Rank: 83 based on 793 downloads (last 30 days) and 22 files submitted
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Attilio Meucci

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www.symmys.com

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13 Jan 2014 Screenshot Portfolio DiversiĀ…cation Based on Optimized Uncorrelated Factors Minimum Torsion Bets for Effective Number of Bets and Diversification Distribution Author: Attilio Meucci portfolio management, risk management, marginal risk contrib..., finance 64 1
02 Dec 2013 Screenshot Neither "Normal" not "Lognormal": Modeling Interest Rates Across all Regimes Inverse Call Transformation to compute shadow rates Author: Attilio Meucci portfolio management, risk management, quantitative finance, interest rate modelin... 33 0
29 Aug 2013 Screenshot A Fully Integrated Liquidity and Market Risk Model Conditional convolution algorithm to blend market risk and liquidity risk Author: Attilio Meucci risk management, portfolio management, liquidity risk, funding risk, liquidation policy, market impact 36 0
09 Sep 2011 Screenshot Copula-Marginal Algorithm (CMA) Copula-Marginal Algorithm, to generate and manipulate rich copulas for risk and portfolio management Author: Attilio Meucci portfolio management, risk management, quantitative finance, statistics 52 0
12 May 2011 Screenshot Visualizing the Propagation of Risk Square-root rule diffusion for location-dispersion ellipsoid Author: Attilio Meucci financial engineering, portfolio management, quantitative finance, risk management, statistics 23 0
Comments and Ratings on Attilio's Files View all
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17 Dec 2013 Review of Discrete and Continuous Processes in Finance discrete-time and continuous-time processes for finance, theory and empirical examples Author: Attilio Meucci Zoe

17 Dec 2013 Exercises in Advanced Risk and Portfolio Management text and comments on solutions available at http://symmys.com/node/170 Author: Attilio Meucci Zoe

14 Dec 2013 Exercises in Advanced Risk and Portfolio Management text and comments on solutions available at http://symmys.com/node/170 Author: Attilio Meucci francesco

very comprehensive work

17 Nov 2013 Portfolio DiversiĀ…cation Based on Optimized Uncorrelated Factors Minimum Torsion Bets for Effective Number of Bets and Diversification Distribution Author: Attilio Meucci D, David Gerhard

i cannot open it with 2013b:

Error using open (line 100)
File blblabl\*.m not found (with all 3 files). Any Idea ? Compatibility problems with 13a vs 13b?

03 Nov 2013 Exercises in Advanced Risk and Portfolio Management text and comments on solutions available at http://symmys.com/node/170 Author: Attilio Meucci Mirko

outstanding

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