Marco Renedo

Bank of America - Quantitative Research

233 South Wacker Drive, Suite 2800

Chicago, IL 60606

United States

SCHOLARLY PAPERS

2

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Top 10,757

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5,292

SSRN CITATIONS
Rank 30,902

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Top 30,902

in Total Papers Citations

5

CROSSREF CITATIONS

22

Scholarly Papers (2)

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:

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Eurodollar convexity adjustment, stochastic volatility, volatility smile, forward Libor models

Probability Tree Algorithm for General Diffusion Processes

Number of pages: 12 Posted: 13 Mar 2001
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:

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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, DRW Trading Group, DRW Trading Group and Bank of America - Quantitative Research

Abstract:

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path integral, diffusion process, binomial tree, options