Rank: 1532 based on 74 downloads (last 30 days) and 3 files submitted
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Vilen Abramov

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Company/University
BB&T

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Professional Interests:
finance, model validation, market risk, pricing, derivatives, curve building, simulations

 

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Files Posted by Vilen View all
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(last 30 days)
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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 35 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 20 0
Comments and Ratings on Vilen's Files View all
Updated File Comment by Comments Rating
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 Levy, Bob

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