Products
Here one may find some papers and software products.
Papers
Note that the following selection contains a mixture of original research, practical notes, and presentations.
- Investing in Commodities: from Roll Returns to Statistical Arbitrage
(talk presented at "Research In Options 2010" conference ) - Drifting Along, But Where Am I Going?
- Kalman Filtering and Model Estimation
(talk presented on a number of occasions) - Estimating Black-Scholes