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John Crosby
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#	Item
41	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
42	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
43	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
44	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
45	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
46	Variance derivatives and estimating realised variance from high-frequency data John Crosby UBS, London and Centre for Economic and Financial Studies, Department of Economics, Add to Reading List Source URL: www.john-crosby.co.uk Language: English - Date: 2011-04-23 11:23:56 Stochastic differential equations Equations
47	Pricing a class of exotic commodity options in a multi-factor jump-diffusion model JOHN CROSBY Lloyds TSB Financial Markets, Faryners House, 25 Monument Street, London EC3R 8BQ Email address: [removed] 28th Mar Add to Reading List Source URL: www.john-crosby.co.uk Language: English - Date: 2008-07-21 09:34:50 Options Mathematical finance Futures contract Commodity market Forward contract Commodity Call option Benchmark Hull–White model Financial economics Finance Business
48	Imperial College of Science, Technology and Medicine Department of Mathematics Proxy Scheme and Automatic Differentiation: Add to Reading List Source URL: www.john-crosby.co.uk Language: English - Date: 2010-10-21 08:57:29 Mathematical finance Investment Contract law Strike price Exotic option Automatic differentiation Call option Greeks Monte Carlo method Options Financial economics Finance
49	John Crosby Below is a list of where and when I have recently given (or will soon give) presentations or seminars. This list was last updated January[removed]Warwick Business School, Warwick University June 2005 Add to Reading List Source URL: www.john-crosby.co.uk Language: English - Date: 2014-02-07 07:00:56 Russell Group Risk Informa University of Warwick Baruch College Higher education Management Ethics Association of Commonwealth Universities
50	VARIANCE DERIVATIVES: PRICING AND CONVERGENCE JOHN CROSBY AND MARK H. A. DAVIS Abstract. We examine the pricing of variance swaps and some generalisations and variants such as selfquantoed variance swaps, gamma swaps, sk Add to Reading List Source URL: www.john-crosby.co.uk Language: English - Date: 2012-12-18 04:54:37 Economics Banking Stochastic processes Options Variance swap Black–Scholes Variance risk premium Forward contract Hull–White model Mathematical finance Financial economics Finance

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