Barrie & Hibbert

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Derivatives

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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

Oct 2000 Option-Implied Residual Risk Update

1997

Oct 1997 Notes on LIFFE FTSE Option Data

• Model
  • 2 Factor Black Karasinski Model
  • 2 Factor Vasicek Model
  • Constant Volatility Model
  • Credit Model
  • Equity Mean-Reversion Model
  • Exchange Rate Model
  • General Equity Model
  • Inflation Model
  • Libor Market Model
  • Local Volatility Model
  • Mortality Model
  • Mortgage-Backed Securities Model
  • Other Models
  • Stochastic Volatility & Jump Diffusion Model
  • Time-Varying Deterministic Volatility Model

• Asset Class
  • Alternative Assets
  • Credit
  • Joint Distribution
  • Exchange Rate / Currency
  • Derivatives
  • Equity
  • Inflation
  • Interest Rates
  • Property

• Product Areas
  • Capital Measurement
  • Product Communication & Advice
  • Product Design & Governance
  • Risk & Capital Management

• Sectors
  • Retail Distribution
  • Asset and Wealth Management
  • Consultancy
  • Insurance
  • Pension Fund

Other categories

• Calibration Methodology & Techniques
• Calibration Notes
  • Market Consistent
  • Real World
• Calibration Targets
  • Target Methodology
  • Target Updates
  • Target Validation
• Events
• Insights
• iESG
  • Version 6.2
• Monte Carlo Methodology
  • Correlation Matrices
  • Random Number Generation
  • Variance Reduction
• Numerical Methods
• Outputs & Validation
• Archive

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