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A comparison of models for pricing interest rate derivative securities

Strickland, Chris - In: The European journal of finance 2 (1996) 3, pp. 261-287

Persistent link: https://www.econbiz.de/10001210192

Monte Carlo valuation of interest rate derivatives under stochastic volatility

Clewlow, Les - In: The journal of fixed income 7 (1997) 3, pp. 35-45

Persistent link: https://www.econbiz.de/10001233944

When is the short rate Markovian?

Carverhill, Andrew - In: Mathematical finance : an international journal of … 4 (1994) 4, pp. 305-312

Persistent link: https://www.econbiz.de/10001185090

Efficient and flexible bond option valuation in the Heath, Jarrow, and Morton framework

Carverhill, Andrew - In: The journal of fixed income 5 (1995) 2, pp. 70-77

Persistent link: https://www.econbiz.de/10001213239

A Bayesian analysis of time-varying jump risk in S&P 500 returns and options

Carverhill, Andrew; Luo, Dan - In: Journal of financial markets 64 (2023), pp. 1-21

Persistent link: https://www.econbiz.de/10014466112

"Up" and "Down" Levy Jumps and Market Risk Premia Implications from S&P500 Options

Carverhill, Andrew P. - 2020

We model the S&P500 index options dynamics using the CGMY distribution, with independent "up" and "down" return jumps, and diffusive jump intensities. Allowing the up and down parts to be separately parameterised accounts for the dynamic smirk effect, without correlation between returns and...

Persistent link: https://www.econbiz.de/10012837432