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by reza
December 16th, 2005, 6:31 pm
Forum: Technical Forum
Topic: Kalman Filter
Replies: 8
Views: 127860

Kalman Filter

<r>or alternatively there are a couple of different derivations in ... <AMAZON id="0471733873" url="http://www.amazon.com/gp/product/0471733873/ref=pd_kar_1/104-9223669-5041568?n=283155"><URL url="http://www.amazon.com/gp/product/0471733873/ref=pd_kar_1/104-9223669-5041568?n=283155"><LINK_TEXT text=...
by reza
June 7th, 2005, 11:47 am
Forum: Technical Forum
Topic: MLE for complicated stochatic process
Replies: 5
Views: 146874

MLE for complicated stochatic process

<r>>> there is no known likelihood function for stochastic vol, right? James, Kyriakos Fyi, this is actually the principal focus of this book (coming out in September)<URL url="http://www.wiley.com/WileyCDA/WileyTitle/productCd-0471733873.html"><LINK_TEXT text="http://www.wiley.com/WileyCDA/WileyTit...
by reza
March 26th, 2005, 10:19 pm
Forum: Off Topic
Topic: Here's what happened to Reza
Replies: 48
Views: 166518

Here's what happened to Reza

hi, apologies, I cannot make it to Columbia on that day after allI am giving the same talk at ICBI Paris thoughplus, I think the article will be in Wilmott magazine May issue
by reza
January 25th, 2005, 10:24 pm
Forum: Book And Research Paper Forum
Topic: New Book - Inside Volatility Arbitrage : The Secrets of Skewness by Alireza Javaheri
Replies: 11
Views: 164782

New Book - Inside Volatility Arbitrage : The Secrets of Skewness by Alireza Javaheri

wow, coming from Nassim, we should put that on the back-cover !
by reza
January 25th, 2005, 12:11 pm
Forum: Book And Research Paper Forum
Topic: New Book - Inside Volatility Arbitrage : The Secrets of Skewness by Alireza Javaheri
Replies: 11
Views: 164782

New Book - Inside Volatility Arbitrage : The Secrets of Skewness by Alireza Javaheri

<t>sure,here is a non-final version of the table of contents, sorry it is rather awkward but it is all in laTex ...------------------------------------------------------------------------------------------------Introduction Summary Contributions and Further Research Data and Programs The Volatility ...
by reza
January 24th, 2005, 5:46 pm
Forum: Book And Research Paper Forum
Topic: New Book - Inside Volatility Arbitrage : The Secrets of Skewness by Alireza Javaheri
Replies: 11
Views: 164782

New Book - Inside Volatility Arbitrage : The Secrets of Skewness by Alireza Javaheri

Thanks, this is actually my dissertation, which many of you have helped me with!in particular the section on inference from stochastic volatlity time-series
by reza
January 24th, 2005, 5:44 pm
Forum: Off Topic
Topic: Here's what happened to Reza
Replies: 48
Views: 166518

Here's what happened to Reza

>> connection between elliptic curves, Hermite polynomials and symplectic manifoldsN, fyi, Boris Rozovskii (UCLA) has also looked into this I believe
by reza
January 19th, 2005, 2:28 pm
Forum: Off Topic
Topic: Here's what happened to Reza
Replies: 48
Views: 166518

Here's what happened to Reza

<t>Guys, Thanks so much for your interest, I’m really flattered!I’ve been working in Citigroup for almost a year now and there is much less time for posting messages …However I do follow some of your discussions with a lot of interestI’ll try to drop a line and pick your brains occasionally cheers <...
by reza
January 3rd, 2005, 12:10 pm
Forum: Off Topic
Topic: What ever happened to Reza?
Replies: 13
Views: 165154

What ever happened to Reza?

hiand Thanks very much for asking !I'm around and follow the discussions with a lot of interesthowever, as you probably have guessed, my employer does not like me to post too many messagesI will try to participate from time to time thoughcheers and Happy 2005 !
by reza
July 3rd, 2004, 3:34 pm
Forum: Technical Forum
Topic: Inference Challenge
Replies: 342
Views: 206597

Inference Challenge

just found this on the web:wwwhome.math.utwente.nl/~turganbayeva/FP.pptit is a research work supervised by Arun Bagchi (Twente University)they seem to reach similar results (see second point in their their "Conclusion" section)so we were right after all !!!
by reza
July 2nd, 2004, 9:07 pm
Forum: Off Topic
Topic: Best Movie one liners
Replies: 509
Views: 213899

Best Movie one liners

Brando died
by reza
June 29th, 2004, 6:08 pm
Forum: Off Topic
Topic: Classical Music
Replies: 24
Views: 186658

Classical Music

looking for Forum members to form a Neville Marriner fan club gjlipman is automatically in as a member of the old BWV club
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