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Avellaneda's papers
Posted: August 24th, 2005, 6:37 pm
by QGenius
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.
Avellaneda's papers
Posted: August 30th, 2005, 4:34 pm
by QGenius
I agree .... Avellaneda's paper/presentation on dispersion trades is crap. Full of errors !!!!!!!!!!!
Avellaneda's papers
Posted: December 20th, 2005, 1:21 pm
by aptenodyte
great to see that you agre with yourself
Avellaneda's papers
Posted: December 21st, 2005, 5:19 am
by cosmologist
I hope you have done the calculations,Mr. Q Genius.Are you sure about the assertions.