Recent content by Barnett

Happy birthday, buddy!

U.S. Treasuries' debt protection costs jump to record Fri Jul 11, 2008 2:26pm EDT NEW YORK (Reuters) - The cost to insure U.S. Treasury debt against default surged to a record on Friday on fears that the U.S. government may need to put capital into mortgage finance companies Fannie Mae...

Does anyone have access to The Journal of Portfolio Management? I'm looking for - HOW TO TELL IF OPTIONS ARE CHEAP GALEN BURGHARDT; MORTON LANE THE JOURNAL OF PORTFOLIO MANAGEMENT WINTER 1990 Many thanks

Mazel tov! Glad to hear everyone's doing well. All the best.

Can't...feel...my...legs... Where are the pics of Vadim's cliff? My kids don't believe me.....

Anshul, Baby, I take back everything I've said about you. Come back from London - all is forgiven.

HELP! Do you have access to the Journal of Fixed Income? I'm looking for this article: "On Default Correlation: A Copula Function Approach" by DAVID X. LI in the March 2000 issue of Journal of Fixed Income. Thank you!

Why munis are a buy now The turmoil in the credit markets doesn't involve tax-free bonds, but it's creating a tremendous buying opportunity for ordinary investors. January 28 2008: 5:27 AM EST By Jon Birger, senior writer (Fortune Magazine) Forget what you may have read in the newspaper...

Statistical Arbitrage Based on No-Arbitrage Dynamic Term Structure Models Author: Liuren Wu, Zicklin School of Business, Baruch College Date: Fall 2007 This 67 slide presentation introduces statistical arbitrage from a fixed income perspective. In addition, the concept of risk neutrality is...

Pairs Trading: A Professional Approach Author: Russell Wojcik Publisher: Illinois Institute of Technology A 30 slide presentation of pairs trading from a trader's perspective. Pairs Trading: Performance of a Relative Value Arbitrage Rule Authors: Evan Gatev, William Goetzmann, K. Geert...

Automated Trading with Boosting and Expert Weighting Authors: German Creamer (Columbia University) and Yoav Freund (University of California) This paper describes the authors' research of a trading system that relies on a layered structure consisting of a machine learning algorithm, an online...

A Perspective on Quantitative Finance - Models for Beating the Market Author: Ed Thorp Date: 2003 Publisher: Quantitative Finance Review Thorp is a legendary figure in statistical arbitrage who first became famous at the Las Vegas blackjack tables, of course. This 6 page article is a...

A Computational Methodology for Modeling the Dynamics of Statistical Arbitrage Author: Andrew Burgess Date: 1999 This is Burgess’ 1999 PhD thesis which presents a 370 page academic treatise on statistical arbitrage. This paper is often cited as a mathematical reference for statistical...

Vineet, the library may have print subscriptions to some of those journals (as opposed to on-line). have you checked with a librarian about actual print versions?

Attached is the pdf of the deck Prof Donefer used the other day. The slide with links is the last page.