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

Software

Software coming soon.

• Monte Carlo Simulation
  (rather cryptic, but this is just thrown in for fun)