Rank: 1444 based on 97 downloads (last 30 days) and 3 files submitted
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Vilen Abramov

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Files Posted by Vilen Abramov View all
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15 Nov 2012 Screenshot Hurst Exponent Estimation the code uses R/S analysis to derive Hurst exponent Author: Vilen Abramov hurst, finance, var, risk weighted assets, power law, model validation 60 1
14 Aug 2012 Screenshot FX Forward This file replicates cross-currency forward pricing using covered interest parity (CIP) Author: Vilen Abramov forex, forward, exchange rate, interest rate parity, covered interest pari..., cip 19 0
  • 5.0
5.0 | 1 rating
31 Jul 2012 Hazard Rate Bootstrapping This file bootstraps hazard rates from a series of 1/3/5/7/10-year par spreads. Author: Vilen Abramov cds, bootstrapping, pricing, finance, survival, hazard 18 0
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08 Jul 2013 Hurst Exponent Estimation the code uses R/S analysis to derive Hurst exponent Author: Vilen Abramov Diego

Great!!

14 Nov 2012 FX Forward This file replicates cross-currency forward pricing using covered interest parity (CIP) Author: Vilen Abramov Bob Levy

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