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John Crosby
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31	Variance Swaps and Volatility Derivatives John Crosby Glasgow University My website is: http://www.john-crosby.co.uk Add to Reading List Source URL: www.john-crosby.co.uk Language: English - Date: 2009-06-24 09:16:33 Investment Variance swap VIX Volatility Implied volatility Black–Scholes Swap Forward contract Variance Mathematical finance Financial economics Finance
32	A class of Levy process models with almost exact calibration to both barrier and vanilla fx options John Crosby ICBI Global Derivatives conference, Paris May 2008 Add to Reading List Source URL: www.john-crosby.co.uk Language: English - Date: 2008-07-21 09:34:23 Financial system Foreign-exchange option Barrier option Derivative Foreign exchange market Volatility smile Power reverse dual currency note Financial economics Options Finance
33	cutting edge. BRIEF COMMUNICATION Valuing inflation futures contracts In recent years, futures contracts written on inflation (specifically, on the ratio of the consumer price index Add to Reading List Source URL: www.john-crosby.co.uk Language: English - Date: 2008-07-21 09:33:32 Transaction processing Data management Futures contract T1 Futures and promises
34	´ APPROXIMATING LEVY PROCESSES WITH A VIEW TO OPTION PRICING ´ JOHN CROSBY, NOLWENN LE SAUX, AND ALEKSANDAR MIJATOVIC Add to Reading List Source URL: www.john-crosby.co.uk Language: English - Date: 2009-07-11 05:47:12 Mathematical analysis Symbol Normal distribution Characteristic function Probability theory Probability
35	Imperial College of Science, Technology and Medicine Department of Mathematics Approximating L´ Add to Reading List Source URL: www.john-crosby.co.uk Language: English - Date: 2009-01-26 14:37:38 Normal distribution Brownian motion Lévy process Black–Scholes Compound Poisson process Inverse Gaussian distribution Gaussian process Volatility Gamma process Statistics Stochastic processes Variance gamma process
36	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
37	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
38	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
39	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
40	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

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