall and Marco Renedo

Physical Studies Institute LLC, DRW Trading Group, DRW Trading Group, DRW Trading Group and Bank of America - Quantitative Research

Downloads 249 (146,071)

Citation 19

Abstract:

Probability Tree Algorithm for General Diffusion Processes

Posted: 23 Aug 2001

Lester Ingber, Colleen Chen, Radu Paul Mondescu, David Muzzall and Marco Renedo

Physical Studies Institute LLC, DRW Trading Group, DRW Trading Group, DRW Trading Group and Bank of America - Quantitative Research

Abstract:

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