Narrow search
Showing 1 - 10 of 11
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
CUTTING EDGE - Foreign exchange - The intrinsic currency valuation framework - Introducing the concept of the intrinsic value of a currency, the author shows how to use foreign exc...
Doust, Paul - In: Risk : managing risk in the world's financial markets 20 (2007) 3, pp. 76-81
Persistent link: https://www.econbiz.de/10007719363
Cover Image
No-arbitrage SABR
Doust, Paul - In: The journal of computational finance 15 (2012) 3, pp. 3-33
Persistent link: https://www.econbiz.de/10009968209
Cover Image
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
Cover Image
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
Cover Image
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