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by pcerutti
May 3rd, 2016, 8:02 am
Forum: Book And Research Paper Forum
Topic: second hand book exchange?
Replies: 7
Views: 22073

second hand book exchange?

Grazie Daniel...
by pcerutti
May 3rd, 2016, 7:48 am
Forum: Book And Research Paper Forum
Topic: second hand book exchange?
Replies: 7
Views: 22073

second hand book exchange?

<r>Have a look at my list of second hand books (but most of them like new) at:<URL url="http://www.wilmott.com/messageview.cfm?catid=11&threadid=83666&FTVAR_MSGDBTABLE=Books"><LINK_TEXT text="http://www.wilmott.com/messageview.cfm? ... ABLE=Books">http://www.wilmott.com/messageview.cfm?catid...
by pcerutti
May 26th, 2015, 6:50 am
Forum: Book And Research Paper Forum
Topic: Books for sale - a good way to save your money
Replies: 36
Views: 46537

Books for sale - a good way to save your money

Just to remember my big "save money" sale...See all the titles below Write me at deriv@libero.it for details.
by pcerutti
March 12th, 2015, 8:19 am
Forum: Trading Forum
Topic: Bloomberg as a position keeping system
Replies: 2
Views: 3954

Bloomberg as a position keeping system

Hi, does anybody have experience with Bloomberg as a position keeping, middle and back office system?Thanks
by pcerutti
January 20th, 2015, 9:06 am
Forum: Technical Forum
Topic: Advanced Implied Volatility Surface techniques
Replies: 6
Views: 4673

Advanced Implied Volatility Surface techniques

Alan, what about the second edition of your book?
by pcerutti
November 20th, 2014, 12:30 pm
Forum: Technical Forum
Topic: From a volatility index to a volatility surface
Replies: 12
Views: 4758

From a volatility index to a volatility surface

Thank you for your reply but I need to solve my problem as I explained it.I cannot go throught portfolio vega, I just need to have a proxy volatility surface in case I cannot calculate the true one and this proxy should come from what I told you before.
by pcerutti
November 20th, 2014, 10:28 am
Forum: Technical Forum
Topic: From a volatility index to a volatility surface
Replies: 12
Views: 4758

From a volatility index to a volatility surface

<t>I want to find a proxy to replicate a volatility surface in case I have no data at time T. I will use this proxy volatility surface for VAR calculation purposes.Case1): I have the whole surface at time T-1 but I have just the ATM term structure at time T--> how can I estimate skew from the surfac...
by pcerutti
November 20th, 2014, 9:26 am
Forum: Technical Forum
Topic: From a volatility index to a volatility surface
Replies: 12
Views: 4758

From a volatility index to a volatility surface

What about if I have the ATM term structure?Can I get from it the whole surface? Is there any model?Maybe you can fit some parameters to get the skew from an old surface and then use these parameters to modelize the whole surface starting form the ATM term structure...Any papers?
by pcerutti
November 19th, 2014, 1:54 pm
Forum: Technical Forum
Topic: From a volatility index to a volatility surface
Replies: 12
Views: 4758

From a volatility index to a volatility surface

Why not? Please explain...Other ideas?
by pcerutti
November 19th, 2014, 1:36 pm
Forum: Technical Forum
Topic: From a volatility index to a volatility surface
Replies: 12
Views: 4758

From a volatility index to a volatility surface

<t>Hi everybody, is it possible to calculate a volatility surface from a volatility index like VIX?I know that Exchanges calculate a volatility index from listed option prices but I would like to solve the inverse problem: given a daily time series of volatility (the index) I would like to reconstru...
by pcerutti
November 12th, 2014, 1:24 pm
Forum: Technical Forum
Topic: Average of Statistics and Principal Component Analysis
Replies: 11
Views: 5443

Average of Statistics and Principal Component Analysis

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by pcerutti
October 22nd, 2014, 8:51 am
Forum: Technical Forum
Topic: Average of Statistics and Principal Component Analysis
Replies: 11
Views: 5443

Average of Statistics and Principal Component Analysis

Thank you very much Neuroguy.
by pcerutti
September 30th, 2014, 7:03 am
Forum: Technical Forum
Topic: Average of Statistics and Principal Component Analysis
Replies: 11
Views: 5443

Average of Statistics and Principal Component Analysis

Any paper about this method?Wish to reply to all my questions one by one in a deeper way?Thank you very much.
by pcerutti
September 25th, 2014, 7:40 am
Forum: Technical Forum
Topic: Average of Statistics and Principal Component Analysis
Replies: 11
Views: 5443

Average of Statistics and Principal Component Analysis

<t>Dear All ,I have a very big class of equity returns (about 500 time series each of 500 daily observations) from which to infer some statistics to detect outliers (sample mean, sample deviation, quartiles, median absolute dev and so on). Once I have calculated for each time series the above statis...
by pcerutti
September 18th, 2014, 12:12 pm
Forum: Technical Forum
Topic: How to reduce the number of stocks for statistical analysis
Replies: 1
Views: 3472

How to reduce the number of stocks for statistical analysis

<t>Hi everybody,I have the following problem to solve:I have a very large time series dataset on more than 1000 stocks on different markets and currencies (my Equity Class) . For each stock I have calculated daily returns for 2 years.For statistical analysis (I need to find some measure of dispersio...
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