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CUTTING EDGE - Inflation - Convexity adjustments in inflation-linked derivatives - The authors value several types of inflation-linked derivatives using a multi-factor version of t...
Brody, Dorje; Crosby, John; Li, Hongyun - In: Risk : managing risk in the world's financial markets 21 (2008) 9, pp. 124-129
Persistent link: https://www.econbiz.de/10008107441
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CUTTING EDGE - Brief communication - Valuing Inflation futures contracts - In recent years, futures contracts written on inflation (specifically, on the ratio of the consumer price...
Crosby, John - In: Risk : managing risk in the world's financial markets 20 (2007) 3, pp. 88-91
Persistent link: https://www.econbiz.de/10007770947
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CUTTING EDGE Commodities Commodity options optimised - In 2005, John Crosby introduced a very flexible framework in which it is possible to price derivatives, including exotics, on...
Crosby, John - In: Risk : managing risk in the world's financial markets 19 (2006) 5, pp. 84
Persistent link: https://www.econbiz.de/10007288125