Thierry Roncalli's Home Page

Welcome to my home page. I made available on it some of my academic works. Please contact me for any comments or questions related to these materials.


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Send e-mail: thierry_dot_roncalli_at_lyxor_dot_com

My SSRN page is http://ssrn.com/author=903940
My RePEc page is http://ideas.repec.org/f/pro660.html


Research themes

Risk Parity Asset Management Hedge Fund Replication Operational Risk Copula


Recent Ressources

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Current and Past Positions

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Teaching

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Books & Softwares

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Published Papers

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Working Papers and Presentations in Conferences

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Gauss Programs and Notes

All the Gauss code provided in this web page may be used under the MIT License:

Copyright (c) 2009 Thierry Roncalli

Permission is hereby granted, free of charge, to any person obtaining a copy of this software and associated documentation files (the "Software"), to deal in the Software without restriction, including without limitation the rights to use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies of the Software, and to permit persons to whom the Software is furnished to do so, subject to the following conditions:

The above copyright notice and this permission notice shall be included in all copies or substantial portions of the Software.

THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.


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Some Links

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