Stochastic Volatility & Jump Diffusion Model
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