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12 months |
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Last month |
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12 months |
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A Consistent Framework for Modelling Basis Spreads in Tenor Swaps |
0 |
0 |
0 |
48 |
0 |
0 |
0 |
103 |

A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors |
0 |
0 |
0 |
49 |
0 |
1 |
1 |
128 |

A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors |
0 |
0 |
1 |
5 |
0 |
0 |
1 |
25 |

A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps |
0 |
0 |
0 |
444 |
0 |
0 |
0 |
1,488 |

A Hybrid Commodity and Interest Rate |
0 |
0 |
1 |
62 |
1 |
1 |
3 |
283 |

A Markovian Defaultable Term Structure Model with State Dependent Volatilities |
0 |
0 |
0 |
180 |
1 |
1 |
2 |
479 |

A Multicurrency Extension of the Lognormal Interest Rate Market Models |
0 |
1 |
1 |
349 |
0 |
1 |
2 |
699 |

A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
661 |

Alternative Defaultable Term Structure Models |
0 |
0 |
0 |
87 |
0 |
0 |
0 |
193 |

Arbitrage-Free Interpolation in Models of Market Observable Interest Rates |
0 |
0 |
3 |
694 |
1 |
5 |
25 |
1,794 |

Arbitrage-Free Interpolation in Models of Market Observable Interest Rates |
0 |
0 |
0 |
6 |
1 |
1 |
2 |
17 |

Calibrating Market Model to Commodity and Interest Rate Risk |
0 |
0 |
0 |
37 |
1 |
1 |
2 |
99 |

Calibration of Multicurrency LIBOR Market Models |
0 |
0 |
0 |
70 |
0 |
0 |
0 |
194 |

Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets |
0 |
0 |
0 |
101 |
0 |
0 |
0 |
361 |

Correlating Market Models |
0 |
0 |
0 |
416 |
0 |
0 |
0 |
604 |

Empirical Hedging Performance on Long-Dated Crude Oil Derivatives |
0 |
0 |
1 |
52 |
0 |
0 |
4 |
154 |

Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter? |
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0 |
2 |
44 |
0 |
0 |
3 |
108 |

Equity-Linked Pension Schemes with Guarantees |
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0 |
0 |
97 |
0 |
0 |
0 |
270 |

Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices |
1 |
1 |
1 |
132 |
1 |
1 |
2 |
307 |

Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing |
0 |
0 |
0 |
157 |
0 |
0 |
0 |
427 |

Hedging Futures Options with Stochastic Interest Rates |
0 |
0 |
1 |
85 |
1 |
2 |
5 |
232 |

Model Risk Measurement Under Wasserstein Distance |
0 |
0 |
1 |
34 |
0 |
0 |
7 |
87 |

Model Risk Measurement under Wasserstein Distance |
0 |
0 |
0 |
7 |
0 |
0 |
3 |
32 |

On Numerical Methods for Spread Options |
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0 |
2 |
63 |
1 |
3 |
7 |
163 |

Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation |
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0 |
0 |
15 |
0 |
0 |
1 |
16 |

Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation |
0 |
0 |
0 |
51 |
0 |
0 |
1 |
88 |

Pricing American Options under Regime Switching Using Method of Lines |
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0 |
0 |
38 |
0 |
1 |
1 |
97 |

Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates |
0 |
0 |
0 |
51 |
0 |
0 |
0 |
147 |

Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models |
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0 |
0 |
9 |
0 |
1 |
2 |
20 |

Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models |
0 |
0 |
2 |
36 |
0 |
0 |
4 |
122 |

Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives |
0 |
0 |
0 |
74 |
0 |
0 |
2 |
294 |

Short Rate Dynamics: A Fed Funds and SOFR Perspective |
0 |
2 |
6 |
22 |
1 |
9 |
27 |
80 |

Short Rate Dynamics: A Fed Funds and SOFR perspective |
0 |
0 |
1 |
25 |
0 |
1 |
9 |
66 |

Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model |
0 |
0 |
0 |
614 |
0 |
0 |
3 |
1,806 |

Term Rates, Multicurve Term Structures and Overnight Rate Benchmarks: A Roll-Over Risk Approach |
0 |
2 |
3 |
22 |
0 |
3 |
4 |
43 |

The Impact of Jumps on American Option Pricing: The S&P 100 Options Case |
0 |
0 |
0 |
65 |
0 |
1 |
3 |
157 |

The Risk Management of Minimum Return Guarantees |
0 |
0 |
1 |
157 |
0 |
0 |
1 |
447 |

The Risk Management of Minimum Return Guarantees |
0 |
0 |
0 |
182 |
0 |
0 |
0 |
542 |

Total Working Papers |
1 |
6 |
27 |
4,580 |
9 |
33 |
128 |
12,833 |