Price discovery

• Commodity markets

Mean-reverting smiles

Commodity markets such as crude oil exhibit mean reversion as well as option smiles. The authors construct a model suitable for pricing exotic options in these markets

• 01 Apr 2002

• Infrastructure

Forward CMS rate adjustment

Constant maturity products

• 01 Mar 2001

• Infrastructure

The taming of the skew

Implied volatility

• 01 Nov 2000

• Infrastructure

Jumping smiles

Options

• 01 Nov 1999