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Scholes
Results: 564

#	Item
421	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
422	John Crosby Commodities: A simple Multi-factor Jump-Diffusion Model John Crosby, Lloyds TSB Financial Markets, Faryners House, 25 Monument Street, London EC3R 8BQ Email : [removed] Add to Reading List Source URL: www.john-crosby.co.uk Language: English - Date: 2008-07-21 09:34:34 Mathematical finance Finance Black–Scholes Futures contract Brownian motion Risk-neutral measure Forward price Forward contract Martingale Statistics Financial economics Stochastic processes
423	A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options PETER CARR and JOHN CROSBY Peter Carr (email: [removed]) is Director of the Master’s in Mathematical Finance p Add to Reading List Source URL: www.john-crosby.co.uk Language: English - Date: 2009-11-22 13:21:26 Finance Investment Local volatility Foreign-exchange option Black–Scholes Μ operator Volatility smile Stochastic volatility Poisson process Financial economics Options Mathematical finance
424	Microsoft Word - S_M_B_paper_version_1_27_2014 Add to Reading List Source URL: neumann.math.tufts.edu Language: English - Date: 2014-01-27 11:06:22 Finance Investment Implied volatility Volatility smile Volatility VIX Black–Scholes Moneyness Stochastic volatility Mathematical finance Financial economics Options
425	The Quantitative Revolution and the Crisis: How Have Quantitative Financial Models Been Used and Misused? Add to Reading List Source URL: markleehunter.free.fr Language: English - Date: 2010-05-16 06:02:06 Mathematical finance Actuarial science Economic bubbles Options Quantitative analyst Black–Scholes Financial modeling Collateralized debt obligation Financial innovation Financial economics Economics Finance
426	Modelling the implied probability of stock market movements Add to Reading List Source URL: www.ecb.europa.eu Language: English - Date: 2003-11-28 10:20:07 Investment Implied volatility Volatility Black–Scholes Option Futures contract Financial risk Derivative Volatility smile Financial economics Mathematical finance Finance
427	Extracting risk neutral probability densities by fitting implied volatility smiles: some methodological points and an application to the 3M Euribor futures option prices Add to Reading List Source URL: www.ecb.europa.eu Language: English - Date: 2003-11-28 10:20:06 Finance Options Economics European System of Central Banks European Central Bank Danmarks Nationalbank Volatility smile Black–Scholes Havnegade Mathematical finance Financial economics Central banks
428	Microsoft Word - Comments-received-from-DIMA-on-Consultation-Paper[removed]doc Add to Reading List Source URL: eiopa.europa.eu Language: English - Date: 2010-09-06 07:12:11 Actuarial science Risk management Mathematical finance Hedge Black–Scholes Risk Financial economics Finance Economics
429	Microsoft Word - Comments-received-from-Oliver-Wyman-on-Consultation-Paper[removed]doc Add to Reading List Source URL: eiopa.europa.eu Language: English - Date: 2010-09-06 07:12:11 Mathematical finance Financial risk Actuarial science Hedge Futures contract Risk Black–Scholes Exposure at default Derivative Financial economics Finance Economics
430	Microsoft Word - Comments-received-from-AVIVA-on-Consultation-Paper[removed]doc Add to Reading List Source URL: eiopa.europa.eu Language: English - Date: 2010-09-06 07:12:12 Black–Scholes Finance Financial economics Options Economic model

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