Outputs & Validation
2012
Jan 2012 Risk-neutral Valuation and Stochastic Interest Rates
2010
Apr 2010 Put Call Parity in the ESG
Feb 2010 Low discrepancy numbers and their use within the ESG
2009
Feb 2009 Simulating the Libor Market Model Under Different Probability Measures: A Cure for Exploding Rates?
2008
Jul 2008 Performance of Asset Martingale Tests: Bond Portfolios and Equity Indices
Apr 2008 The Difference Between Foreign Deflators and the Foreign Cash Roll Up: Implications for Risk-Neutral
2007
Jun 2007 Variance Reduction & Martingale Tests
Feb 2007 Interpreting Martingale Tests - a discussion
2006
Nov 2006 Interpreting Martingale Tests - Understanding Sampling Error
Nov 2006 Bond Martingale Test in the 2FBK Model
Nov 2006 Standard Errors of Equity & Property Asset Martingale Tests
Mar 2006 Effects of Swaption Implied Volatilities Stress Tests
Feb 2006 Understanding ‘Expected Returns’: Arithmetic and Geometric Risk Premia
Jan 2006 Do Stochastic Interest Rates affect the Quality of the Equity Implied Volatility Fit in the ESG?
2005
May 2005 Confidence Intervals for Observed Volatility Estimates
Jan 2005 BE Validation Tool