Harvey J. Stein

Two Sigma

100 6th Ave

New York, NY 10013

United States

Columbia University - Department of Mathematics

Adjunct Professor

New York, NY

United States

  • Two Sigma

  • Columbia University - Department of Mathematics

SCHOLARLY PAPERS

26

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33,310

SSRN CITATIONS
Rank 25,118

SSRN RANKINGS

Top 25,118

in Total Papers Citations

25

CROSSREF CITATIONS

19

Scholarly Papers (26)

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1.

Valuation of Exotic Interest Rate Derivatives - Bermudans and Range Accruals

Number of pages: 75 Posted: 27 Dec 2007
Harvey J. Stein
Two Sigma
Downloads 6,167 (2,221)
Citation 2

Abstract:

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HJM, LGM, HW, Gaussian, linear, Markovian, Hull-White, swap, swaption, Bermudan, range, range accrual, cap, caplet, floor, digital, stripping, convexity, convexity adjustment, adjustment, adjusters, control variate, interest rate modeling, interest rate exotics

2.

FX Market Behavior and Valuation

Number of pages: 41 Posted: 12 Jan 2007
Harvey J. Stein
Two Sigma
Downloads 3,974 (4,660)
Citation 3

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Foreign exchange, Forex, FX, Foreign, Call, Put, Vanilla, Black-Scholes, Vanna-volga, Hedging, Stochastic, volatility, local volatility, Random risk reversal, Stochastic skew, skew, term structure, numerical methods, interpolation, business time

3.

Analysis of Mortgage Backed Securities: Before and after the Credit Crisis

Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity; Bielecki, Tomasz,; Damiano Brigo and Frederic Patras, eds., February 2011
Number of pages: 42 Posted: 07 Jan 2007 Last Revised: 29 Jun 2018
Harvey J. Stein, Alexander L. Belikoff, Kirill Levin and Xusheng Tian
Two Sigma, Google Inc., Bloomberg Financial Markets (BFM) - Bloomberg LP and Bloomberg L.P. - R&D
Downloads 3,886 (4,832)
Citation 3

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MBS, CMO, OAS, credit crisis, subprime crisis, interest rate modeling, rate, yield, yield curve, Gaussian, Monte Carlo, parallelization, GPU, CUDA, Markovian, mortgage, mortgage backed, collateralized mortgage obligation, collateralized, structured product, prepayment, prepayment modeling

4.

Counterparty Valuation Adjustments

CREDIT RISK FRONTIERS: SUBPRIME CRISIS, PRICING AND HEDGING, CVA, MBS, RATINGS, AND LIQUIDITY; Tomasz Bielecki, Damiano Brigo and Frederic Patras, eds., February 2011
Number of pages: 24 Posted: 28 Aug 2009 Last Revised: 15 Feb 2012
Harvey J. Stein and Kin Pong Lee
Two Sigma and Bloomberg L.P.
Downloads 3,663 (5,389)

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CVA, risk, counterparty risk, credit risk, counterparty risk valuation, interest rate derivatives, CDS, credit default swaps, CCDS, contingent credit default swaps, interest rate swaps, credit crisis, financial crisis, FASB 157, IAS 39

5.

The Bloomberg Corporate Default Risk Model (DRSK) for Public Firms

Number of pages: 33 Posted: 28 Aug 2021
Mario Bondioli, Martin Goldberg, Nan Hu, Chengrui Li, Olfa Maalaoui, Olfa Maalaoui and Harvey J. Stein
Bloomberg L.P., Validationquant LLC, Bloomberg L.P., Bloomberg L.P., Bloomberg L.P.Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance and Two Sigma
Downloads 3,469 (5,884)
Citation 5

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Merton, Black-Cox, distance to default, real-world default probability, logistic regression, public firms, credit risk

6.

Modeling Momentum and Reversals

Number of pages: 10 Posted: 13 Apr 2022 Last Revised: 10 Feb 2023
Harvey J. Stein and Jacob Pozharny
Two Sigma and Bridgeway Capital Management
Downloads 2,031 (13,783)
Citation 1

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portfolio optimization,trading strategy, mean reversion, reversals, momentum

7.

Time for a Change: The Variance Gamma Model and Option Pricing

Number of pages: 12 Posted: 12 Jan 2007
Harvey J. Stein, Peter Carr and Apollo Hogan
Two Sigma, New York University Finance and Risk Engineering and Bloomberg L.P. - R&D
Downloads 2,028 (13,798)
Citation 9

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Black-Scholes, variance gamma model, skew, kurtosis, volatility smile, option pricing, equity options, time changed Brownian motion

8.

Mortgage Backed Valuation

Number of pages: 119 Posted: 10 Jan 2007
Harvey J. Stein
Two Sigma
Downloads 1,244 (29,104)

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MBS, CMO, OAS, interest rate modeling, rate, yield, yield curve, Gaussian, Monte Carlo, parallelization, Markovian, mortgage, mortgage backed, collateralized mortgage obligation, collateralized, structured product, prepayment, prepayment modeling

9.

Fixing Risk Neutral Risk Measures

International Journal of Theoretical and Applied Finance, Vol. 19, No. 3, 2016
Number of pages: 31 Posted: 19 Dec 2013 Last Revised: 05 Dec 2017
Harvey J. Stein
Two Sigma
Downloads 1,020 (38,699)
Citation 6

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Credit risk, Regulation, Credit exposure, Basel, Dodd-Frank, PFE, EE, EPE, EEPE, Risk neutral measure, Real world measure, CVA, Credit valuation adjustment, Option modeling, Equivalent martingale measure, Change of measure, Expected exposure, Potential future exposure

10.

Big Data's Dirty Secret

Number of pages: 26 Posted: 11 Jul 2018
Harvey J. Stein and Yan Zhang
Two Sigma and Bloomberg LP
Downloads 696 (65,065)

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Data cleaning, big data, machine learning, SSA, MSSA, PCA, Data science, outlier detection, anomaly detection

11.

Speeding up VaR with VDR

Number of pages: 18 Posted: 11 Mar 2022
Mario Bondioli, Stan Maydan, Harvey J. Stein and Yan Zhang
Bloomberg L.P., Bloomberg LP, Two Sigma and Bloomberg LP
Downloads 669 (68,439)

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risk calculations, VaR, ES, pricing approximation, fast pricing, machine learning, SVD, geometric data analysis, topological data analysis

12.

Joining Risks and Rewards

Appeared as "Two measures for the price of one", Risk magazine, March, 2015.
Number of pages: 12 Posted: 08 Jan 2014 Last Revised: 25 Jul 2017
Harvey J. Stein
Two Sigma
Downloads 660 (69,638)
Citation 4

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Risk analytics, VaR, EE, PFE, EPE, CVA, Monte Carlo, Expected exposure, Credit valuation adjustment, Change of measure, Risk neutral measure, Real world measure, Combining measures

13.

The Bloomberg Corporate Default Risk Model (DRSK) for Private Firms

Number of pages: 31 Posted: 27 Aug 2021
Mario Bondioli, Martin Goldberg, Nan Hu, Chengrui Li, Olfa Maalaoui, Olfa Maalaoui and Harvey J. Stein
Bloomberg L.P., Validationquant LLC, Bloomberg L.P., Bloomberg L.P., Bloomberg L.P.Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance and Two Sigma
Downloads 633 (73,455)
Citation 6

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DRSK, private firms, real-world default probability, distance to default, credit risk, logistic regression

14.

SRSK - The Bloomberg Sovereign Risk Model

Number of pages: 25 Posted: 27 Aug 2021 Last Revised: 28 Aug 2021
Lili Cai and Harvey J. Stein
Bloomberg L.P. and Two Sigma
Downloads 551 (87,244)

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SRSK, default probabilities, sovereign risk, sovereign default, credit risk

15.

Hitting the Rate Notes

Bloomberg Markets, July 2009
Number of pages: 3 Posted: 06 Sep 2009 Last Revised: 15 Feb 2012
Mirko Filippi and Harvey J. Stein
Bloomberg L.P. and Two Sigma
Downloads 414 (123,051)

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Structured note, interest rate derivatives, credit risk, exotic interest rate derivatives, derivatives, valuation

16.

Risky Measures of Risk: Error Analysis of Numerical Differentiation

Number of pages: 80 Posted: 09 Jan 2007
Harvey J. Stein
Two Sigma
Downloads 381 (135,249)

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greeks, delta, gamma, theta, differentiation, numerical, numerical differentiation, error, error control, roundoff, convexity, cancellation, smoothing, Hermite, filtering, convolution, Fourier, Gaussian, quadrature, Complex

17.

A Unified Framework for Default Modeling

Number of pages: 34 Posted: 16 May 2022
Harvey J. Stein, Albert Cohen and Nick Costanzino
Two Sigma, Michigan State University - Department of Mathematics and Jefferies Group
Downloads 341 (152,641)

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stopping time, default modeling, reduced form, structural model, credit risk

18.

Model Invariants and Functional Regularization

Number of pages: 15 Posted: 14 Dec 2021
Harvey J. Stein
Two Sigma
Downloads 338 (154,059)

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Statistics, Regularization, Bayesian estimation, Ridge regression, Lasso, Neural networks, MLE, Linear invariance, Machine learning

19.

Architecture, Design, and Mathematics

Number of pages: 6 Posted: 07 Aug 2019
Harvey J. Stein
Two Sigma
Downloads 261 (201,556)

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Architecture, Design, Lighting, Religious Symbolism, Monte Carlo, Low Discrepancy Sequences, Mathematics

20.

SSA, Random Matrix Theory, and Noise-Reduced Correlations

Number of pages: 19 Posted: 11 Jul 2016 Last Revised: 20 Sep 2016
Jan Dash, Xipei Yang, Mario Bondioli and Harvey J. Stein
Fordham University, Bloomberg L.P., Bloomberg L.P. and Two Sigma
Downloads 173 (295,434)
Citation 2

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

21.

Analytic Solution to the Two Dimension Merton Model

Number of pages: 12 Posted: 12 Jul 2016 Last Revised: 22 Jul 2016
Jan Dash, Mario Bondioli and Harvey J. Stein
Fordham University, Bloomberg L.P. and Two Sigma
Downloads 156 (322,482)

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

22.

Introduction to Noise-Reduced Correlations Using Singular Spectrum Analysis

Number of pages: 12 Posted: 30 Aug 2017
Jan Dash, Xipei Yang, Mario Bondioli and Harvey J. Stein
Fordham University, Bloomberg L.P., Bloomberg L.P. and Two Sigma
Downloads 149 (334,977)

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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

23.

COVID-19 Data Collection: Garbage In, Garbage Out

Number of pages: 8 Posted: 23 Feb 2022
Harvey J. Stein
Two Sigma
Downloads 117 (402,986)

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COVID-19, statistics, data analysis, machine learning

24.

Stopping the Clock On Retirement: Target Wealth Stopping Time Problems

Number of pages: 42 Posted: 06 Nov 2019 Last Revised: 19 Aug 2021
James W Shearer and Harvey J. Stein
affiliation not provided to SSRN and Two Sigma
Downloads 115 (408,112)

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Retirement, pension, portfolio optimization

25.

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
Jan Dash, Xipei Yang, Harvey J. Stein and Mario Bondioli
Fordham University, Bloomberg L.P., Two Sigma and Bloomberg L.P.
Downloads 94 (469,641)
Citation 4

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

26.

Risk Tails and General Orthonormal Polynomials

Number of pages: 12 Posted: 12 Jul 2016 Last Revised: 22 Jul 2016
Jan Dash, Harvey J. Stein and Mario Bondioli
Fordham University, Two Sigma and Bloomberg L.P.
Downloads 80 (518,562)

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