Harvey J. Stein

Bloomberg L.P.

Head, Quantitative Risk Analytics

731 Lexington Avenue

New York, NY 10022

United States

Columbia University - Department of Mathematics

Adjunct Professor

New York, NY

United States

SCHOLARLY PAPERS

18

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Scholarly Papers (18)

1.

Valuation of Exotic Interest Rate Derivatives - Bermudans and Range Accruals

Number of pages: 75 Posted: 27 Dec 2007
Harvey J. Stein
Bloomberg L.P.
Downloads 5,615 (1,193)

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.

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
Bloomberg L.P., Google Inc., Bloomberg Financial Markets (BFM) - Bloomberg LP and Bloomberg L.P. - R&D
Downloads 3,611 (2,576)

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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

3.

FX Market Behavior and Valuation

Number of pages: 41 Posted: 12 Jan 2007
Harvey J. Stein
Bloomberg L.P.
Downloads 3,489 (2,729)

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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

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
Bloomberg L.P. and Bloomberg L.P.
Downloads 3,429 (2,808)

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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.

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
Bloomberg L.P., New York University Finance and Risk Engineering and Bloomberg L.P. - R&D
Downloads 1,879 (7,854)

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

6.

Mortgage Backed Valuation

Number of pages: 119 Posted: 10 Jan 2007
Harvey J. Stein
Bloomberg L.P.
Downloads 1,150 (17,199)

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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

7.

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
Bloomberg L.P.
Downloads 773 (30,602)

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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

8.

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
Bloomberg L.P.
Downloads 521 (51,611)

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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

9.

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 Bloomberg L.P.
Downloads 378 (76,317)

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

10.

Big Data's Dirty Secret

Number of pages: 26 Posted: 11 Jul 2018
Harvey J. Stein and Yan Zhang
Bloomberg L.P. and Bloomberg LP
Downloads 366 (79,298)

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

11.

Risky Measures of Risk: Error Analysis of Numerical Differentiation

Number of pages: 80 Posted: 09 Jan 2007
Harvey J. Stein
Bloomberg L.P.
Downloads 333 (88,365)

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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

12.

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
Bloomberg LP, Bloomberg L.P., Bloomberg L.P. and Bloomberg L.P.
Downloads 92 (275,220)

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

13.

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
Bloomberg LP, Bloomberg L.P. and Bloomberg L.P.
Downloads 71 (321,288)

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

14.

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
Bloomberg LP, Bloomberg L.P., Bloomberg L.P. and Bloomberg L.P.
Downloads 65 (336,806)

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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

15.

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
Bloomberg LP, Bloomberg L.P. and Bloomberg L.P.
Downloads 44 (402,351)

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

16.

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
Bloomberg LP, Bloomberg L.P., Bloomberg L.P. and Bloomberg L.P.
Downloads 44 (402,351)

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

17.

Stopping the Clock On Retirement: Target Wealth Stopping Time Problems

Number of pages: 23 Posted: 17 Jun 2019
James W Shearer and Harvey J. Stein
affiliation not provided to SSRN and Bloomberg L.P.
Downloads 39 (420,976)

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Retirement, pension, portfolio optimization

18.

Architecture, Design, and Mathematics

Number of pages: 6
Harvey J. Stein
Bloomberg L.P.
Downloads 0

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