Technical paper

• Original research

LIBOR market models in practice

• 01 Apr 2000

• Original research

The reduction of forward rate dependent volatility HJM models to Markovian form: pricing European bond options

• 01 Apr 2000

• Original research

A parity result for American options

• 01 Apr 2000

• Original research

An investigation of cheapest-to-deliver on Treasury bond futures contracts

• 01 Apr 2000

• Original research

Finite sample comparison of alternative estimators of Itô diffusion processes: a Monte Carlo study

• 01 Apr 2000

• Original research

The passport option

• 01 Apr 2000

• Infrastructure

Great realisations

Volatility estimation

• 01 Mar 2000

• Infrastructure

Calibrating random volatility

Stochastic volatility

• 01 Feb 2000

• Infrastructure

Tailor-made for tails

Hedging strategies

• 01 Feb 2000

• Original research

Power options: hedging nonlinear risks

• 01 Jan 2000

• Original research

Optimal ALM strategies for defined benefit pension plans

• 01 Jan 2000

• Original research

A coherent framework for stress testing

• 01 Jan 2000

• Original research

The most general methodology for creating a valid correlation matrix for risk management and option pricing purposes

• 01 Jan 2000

• Original research

The equity option volatility smile: an implicit finite-difference approach

• 01 Jan 2000

• Original research

Computation of deterministic volatility surfaces

• 01 Jan 2000

• Original research

A non-Gaussian stochastic volatility model

• 01 Jan 2000

• Original research

The Brownian bridge E-M algorithm for covariance estimation with missing data

• 01 Jan 2000

• Original research

Hopscotch methods for two-state financial models

• 01 Jan 2000

• Original research

Robust numerical methods for PDE models of Asian options

• 01 Jan 2000

• Original research

Pricing continuous Asian options: a comparison of Monte Carlo and Laplace transform inversion methods

• 01 Jan 2000

• Original research

Using program synthesis to price derivatives

• 01 Jan 2000

• Original research

A simple approach to the pricing of Bermudan swaptions in the multifactor LIBOR market model

• 01 Jan 2000

• Original research

A canonical optimal stopping problem for American options and its numerical solution

• 01 Jan 2000

• Original research

Accelerating Monte Carlo: quasirandom sequences and variance reduction

• 01 Jan 2000