Will M. Wright

University of Melbourne - Centre for Actuarial Studies

Centre for Actuarial Studies

Melbourne, 3010

Australia

SCHOLARLY PAPERS

2

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CITATIONS

1

Scholarly Papers (2)

1.

Efficient Pricing and Greeks in the Cross-Currency LIBOR Market Model

Number of pages: 35 Posted: 22 Aug 2010
Christopher Beveridge, Mark S. Joshi and Will M. Wright
The University of Melbourne - Centre for Actuarial Studies, The University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies
Downloads 970 (15,256)
Citation 1

Abstract:

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Interest rate derivatives, cross-currency LIBOR market model, BGM, PRDC, adjoint pathwise Greeks

2.

A Krylov Subspace Method for Option Pricing

Number of pages: 22 Posted: 30 Mar 2011
Jitse Niesen and Will M. Wright
School of Mathematics, University of Leeds and University of Melbourne - Centre for Actuarial Studies
Downloads 154 (154,325)

Abstract:

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Option pricing, Exponential integrator, Krylov subspace method, Heston stochastic volatility, PRDC swaps