En clases.... (@ EGADE Business School) http://4sq.com/ldxZFR
En clases.... (@ EGADE Business School) http://4sq.com/ldxZFR
View ArticleFinally, the great moment is here. The students turned their tassels from...
Finally, the great moment is here. The students turned their tassels from left to right. They officially graduated... http://fb.me/PrJaV1bX
View ArticleHavard business school's tip of the day. Builds on RTR strength planHBR.org:...
Havard business school's tip of the day. Builds on RTR strength planHBR.org: Praise as Much as You Criticize http://t.co/QekcvnR
View Article@Norakaa à¸à¸·à¸ CFO...
@Norakaa à¸à¸·à¸ CFO à¸à¸ MIT Business school à¸à¹à¸°à¸à¸£à¸±à¸à¸à¹à¸²à¸à¸³à¹à¸¡à¹à¸à¸´à¸
View ArticleOrissa Boy Sidhant Jena wins prestigious Harvard Business School Annual...
Orissa Boy Sidhant Jena wins prestigious Harvard Business School Annual Business Plan Contest, Oriya Orbit: http://t.co/UfqiLN8
View ArticleBusiness School Delivers SAP Courses with IBM Cloud http://tinyurl.com/5ucf4zd
Business School Delivers SAP Courses with IBM Cloud http://tinyurl.com/5ucf4zd
View ArticleCurrent read: "101 Things I Learned in Business School"
Current read: "101 Things I Learned in Business School"
View ArticleREVISION: Asymptotics of Implied Volatility in Local Volatility Models
Using an expansion of the transition density function of a 1-dimensional time inhomogeneous diffusion, we obtain the ï¬rst and second order terms in the short time asymptotics of European call option...
View ArticleREVISION: Exponential Resilience and Decay of Market Impact
Assuming a particular price process, it was shown by Gatheral that a model that combines nonlinear price impact with exponential decay of market impact admits price manipulation, an undesirable feature...
View ArticleREVISION: Optimal Trade Execution under Geometric Brownian Motion in the...
With an alternative choice of risk criterion, we solve the HJB equation explicitly to ï¬nd a closed-form solution for the optimal trade execution strategy in the Almgren-Chriss framework assuming the...
View ArticleREVISION: Transient Linear Price Impact and Fredholm Integral Equations
We consider the linear-impact case in the continuous-time market impact model with transient price impact proposed by Gatheral (2008). In this model, the absence of price manipulation in the sense of...
View ArticleREVISION: The Heat-Kernel Most-Likely-Path Approximation
In this article, we derive a new most-likely-path (MLP) approximation for implied volatility in terms of local volatility, based on time-integration of the lowest order term in the heat-kernel...
View ArticleREVISION: No-Dynamic-Arbitrage and Market Impact
Starting from a no-dynamic-arbitrage principle that imposes that trading costs should be non-negative on average and a simple model for the evolution of market prices, we demonstrate a relationship...
View ArticleREVISION: The Heat-Kernel Most-Likely-Path Approximation
In this article, we derive a new most-likely-path (MLP) approximation for implied volatility in terms of local volatility, based on time-integration of the lowest order term in the heat-kernel...
View ArticleREVISION: Transient Linear Price Impact and Fredholm Integral Equations
We consider the linear-impact case in the continuous-time market impact model with transient price impact proposed by Gatheral (2008). In this model, the absence of price manipulation in the sense of...
View ArticleREVISION: Exponential Resilience and Decay of Market Impact
Assuming a particular price process, it was shown by Gatheral that a model that combines nonlinear price impact with exponential decay of market impact admits price manipulation, an undesirable feature...
View ArticleREVISION: Convergence of Heston to SVI
In this short note, we prove by an appropriate change of variables that the SVI implied volatility parameterization presented in Gatheral's book and the large-time asymptotic of the Heston implied...
View ArticleREVISION: Optimal Trade Execution under Geometric Brownian Motion in the...
With an alternative choice of risk criterion, we solve the HJB equation explicitly to ï¬nd a closed-form solution for the optimal trade execution strategy in the Almgren-Chriss framework assuming the...
View ArticleREVISION: Transient Linear Price Impact and Fredholm Integral Equations
We consider the linear-impact case in the continuous-time market impact model with transient price impact proposed by Gatheral (2008). In this model, the absence of price manipulation in the sense of...
View ArticleREVISION: Optimal Trade Execution under Geometric Brownian Motion in the...
With an alternative choice of risk criterion, we solve the HJB equation explicitly to ï¬nd a closed-form solution for the optimal trade execution strategy in the Almgren-Chriss framework assuming the...
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