William A McGhee

NatWest Markets

250 Bishopsgate

London, EC2M 4AA

United Kingdom

SCHOLARLY PAPERS

3

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15

Scholarly Papers (3)

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1.

An Artificial Neural Network Representation of the SABR Stochastic Volatility Model

Number of pages: 24 Posted: 14 Dec 2018
William A McGhee
NatWest Markets
Downloads 2,028 (12,053)
Citation 22

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Stochastic Volatility, SABR Model, SABR Approximation, SABR Integration Scheme, Artificial Neural Network, Universal Approximation Theorem

2.

Deconstructing the Volatility Smile

Number of pages: 32 Posted: 25 Jul 2014
Romano Trabalzini and William A McGhee
Imperial College London and NatWest Markets
Downloads 424 (105,332)
Citation 2

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volatility Smile, SABR model, Heston model, volatility swap, quanto

3.

Pricing Path Dependent Contracts in the Presence of Stochastic Volatility - Combining Numerical Integration, Finite Difference and Conditional Monte Carlo

Number of pages: 18 Posted: 16 Oct 2014
William A McGhee
NatWest Markets
Downloads 251 (185,096)
Citation 2

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Conditional Monte Carlo, stochastic volatility, SABR model, correlation swaps