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Unitized Returns are a must know for anyone well versed in multivariate stochastic calculus.
Unitized returns offer an elegant approach to generate Multivariate distributions without
having to compute the Variance-Covariance / Correlation matrix.
Instead it uses the information that is already available in the time-series data by scaling returns and volatility to
Unity, hence the name unitized returns.
Unitized returns are perfect for real-time Monte-Carlo as the latest return can be applied directly
with very little overhead.
Unitized returns are ideal for computing volatility and correlation on the fly
or simulating multivariate processes in real-time.
They also offer very interesting
numerical properties, or perhaps better said "elegant shortcuts" to compute IVaR [Incremental Value-at-Risk]
and Marginal VaR as well incremental correlation in a real-time environment.
What
are Unitized - Normalized Variates
Excel C++ Add-in and Demo Spreadsheet with
application manual and on-line help.
Download Unitized Zip File
Zip file includes: Unitized.xll (Add-In),
spreadsheet, on-line help and application example.
Download Individual Components:
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