SERVING THE QUANTITATIVE FINANCE COMMUNITY

 
User avatar
deskquant
Topic Author
Posts: 48
Joined: October 24th, 2010, 2:54 am

Portfolio market making.

April 23rd, 2012, 12:47 am

Hi,Any academic research in this area, what is a good way to approach this problem. The problem being how do you design a risk model to make markets in say a bunch of correlated assets. In particular how do you take account the fact that the dollar notional exposure of risk changes in time as your portfolio changes in time.
ABOUT WILMOTT

PW by JB

Wilmott.com has been "Serving the Quantitative Finance Community" since 2001. Continued...


Twitter LinkedIn Instagram

JOBS BOARD

JOBS BOARD

Looking for a quant job, risk, algo trading,...? Browse jobs here...


GZIP: On