Charles Tier

Illinois Institute of Technology

Department of Applied Mathematics

Applied Mathematics E1 - 212

10 W. 32nd St.

Chicago, IL 60616

United States

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

1.

Asymptotic Approximations to CEV and SABR Models

Number of pages: 38 Posted: 25 May 2011
Richard Jordan and Charles Tier
Intercontinental Exchange Inc., Quantitative Analytics Group and Illinois Institute of Technology
Downloads 1,683 (5,189)

Abstract:

asymptotic approximations, perturbation methods, deterministic volatility, stochastic volatility, CEV model, SABR model

2.

The Variance Swap Contract Under the CEV Process

International Journal of Theoretical and Applied Finance, Vol. 12, No. 5, pp. 709-743, 2009
Posted: 25 Apr 2010 Last Revised: 15 Jun 2010
Charles Tier and Richard Jordan
Illinois Institute of Technology and Intercontinental Exchange Inc., Quantitative Analytics Group

Abstract:

Variance Swap, Log Contract, CEV Process, Asymptotic Methods