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

6

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7

Scholarly Papers (6)

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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 798 (50,374)
Citation 1

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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 704 (59,533)

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

3.

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 245 (200,483)
Citation 3

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

4.

Quantum Groups in Mathematical Finance

Number of pages: 48 Posted: 02 May 2017 Last Revised: 28 Feb 2023
Paul McCloud
University College London - Department of Mathematics
Downloads 209 (233,236)
Citation 2

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Derivative Pricing, Arbitrage, Noncommutative Stochastic Calculus, Duality, Quantum Groups, Hopf Algebras

5.

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 88 (456,465)
Citation 2

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

6.

Expectation and Price in Incomplete Markets

Number of pages: 31 Posted: 08 Sep 2020
Paul McCloud
University College London - Department of Mathematics
Downloads 42 (657,924)

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