Equity
2010
Jul 2010 Real-world equity calibration Distributional targets end-June 2010
May 2010 What Is the Parent Equity Asset correlation Model?
Apr 2010 Put Call Parity in the ESG
Apr 2010 Real-world equity calibration Unconditional equity volatility in emerging and developed economies
Mar 2010 Calibrating the Dividend Yield Model
Mar 2010 Real-world equity calibration: a comparison of realised and expected volatility
Jan 2010 Real-world equity calibration: Distributional targets at end-December 2009
2009
Dec 2009 End December 2009 Market Consistent Correlation Calibration
Oct 2009 Real-world equity calibration Distributional targets at end-September 2009
Sep 2009 The Stochastic Volatility Jump Diffusion Model for Equities Webcast
Jul 2009 Real-world equity calibration - Distributional targets at end June 2009
Apr 2009 Real-world equity calibration: Target setting methodology for equity
Apr 2009 Real-world equity calibration: Distributional targets at end March 2009
Jan 2009 Market Consistent Asset Model Calibrations ESG Correlation Results - USD End December 2008
Jan 2009 Market Consistent Asset Model Calibrations ESG Correlation Results - EUR End December 2008
Jan 2009 Real-World Equity Calibration: Distributional Targets at End-December 2008
Jan 2009 Levy Processes and Change of Probability Measure
2008
Dec 2008 Stochastic Volatility Jump Diffusion Calibration, Dynamics & Implementation
Dec 2008 Stochastic Volatility Inspired Parameterisation of the Local Volatility Model
Nov 2008 Term Structure in the SVJD Model - Volatility, Skew, Kurtosis and Return Distributions
Nov 2008 Cox Ingersoll Ross Process - Stochastic Volatility and Credit Premium
Nov 2008 Stochastic Volatility Jump Diffusion Model : Real World Calibration
Aug 2008 Characteristic Functions and Fourier Transform Pricing
Jul 2008 Performance of Asset Martingale Tests: Bond Portfolios and Equity Indices
Jul 2008 End June 2008 Real-World Equity Calibration: Distributional Targets
Jun 2008 Real-World Equity Calibration: Listed Private Equity
Apr 2008 End December 2007 Real-World Equity Calibration: Distributional Targets
Mar 2008 End March 2008 Real-World Equity Calibration: Distributional Targets
2007
Sep 2007 Incorporating Modified Betas and Implied Volatilities in Child Equity Calibrations
Jan 2007 The Volatility Term Structure in the SV Model
2006
Dec 2006 UK Long-Term Equity Data Series
Dec 2006 MC Calibration to SA Equity Market
Nov 2006 Standard Errors of Equity & Property Asset Martingale Tests
Apr 2006 Time Varying Correlation Under the Stochastic Volatility Equity Model
Jan 2006 Do Stochastic Interest Rates affect the Quality of the Equity Implied Volatility Fit in the ESG?
2005
Dec 2005 Option Pricing using Conditional Monte Carlo
Mar 2005 Equity Mean-Reversion Model: Technical Details
2004
Dec 2004 A Stochastic Model for Changes in Option-Implied Equity Volatility
Dec 2004 Local Volatility Model: Implementation
Dec 2004 A Brief Overview of the Equity Local Volatility Model
Sep 2004 UK Asset Returns and Inflation
May 2004 Equity Downside Risk: A Review of Empirical Data & Model Performance
2003
Mar 2003 Understanding the “Fairness” of FTSE Index Option Pricing
2002
Nov 2002 Option-Implied Distribution for UK Equity Returns - An update
2001
Jul 2001 The Wilkie model was the actuarial profession’s first siSome Comments on the Wilkie Investment
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