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

14

DOWNLOADS
Rank 1,048

SSRN RANKINGS

Top 1,048

in Total Papers Downloads

19,940

CITATIONS
Rank 25,463

SSRN RANKINGS

Top 25,463

in Total Papers Citations

10

Scholarly Papers (14)

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 4,971 (950)
Citation 1

Abstract:

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: 16 Mar 2011
Bloomberg L.P., Google Inc., Bloomberg Financial Markets (BFM) - Bloomberg LP and Bloomberg L.P. - R&D
Downloads 3,149 (2,099)

Abstract:

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.

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 3,040 (2,225)
Citation 2

Abstract:

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

4.

FX Market Behavior and Valuation

Number of pages: 41 Posted: 12 Jan 2007
Harvey J. Stein
Bloomberg L.P.
Downloads 2,947 (2,382)
Citation 1

Abstract:

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

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 (NYU) - Courant Institute of Mathematical Sciences and Bloomberg L.P. - R&D
Downloads 1,737 (6,237)
Citation 6

Abstract:

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 1,080 (13,955)

Abstract:

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 Underexposed Snapshots -- Proper Computation of Credit Exposures Under the Real World and Risk Neutral Measures

Number of pages: 23 Posted: 19 Dec 2013 Last Revised: 07 Jan 2014
Harvey J. Stein
Bloomberg L.P.
Downloads 520 (31,506)

Abstract:

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.

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 358 (62,789)

Abstract:

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

9.

Joining Risks and Rewards

Number of pages: 12 Posted: 08 Jan 2014
Harvey J. Stein
Bloomberg L.P.
Downloads 318 (51,250)

Abstract:

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

10.

Risky Measures of Risk: Error Analysis of Numerical Differentiation

Number of pages: 80 Posted: 09 Jan 2007
Harvey J. Stein
Bloomberg L.P.
Downloads 302 (74,363)

Abstract:

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

11.

Risk Tails and General Orthonormal Polynomials

Number of pages: 12 Posted: 12 Jul 2016 Last Revised: 22 Jul 2016
Jan W Dash, Harvey J. Stein and Mario Bondioli
Bloomberg LP, Bloomberg L.P. and Bloomberg L.P.
Downloads 0 (409,567)

Abstract:

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

12.

Analytic Solution to the Two Dimension Merton Model

Number of pages: 12 Posted: 12 Jul 2016 Last Revised: 22 Jul 2016
Jan W Dash, Mario Bondioli and Harvey J. Stein
Bloomberg LP, Bloomberg L.P. and Bloomberg L.P.
Downloads 0 (370,582)

Abstract:

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

13.

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 W Dash, Xipei Yang, Harvey J. Stein and Mario Bondioli
Bloomberg LP, Bloomberg L.P., Bloomberg L.P. and Bloomberg L.P.
Downloads 0 (404,660)

Abstract:

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

14.

SSA, Random Matrix Theory, and Noise-Reduced Correlations

Number of pages: 19 Posted: 11 Jul 2016 Last Revised: 20 Sep 2016
Jan W Dash, Xipei Yang, Mario Bondioli and Harvey J. Stein
Bloomberg LP, Bloomberg L.P., Bloomberg L.P. and Bloomberg L.P.
Downloads 0 (302,176)

Abstract:

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