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Crosby
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471	Caps and Floors John Crosby Glasgow University My website is: http://www.john-crosby.co.uk If you spot any typos or errors, please email me. My email address is on my website Add to Reading List Source URL: www.john-crosby.co.uk Language: English - Date: 2014-02-07 07:02:26 Economics Business Money Interest rates T1 Libor
472	FX and cross-currency options modelling with Levy processes timechanged by other Levy processes John Crosby Global Head of Quantitative Analytics and Research, Lloyds TSB Add to Reading List Source URL: www.john-crosby.co.uk Language: English - Date: 2008-07-21 09:34:03 Ole Barndorff-Nielsen Neil Shephard Stochastic CIR process Lévy process Dynamics Statistics Stochastic processes Ornstein–Uhlenbeck process
473	Why do UK banks securitize? Mario Cerrato, Moorad Choudhry, John Crosby+ and John Olukuru* University of Glasgow Business School; +Grizzly Bear Capital London; Brunel University March 20, 2013 Abstract Add to Reading List Source URL: www.john-crosby.co.uk Language: English* - Date: 2013-03-22 06:02:19 United States housing bubble Fixed income securities Mortgage-backed security Structured finance Financial markets Securitization Subprime mortgage crisis Asset-backed security Investment banking Financial economics Finance Investment
474	An on-line supplement to ‘A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options’ ALAN AMBROSE, PETER CARR and JOHN CROSBY Alan Ambrose (email: [removed]) i Add to Reading List Source URL: www.john-crosby.co.uk Language: English - Date: 2009-10-15 16:04:26 Investment Mathematical finance Barrier option Black–Scholes Foreign-exchange option Markov chain Financial economics Options Finance
475	CUTTING EDGE. INFLATION Convexity adjustments in inﬂation-linked derivatives Dorje Brody, John Crosby and Hongyun Li value several types of inflation-linked derivatives using a Add to Reading List Source URL: www.john-crosby.co.uk Language: English - Date: 2008-09-12 05:57:28 Interest rates Finance Fixed income analysis Mathematical finance Inflation swap Zero-Coupon Inflation-Indexed Swap Interest rate swap Inflation derivative Covariance Inflation Financial economics Economics
476	Microsoft Word - JohnCrosby_QF_version2.doc Add to Reading List Source URL: www.john-crosby.co.uk Language: English - Date: 2008-07-21 09:36:23 Mathematical finance Futures contract Forward price Forward contract Commodity market Derivative Commodity Risk-neutral measure Convenience yield Financial economics Finance Economics
477	Optimal Hedging of Variance Derivatives John Crosby Centre for Economic and Financial Studies, Department of Economics, Glasgow University Add to Reading List Source URL: www.john-crosby.co.uk Language: English - Date: 2010-12-04 14:14:55 Statistics Stochastic processes Stochastic differential equations Banking Variance swap Volatility Forward contract Risk-neutral measure Futures contract Mathematical finance Finance Financial economics
478	Practicalities of Pricing Exotic Derivatives John Crosby Grizzly Bear Capital My website is: http://www.john-crosby.co.uk If you spot any typos or errors, please email me. Add to Reading List Source URL: www.john-crosby.co.uk Language: English - Date: 2013-10-16 05:03:04 Finance Investment Binary option Black–Scholes Volatility Option Call option Foreign-exchange option Local volatility Financial economics Options Mathematical finance
479	Pricing Commodity Hybrid Derivatives John Crosby Global Head of Quantitative Analytics and Research Lloyds TSB Financial Markets 2nd Annual Hybrid Products Conference Add to Reading List Source URL: www.john-crosby.co.uk Language: English - Date: 2008-07-21 09:33:50 Economics Heath–Jarrow–Morton framework Forward measure Futures contract Numéraire Derivative Economic model Forward contract Convenience yield Mathematical finance Financial economics Finance
480	Pricing exotic energy and commodity options in a multi-factor jump-diffusion model John Crosby Global Head of Quantitative Analytics and Research, Lloyds TSB Financial Markets Add to Reading List Source URL: www.john-crosby.co.uk Language: English - Date: 2008-07-21 09:36:26 Mathematical finance Options Futures contract Commodity Binary option Risk-neutral measure Black model Spread trade Financial economics Finance Investment

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