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Technical paper/Spread options

Cutting Edge

Multi-factor Gaussian model calibration: swaptions and constant maturity swap options

A novel closed-form method delivers a new way to calibrate interest rate models

20 Aug 2025

Colourful overlapping blending colours

Chart curves

Banking

Black basket analytics for mid-curves and spread options

15 Oct 2021

Journal of Risk Model Validation

Original research

Incorporating volatility in tolerance intervals for pair-trading strategy and backtesting

20 Mar 2019

Canadian currency

Commodities

Cutting edge: Incorporating forex volatility into commodity spread option pricing

26 Aug 2014

Oil barrels

Risk management

Cutting edge: Valuation of spread commodity structures

Valuation of spread commodity structures in co-integrated futures markets

28 Feb 2012

mathematics

Markets

Spread options, Farkas's lemma and linear programming

Spread options, Farkas's lemma and linear programming

16 Sep 2011

Markets

Spread options, Farkas's lemma and linear programming

Spread options, Farkas's lemma and linear programming

06 Sep 2011

Markets

Spread options, Farkas's lemma and linear programming

Spread options, Farkas's lemma and linear programming

26 Jul 2011

Interest rate markets

The CMS triangle arbitrage

The CMS triangle arbitrage

07 Jan 2011

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