Gaia Serraino

 

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02 Oct 2008		VaR vs CVaR in Risk Management and Optimization Case studies on VaR and CVaR optimization Author: Gaia Serraino	cvar optimization, optimization, var optimization, risk management, risk	16	1	5.0 5.0 | 1 rating

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06 Oct 2008	VaR vs CVaR in Risk Management and Optimization Case studies on VaR and CVaR optimization Author: Gaia Serraino	Chiappini, Ciro	Useful supplemental information for the paper. The PSG tool is an extremely powerful solver!.

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finance, cvar optimization, discount factors curve building, discount factors curve construction, optimization

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Updated		File	Tags	Downloads (last 30 days)	Comments	Rating
02 Oct 2008		VaR vs CVaR in Risk Management and Optimization Case studies on VaR and CVaR optimization Author: Gaia Serraino	cvar optimization, optimization, var optimization, risk management, risk	16	1	5.0 5.0 | 1 rating

Files Matching Gaia's Watch List					View all 1 - 3 of 3
Updated		File	Tags	Downloads (last 30 days)	Comments	Rating
31 Mar 2009		Volatility Surface Compute and Plot Volatility Surfaces from Market Prices Author: Rodolphe Sitter	implied volatility, black, surface, volatility, scholes, blackscholes	32	7	5.0 5.0 | 1 rating
26 Jan 2009		Multivariate Nonlinear optimization using Marquardt Method Multivariate Nonlinear optimization using Marquardt Method Author: Siamak Faridani	hessian, optimization, nonlinear, derivative	3	0
02 Oct 2008		VaR vs CVaR in Risk Management and Optimization Case studies on VaR and CVaR optimization Author: Gaia Serraino	cvar optimization, optimization, var optimization, risk management, risk	16	1	5.0 5.0 | 1 rating

Comments and Ratings Matching Gaia's Watch List			1-5 of 7
Date	File	Comment by	Comments	Rating
29 Jan 2011	Volatility Surface Compute and Plot Volatility Surfaces from Market Prices	Marc	I like the kernel smoothing part ! thks for sharing	5
23 Jun 2010	Volatility Surface Compute and Plot Volatility Surfaces from Market Prices	Darren	Dear Rodolphe, In follow up to my previous question: More important than the graph, shouldn't the surface structure return T, M, and IV to Example 1 (once I comment out the graphing issue)? I receive empty matrices. Output: Elapsed time is 0.552350 seconds. >> whos Name Size Bytes Class Attributes CallPrice 721x1 5768 double Maturity 721x1 5768 double S0 1x1 8 double SPX 723x4 23136 double Strike 721x1 5768 double r 1x1 8 double surface 1x1 636 struct >> surface surface = hT: NaN hM: NaN T: [0x2 double] M: [0x2 double] IV: [1x0 double]	Comment only
22 Jun 2009	Volatility Surface Compute and Plot Volatility Surfaces from Market Prices	Rodolphe Sitter	Dear George, I used the fzero command is my code which uses an algorithm originated by T. Dekker: a combination of bisection, secant, and inverse quadratic interpolation methods. Matlab has the advantage of having a lot of built-in functions like this that you can use to make coding easier. When coding, you don't actually need to write your own algorithms but you should use the available Matlab functions who do the hard work for you. I hope it answers you question. thx for the feedback.	Comment only
20 Jun 2009	Volatility Surface Compute and Plot Volatility Surfaces from Market Prices	George Tzallas	Dear Rodolphe, I can't understand the method you are using in order to calculate the implied volatility, ImpliedVol(i). Why you don't use newton raphson method or bisection method, in order to match the volatility with the option market price coming from the BS formula?	Comment only
13 Jun 2009	Volatility Surface Compute and Plot Volatility Surfaces from Market Prices	Pankaj Kalwani	I get the error message: ??? Error: File: C:\MATLAB6p5\work\VolSurface.m Line: 87 Column: 12 Missing operator, comma, or semicolon.	Comment only