Colin Turfus
Deutsche Bank
Winchester House
1 Great Winchester Street
London, EC2N 2DB
United Kingdom
SCHOLARLY PAPERS
20
DOWNLOADS
Rank 17,274
SSRN RANKINGS
Top 17,274
in Total Papers Downloads
4,495
SSRN CITATIONS
Rank 21,511
SSRN RANKINGS
Top 21,511
in Total Papers Citations
19
CROSSREF CITATIONS
27
Ideas:
“
Analytic representations are sought for derivatives prices and market scenario evolution, through a novel application of perturbation operator theory. Interest rates, credit intensities and/or volatilities are assumed stochastic. For a given (usually multi-factor) model a pricing kernel is derived, either in closed form or as a power series in the interest rate, credit intensity or volatility perturbation, exploiting its smallness. This can then be used to derive by standard procedures prices and risk measures for derivative instruments with survival- or default-contingent cash flows.
”
Feedback