Stochastic Volatility & Jump Diffusion Model
2011
Jan 2011 1-year real-world projection of equity implied volatility: Modelling and calibration methodology
2010
Nov 2010 Weekly and daily time-steps in the ESG
Oct 2010 LMMPlus: Dynamics and Numerical Implementation
Oct 2010 Stochastic Volatility and Riccati Equation
2009
Dec 2009 End December 2009 Market Consistent Correlation Calibration
Sep 2009 The Stochastic Volatility Jump Diffusion Model for Equities Webcast
Apr 2009 Real-world equity calibration: Target setting methodology for equity
Jan 2009 Levy Processes and Change of Probability Measure
2008
Dec 2008 Stochastic Volatility Jump Diffusion Calibration, Dynamics & Implementation
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
2007
Jan 2007 The Volatility Term Structure in the SV Model
2006
Apr 2006 Time Varying Correlation Under the Stochastic Volatility Equity Model