Jan Dash

Bloomberg LP

Formerly head risk quant

731 Lexington Ave

New York, NY 10022

United States

SCHOLARLY PAPERS

27

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“  Contact: jdash9@comcast.net ; J. Dash Consultants LLC ---- Editor, Encyclopedia of Climate Change and Finance, Economics, Policy (World Scientific, 2019) ---- Book: Quantitative Finance and Risk Management, a Physicist's Approach 2nd Ed https://www.worldscientific.com/worldscibooks/10.1142/9003 ----- Editor, Climate Portal http://climate.uu-uno.org/  ”

Scholarly Papers (27)

1.

Advanced Idiosyncratic Risk and Multi-Factor Models

Number of pages: 24 Posted: 07 Apr 2015 Last Revised: 02 Feb 2017
Jan Dash and Mario Bondioli
Bloomberg LP and Bloomberg L.P.
Downloads 216 (138,820)

Abstract:

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scenario, risk, CAPM, multifactor, predictive stress, correlated, idiosyncratic, APT

2.

Psychology, Stock/FX Trading, and Option Prices

Journal of Behavioral Finance, Forthcoming
Number of pages: 36 Posted: 27 Jan 2012 Last Revised: 21 Apr 2014
affiliation not provided to SSRN, Bloomberg LP and Temple University - Risk Management & Insurance & Actuarial Science
Downloads 188 (157,991)

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Regret, Fear, Selling, Trading, Options

3.

Smart Monte Carlo, Path Integrals, and American Options

Number of pages: 19 Posted: 13 Jul 2016 Last Revised: 17 Sep 2016
Jan Dash and Xipei Yang
Bloomberg LP and Bloomberg L.P.
Downloads 161 (181,049)

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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

4.

Market Crises, Earthquakes, and the Reggeon Field Theory

Number of pages: 22 Posted: 07 Jun 2013
Jan Dash and Xipei Yang
Bloomberg LP and Bloomberg L.P.
Downloads 136 (208,018)

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5.

Cleaning Financial Data Using SSA and MSSA

Number of pages: 30 Posted: 12 Jul 2016 Last Revised: 17 Sep 2016
Jan Dash and Yan Zhang
Bloomberg LP and Bloomberg LP
Downloads 130 (215,717)

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cleaning time series, Multi-Channel Singular Spectrum Analysis, MSSA, filling data gaps, removing unphysical spikes, correlations, lagged correlations, autocorrelations

6.

Path Integrals and Greeks

Number of pages: 10 Posted: 17 Jul 2016 Last Revised: 02 Feb 2017
Jan Dash
Bloomberg LP
Downloads 105 (252,220)

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Greeks, path integrals, gamma digital option

7.

Data Spike Cleaning with MSSA

Number of pages: 16 Posted: 20 Jul 2016 Last Revised: 11 Nov 2016
Jan Dash and Yan Zhang
Bloomberg LP and Bloomberg LP
Downloads 92 (275,177)

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Unphysical Spikes, Multiple Singular Spectrum Analysis, MSSA, Detecting, Fixing

8.

SSA, Random Matrix Theory, and Noise-Reduced Correlations

Number of pages: 19 Posted: 11 Jul 2016 Last Revised: 20 Sep 2016
Bloomberg LP, Bloomberg L.P., Bloomberg L.P. and Bloomberg L.P.
Downloads 92 (275,177)

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Singular Spectrum Analysis, SSA, Random Matrix Theory, RMT, Wishart, correlations, stable, noise-reduced

9.

The Macro-Micro Model, Trends vs. Noise, and SSA - I

Number of pages: 12 Posted: 13 Jul 2016 Last Revised: 22 Jul 2016
Jan Dash, Xipei Yang and Mario Bondioli
Bloomberg LP, Bloomberg L.P. and Bloomberg L.P.
Downloads 90 (279,063)

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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

10.

Predicting Equity Crises, Critical Exponents, and Earthquakes - II

Number of pages: 46 Posted: 21 Jul 2016 Last Revised: 17 Sep 2016
Jan Dash and Xipei Yang
Bloomberg LP and Bloomberg L.P.
Downloads 80 (299,896)

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Probability of Equity Crises One Year in Advance, CEEC Model, Critical Exponent Earthquake Crisis Model, Nonlinear Diffusion Reggeon Field Theory

11.

Path Integrals and Smart Monte Carlo - I

Number of pages: 16 Posted: 13 Jul 2016 Last Revised: 22 Jul 2016
Jan Dash and Xipei Yang
Bloomberg LP and Bloomberg L.P.
Downloads 73 (316,414)

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Smart Monte Carlo, SMC, efficiency, Monte Carlo, fewer calls, price look-ups

12.

Cleaning Data with Real-World Updating Using MSSA

Number of pages: 14 Posted: 20 Jul 2016
Jan Dash and Yan Zhang
Bloomberg LP and Bloomberg LP
Downloads 72 (318,754)

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Data Cleaning, Problematic Data, MSSA, Real-Time Historical Simulation

13.

Analytic Solution to the Two Dimension Merton Model

Number of pages: 12 Posted: 12 Jul 2016 Last Revised: 22 Jul 2016
Bloomberg LP, Bloomberg L.P. and Bloomberg L.P.
Downloads 71 (321,229)

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Merton, two dimensional, local volatility, hybrid barrier, approximation, correlated default, structural, conformal

14.

Speeding Up VAR with Smart Monte Carlo

Number of pages: 34 Posted: 01 Mar 2018
Jan Dash and Xinchong Zhang
Bloomberg LP and Bloomberg L.P.
Downloads 68 (328,812)

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VAR, speedup, Smart Monte Carlo, SMC, efficiency, fewer calls, price look-ups

15.

Introduction to Noise-Reduced Correlations Using Singular Spectrum Analysis

Number of pages: 12 Posted: 30 Aug 2017
Bloomberg LP, Bloomberg L.P., Bloomberg L.P. and Bloomberg L.P.
Downloads 65 (336,741)

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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

16.

Noise-Reduced Correlations, the Signal to Noise Ratio, and SSA

Number of pages: 21 Posted: 11 Jul 2016 Last Revised: 22 Jul 2016
Jan Dash and Xipei Yang
Bloomberg LP and Bloomberg L.P.
Downloads 63 (342,258)

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Key Words: Singular Spectrum Analysis, SSA, Signal to Noise, correlations, stable, noise-reduced, smoothed time series, random matrix

17.

Macro-Micro, Trends vs. Noise, and SSA - II

Number of pages: 27 Posted: 12 Jul 2016 Last Revised: 17 Sep 2016
Jan Dash, Xipei Yang and Mario Bondioli
Bloomberg LP, Bloomberg L.P. and Bloomberg L.P.
Downloads 59 (353,488)

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macro, micro, MM, real-world, PFE, risk, quasi-random, trends, 3rd order skew Green function, micro mean reversion, random time distribution, approximate no-arbitrage

18.

A Distressed Bond Model

Number of pages: 9 Posted: 12 Jul 2016 Last Revised: 22 Jul 2016
Jan Dash, Xipei Yang and Stan Maydan
Bloomberg LP, Bloomberg L.P. and Bloomberg LP
Downloads 55 (365,656)

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distressed bond, proxy, portfolio

19.

Path Integrals and Smart Monte Carlo - II

Number of pages: 40 Posted: 13 Jul 2016 Last Revised: 22 Jul 2016
Jan Dash and Xipei Yang
Bloomberg LP and Bloomberg L.P.
Downloads 53 (371,896)

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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

20.

Advanced Idiosyncratic Risk and Multi-Factor Models – Short Version

Number of pages: 19 Posted: 01 Feb 2017
Jan Dash and Mario Bondioli
Bloomberg LP and Bloomberg L.P.
Downloads 48 (388,392)

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AI-Risk, correlated residuals, accurate correlations, cross-section regression, factor models

21.

Nearest Neighbor Technique for a Positive Definite Correlation Matrix in Advanced Stressed VAR

Number of pages: 7 Posted: 13 Jul 2016 Last Revised: 22 Nov 2016
Jan Dash and Xipei Yang
Bloomberg LP and Bloomberg L.P.
Downloads 47 (391,797)

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Positive Definite, Stressed Target Matrix, Advanced Stressed Value at Risk, Spherical Decomposition, Nearest Neighbor, Risk Manager

22.

Risk Tails and General Orthonormal Polynomials

Number of pages: 12 Posted: 12 Jul 2016 Last Revised: 22 Jul 2016
Bloomberg LP, Bloomberg L.P. and Bloomberg L.P.
Downloads 44 (402,290)

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risk tails, probability distribution, moments, GONPOMs, Chebyshev, generalize, z-score

23.

Stable Reduced-Noise 'Macro' SSA - Based Correlations for Long-Term Counterparty Risk Management

Number of pages: 18 Posted: 11 Jul 2016 Last Revised: 22 Jul 2016
Bloomberg LP, Bloomberg L.P., Bloomberg L.P. and Bloomberg L.P.
Downloads 44 (402,290)

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Singular Spectrum Analysis, counterparty risk, correlations, stable, noise-cleaned, macro, business decisions

24.

Describing Crises with a Critical Exponent of the Reggeon Field Theory

Number of pages: 11 Posted: 12 Jul 2016 Last Revised: 17 Sep 2016
Jan Dash and Xipei Yang
Bloomberg LP and Bloomberg L.P.
Downloads 42 (409,576)

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markets in crisis, critical exponent, nonlinear-diffusion, Reggeon Field Theory, no free parameters, benchmark, rich or cheap

25.

MSSA vs. Multivariate Regularized Expectation Maximization for Data Cleaning

Number of pages: 22 Posted: 20 Jul 2016
Jan Dash and Yan Zhang
Bloomberg LP and Bloomberg LP
Downloads 40 (417,092)

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Data Cleaning, SSA, MSSA, M-REM, Multivariate Regularized Expectation Maximization

26.

Non-Leading Eigenvalue Distributions, RMT, and Correlations

Number of pages: 16 Posted: 11 Jul 2016 Last Revised: 20 Sep 2016
Jan Dash and Xipei Yang
Bloomberg LP and Bloomberg L.P.
Downloads 38 (424,985)

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Singular Spectrum Analysis, SSA, Non-leading eigenvalue distribution, Wishart random matrix, RMT, correlations, stable, noise-reduced, eigenvalue spacing, eigenvector components

27.

HYVAR (Hybrid VAR): HVAR Mixed with MC-HVAR

Number of pages: 8 Posted: 12 Jul 2016 Last Revised: 14 Feb 2017
Jan Dash and Mario Bondioli
Bloomberg LP and Bloomberg L.P.
Downloads 33 (445,506)

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Hybrid Value at Risk, Historical VAR, Monte Carlo VAR, arbitrary mixture, mixing angle, correlation, jumps, fat tails