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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
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No-arbitrage SABR
Doust, Paul - In: The journal of computational finance 15 (2011/12) 3, pp. 3-31
Persistent link: https://www.econbiz.de/10009534171
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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
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Relative Pricing Techniques in the Swaps and Options Markets
Doust, Paul - 2000
This paper develops option pricing theory using the forward rates or forward prices of the underlying quantities. This approach shows how to price swaps or options when the payoff on the swap or option contract is different from the payoff on the hedge. The results are particularly useful in...
Persistent link: https://www.econbiz.de/10012789206