Derivatives
2012
Jan 2012 Risk-neutral Valuation and Stochastic Interest Rates
2011
Dec 2011 LMMPlus Model Definition
Oct 2011 End September 2011 Market Consistent Correlation Calibration and Validation
Jun 2011 Multi Factor Affine Interest Rate Model Implementation & Analytic Results
2009
Jan 2009 Levy Processes and Change of Probability Measure
2005
Jul 2005 Introduction to CDOs: Models & Pricing
2004
Dec 2004 A Stochastic Model for Changes in Option-Implied Equity Volatility
2003
Mar 2003 Understanding the “Fairness” of FTSE Index Option Pricing
2002
Nov 2002 Option-Implied Distribution for UK Equity Returns - An update
2001
Jan 2001 Option-Implied Densities for Equities & Interest Rates
2000
Sep 2000 Option-Implied Residual Risk Update
1997
Sep 1997 Notes on LIFFE FTSE Option Data