Monthly Archives: February 2011

An interesting portfolio optimization question…

Posted on February 13, 2011 by David

Let’s pretend I am a trader on a structured products desk in late 2008, early 2009 and I have a very strong view that the baby has been thrown out with the bathwater, and numerous bonds that are currently priced … Continue reading →

Posted in Statistics | Leave a comment

NYU Research Day

Posted on February 6, 2011 by David

I got to attend the research day hosted by the finance department at NYU this past Friday. Very high level of presentations for what were all working papers. My personal favorite was Aswath Damodaran talking about the equity risk premium … Continue reading →

Posted in Finance | Leave a comment

Some simulation code

Posted on February 2, 2011 by David

For one of my first classes at Baruch’s MS program I worked on replicating some of the simulation results from Realised Kernels in Practice: Trades and Quotes by Barndorff-Nielsen, Hansen, Lunde and Shephard. What were my goals for the project? … Continue reading →

Posted in Includes C# code, School, Statistics | Leave a comment