Avellaneda's papers

QGenius · August 24th, 2005, 6:37 pm

Has anyone of you found Avellaneda's papers ( such as the ones on weighted monte carlo, steepest descent approximation, intrinsic value hedging etc. ) useful for analyzing dispersion trades ? Anyone tried to implement these methods ? Thx.

QGenius · August 30th, 2005, 4:34 pm

I agree .... Avellaneda's paper/presentation on dispersion trades is crap. Full of errors !!!!!!!!!!!

aptenodyte · December 20th, 2005, 1:21 pm

great to see that you agre with yourself

cosmologist · December 21st, 2005, 5:19 am

I hope you have done the calculations,Mr. Q Genius.Are you sure about the assertions.