Search Results - person:"Doust, Paul"

Doust, Paul - In: The journal of computational finance 15 (2011/12) 3, pp. 3-31

Persistent link: https://www.econbiz.de/10009534171

The stochastic intrinsic currency volatility model : a consistent framework for multiple FX rates and their volatilities

Doust, Paul - In: Applied mathematical finance 19 (2012) 5/6, pp. 381-445

Persistent link: https://www.econbiz.de/10009710939

No-arbitrage SABR

Doust, Paul - In: The journal of computational finance 15 (2012) 3, pp. 3-33

Persistent link: https://www.econbiz.de/10009968209

The Stochastic Intrinsic Currency Volatility Model: A Consistent Framework for Multiple FX Rates and Their Volatilities

Doust, Paul - In: Applied mathematical finance 19 (2012) 5, pp. 381-446

Persistent link: https://www.econbiz.de/10010022889

The Stochastic Intrinsic Currency Volatility Model: A Consistent Framework for Multiple FX Rates and Their Volatilities

Doust, Paul - In: Applied Mathematical Finance 19 (2012) 5, pp. 381-445

The SABR and the Heston stochastic volatility models are widely used for foreign exchange (FX) option pricing. Although they are able to reproduce the market's volatility smiles and skews for single FX rates, they cannot be extended to model multiple FX rates in a consistent way. This is because...

Persistent link: https://www.econbiz.de/10010692539

Two useful techniques for financial modelling problems

Doust, Paul - In: Applied mathematical finance 17 (2010) 3/4, pp. 201-210

Persistent link: https://www.econbiz.de/10008653266

Two Useful Techniques for Financial Modelling Problems

Doust, Paul - In: Applied Mathematical Finance 17 (2010) 3, pp. 201-210

A technique for defining an N × N correlation matrix in terms of N - 1 parameters is presented, as well as a reliable method for parameterizing positive weights or probabilities that sum to 1.

Persistent link: https://www.econbiz.de/10008674993

Two Useful Techniques for Financial Modelling Problems

Doust, Paul - In: Applied mathematical finance 17 (2010) 3, pp. 201-211

Persistent link: https://www.econbiz.de/10008428367

Asset allocation - Geometric mean variance - The author argues that a constrained mean variance framework is superior to Black-Litterman asset allocation, and can help an investor...

Doust, Paul - In: Risk : managing risk in the world's financial markets 21 (2008) 2, pp. 89-95

Persistent link: https://www.econbiz.de/10007917924

Foreign exchange - Estimating intrinsic currency values - Forex market practitioners constantly talk about the strengthening or weakening of individual currencies. In this article,...

Chen, Jian; Doust, Paul - In: Risk : managing risk in the world's financial markets 21 (2008) 7, pp. 89-95

Persistent link: https://www.econbiz.de/10008081599