Vasily Nekrasov

letYourMoneyGrow.com

Founder

Germany

http://www.yetanotherquant.com

  • letYourMoneyGrow.com

SCHOLARLY PAPERS

3

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Top 4,872

in Total Papers Downloads

17,300

TOTAL CITATIONS

6

Scholarly Papers (3)

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1.

Kelly Criterion for Multivariate Portfolios: A Model-Free Approach

Number of pages: 15 Posted: 02 May 2013 Last Revised: 30 Sep 2014
Vasily Nekrasov
letYourMoneyGrow.com
Downloads 16,216 (533)
Citation 6

Abstract:

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Kelly criterion, money management, multivariate portfolios, fractional Kelly strategies, analytic and numerical approximation, portfolio optimization on GPUs, CUDA

2.

An Accompaniment to a Course on Interest Rate Modeling: With Discussion of Black-76, Vasicek and HJM Models and a Gentle Introduction to the Multivariate LIBOR Market Model

Number of pages: 30 Posted: 09 Feb 2012 Last Revised: 11 Jul 2013
Vasily Nekrasov
letYourMoneyGrow.com
Downloads 704 (78,764)

Abstract:

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term structure modeling, vasicek model, black formula 76, HLM. multivariate LIBOR Market model, tutorial for self-studying

3.

Comments on 'Fourier Series Method for Measurement of Multivariate Volatilities' by P. Malliavin and M. E. Mancino

Number of pages: 13 Posted: 25 May 2007
Vasily Nekrasov
letYourMoneyGrow.com
Downloads 380 (166,962)

Abstract:

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volatility measurement, Fourier series method