Paul McCloud

University College London - Department of Mathematics

Honorary Senior Lecturer

Gower Street

London, WC1E 6BT

United Kingdom

  • University College London - Department of Mathematics

SCHOLARLY PAPERS

11

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3,790

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1

CROSSREF CITATIONS

16

Scholarly Papers (11)

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1.

The CMS Triangle Arbitrage

Number of pages: 10 Posted: 05 May 2014
Paul McCloud
University College London - Department of Mathematics
Downloads 1,021 (43,342)
Citation 2

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CMS options, Spread options, Triangle arbitrage

2.

Collateral Volatility

Number of pages: 28 Posted: 04 May 2013 Last Revised: 04 Jun 2013
Paul McCloud
University College London - Department of Mathematics
Downloads 797 (60,992)
Citation 3

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CSA, Collateral discounting, Collateral volatility, Convexity, Libor, OIS

3.

In Search of Schrödinger's Cap: Pricing Derivatives with Quantum Probability

Number of pages: 43 Posted: 18 Oct 2013 Last Revised: 02 Feb 2024
Paul McCloud
University College London - Department of Mathematics
Downloads 418 (135,905)
Citation 5

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Quantum probability, noncommutative economics, derivative pricing, interest rates, FX, quantum binomial model, quantum Hull-White model

4.

Collateral Convexity of Libor and FX Forwards (Slides)

presented at the Global Derivatives Trading & Risk Management Conference, Amsterdam, Apr 2013
Number of pages: 71 Posted: 05 May 2014
Paul McCloud
University College London - Department of Mathematics
Downloads 386 (148,875)
Citation 4

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CSA, Collateral discounting, Collateral volatility, Convexity, Libor, OIS

5.

Symmetry Methods for the Quadratic Gaussian Libor Model

Number of pages: 36 Posted: 20 Feb 2012 Last Revised: 04 Apr 2012
Paul McCloud
University College London - Department of Mathematics
Downloads 296 (198,179)
Citation 3

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Option pricing, Libor Market model, Quadratic Gaussian model, stochastic volatility, symmetry methods

6.

Quantum Groups in Mathematical Finance

Number of pages: 35 Posted: 02 May 2017 Last Revised: 26 Jan 2024
Paul McCloud
University College London - Department of Mathematics
Downloads 248 (236,971)
Citation 2

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Derivative Pricing, Arbitrage, Noncommutativity, Duality, Quantum Groups, Hopf Algebras

7.

Symmetry Methods for the Quadratic Gaussian Libor Model (Slides)

Slides presented at the Global Derivatives Trading & Risk Management Conference, Barcelona, Apr 2012.
Number of pages: 41 Posted: 06 Apr 2010 Last Revised: 03 Feb 2024
Paul McCloud
University College London - Department of Mathematics
Downloads 229 (256,157)

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Option pricing, Libor Market model, Quadratic Gaussian model, stochastic volatility, symmetry methods

8.

In Search of Schrödinger's Cap: Pricing Derivatives with Quantum Probability (Slides)

Global Derivatives Trading & Risk Management Conference, Amsterdam, May 2014
Number of pages: 55 Posted: 07 May 2014
Paul McCloud
University College London - Department of Mathematics
Downloads 137 (401,106)

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quantum probability, noncommutative economics, derivative pricing, interest rates, FX, quantum binomial model, quantum Hull-White model

9.

Quantum Bounds for Option Prices

Number of pages: 32 Posted: 08 Dec 2017 Last Revised: 06 May 2018
Paul McCloud
University College London - Department of Mathematics
Downloads 104 (493,545)
Citation 3

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Option pricing; volatility smile; FX options; swaptions and caplets; no-arbitrage principle; quantum probability; operator algebras; Gelfand-Naimark-Segal construction

10.

From Quadratic Gaussian to Quantum Groups: Exploiting Duality in Modelling IR-FX Hybrids (Presentation Slides)

Presented at the Global Derivatives Trading & Risk Management Conference, Barcelona, May 2017
Number of pages: 51 Posted: 02 May 2017
Paul McCloud
University College London - Department of Mathematics
Downloads 98 (513,917)

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Interest Rate Derivatives, Foreign Exchange Derivatives, Quadratic Gauss Model, Linear Dirac Model, Duality, Quantum Groups, Hopf Algebras

11.

Expectation and Price in Incomplete Markets

Number of pages: 31 Posted: 08 Sep 2020
Paul McCloud
University College London - Department of Mathematics
Downloads 56 (700,757)

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Derivative Pricing, Funding, Discounting, Incomplete Markets, Portfolio Optimization, Entropy, Levy-Khintchine Representation