Colin Turfus

Independent Researcher

London

United Kingdom

SCHOLARLY PAPERS

20

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6,037

SSRN CITATIONS
Rank 22,639

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Top 22,639

in Total Papers Citations

28

CROSSREF CITATIONS

23

Ideas:
“  Analytic representations are obtained for derivatives prices and market scenario evolution, through application of perturbation operator theory.  ”

Scholarly Papers (20)

1.

Caplet Pricing with Backward-Looking Rates

Wilmott Magazine, September 2022, pp. 106-9.
Number of pages: 7 Posted: 08 Mar 2020 Last Revised: 11 Jan 2023
Colin Turfus
Independent Researcher
Downloads 1,383 (24,996)
Citation 3

Abstract:

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Hull-White, short rate model, pricing kernel, LIBOR replacement, backward-looking rates, compounded rates

2.

Analytic Option Prices for the Black-Karasinski Short Rate Model

Number of pages: 15 Posted: 14 Oct 2018 Last Revised: 23 Dec 2022
Mathematical Institute, University of Oxford and Oxford Man Institute, Imperial College London and Independent Researcher
Downloads 706 (64,085)
Citation 10

Abstract:

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Perturbation Methods, Asymptotic Expansion, Hull-White, Black-Karasinski, Short Rate Model, Caplet Pricing, Green’s Function

3.

The Black-Karasinski Model: Thirty Years On

Wilmott Magazine, September, 2021, pp. 26-33.
Number of pages: 9 Posted: 19 Apr 2021 Last Revised: 08 Apr 2022
Colin Turfus and Piotr Karasinski
Independent Researcher and European Bank for Reconstruction and Development (EBRD)
Downloads 584 (81,336)

Abstract:

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short rate model, credit model, Black-Karasinski, perturbation methods, asymptotic expansion, analytic solution, correlation risk

4.

Analytic Short Rate Model with Smile and Skew

Number of pages: 23 Posted: 06 May 2021 Last Revised: 28 Dec 2022
Colin Turfus and Aurelio Romero-Bermudez
Independent Researcher and ABN AMRO - ABN-Amro Bank, The Netherlands
Downloads 420 (121,351)

Abstract:

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short rate model, skew, smile, analytic solution, perturbations methods, asymptotic, caplet, swaption

5.
Downloads 397 (129,467)
Citation 2

Risky Caplet Pricing with Backward-Looking Rates

Number of pages: 15 Posted: 08 Dec 2020 Last Revised: 22 Nov 2021
Colin Turfus
Independent Researcher
Downloads 397 (128,364)
Citation 2

Abstract:

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compounded rates, backward-looking rates, LIBOR transition, caplet, perturbation series, analytic formula, pricing kernel, Hull-White, Black-Karasinski, wrong-way risk, extinguishing swap

Risky Caplet Pricing with Backward-Looking Rates

C. Turfus. Risky Caplet Pricing with Backward-Looking Rates. Risk, August, 2021
Posted: 17 Sep 2021 Last Revised: 28 Dec 2022
Colin Turfus
Independent Researcher

Abstract:

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Hull-White, Black-Karasinski, short rate model, credit risk, compounded rates, caplet, analytic price

6.

Analytic Swaption Pricing in the Black-Karasinski Model

Number of pages: 9 Posted: 14 Oct 2018 Last Revised: 02 Feb 2020
Colin Turfus
Independent Researcher
Downloads 362 (143,535)
Citation 3

Abstract:

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Perturbation Methods, Asymptotic Expansion, Hull-White, Black-Karasinski, Short Rate Model, Swaption Pricing, Green’s Function

7.

What Short Rate Model Should I Use?

Wilmott Magazine, March, 2022, pp. 28-38.
Number of pages: 15 Posted: 18 Nov 2021 Last Revised: 28 Dec 2022
Colin Turfus and Aurelio Romero-Bermudez
Independent Researcher and ABN AMRO - ABN-Amro Bank, The Netherlands
Downloads 337 (155,036)

Abstract:

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short rate model, Hull-White, Black-Karasinski, CIR, analytic solution, perturbation methods, asymptotic analysis, compounded rates, volatility smile, volatility skew

8.
Downloads 325 (161,195)
Citation 3

Two-Factor Black-Karasinski Pricing Kernel

Number of pages: 15 Posted: 17 Jul 2019 Last Revised: 11 Aug 2021
Colin Turfus and Alex Shubert
Independent Researcher and Independent
Downloads 325 (160,185)
Citation 3

Abstract:

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Black-Karasinski, pricing kernel, perturbation expansion, asymptotic, two-factor, risk capital, scenario generation, short rate model

Two-Factor Black-Karasinski Pricing Kernel

Risk.net, May 2020
Posted: 19 Jun 2020
Colin Turfus and Alex Shubert
Independent Researcher and Independent

Abstract:

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Black-Karasinski, pricing kernel, perturbation expansion, asymptotic, two-factor, risk capital, scenario generation, short rate model

9.

Closed-Form Arrow-Debreu Pricing for the Hull-White Short Rate Model

Quantitative Finance, 2019, Doi.org/10.1080/14697688.2019.1636125
Number of pages: 10 Posted: 30 Nov 2018 Last Revised: 14 Feb 2023
Colin Turfus
Independent Researcher
Downloads 291 (181,035)
Citation 10

Abstract:

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arrow-debreu, perturbation methods, hull-white, short rate model, pricing kernel, Green's function, closed form solution

10.

Analytic Risk-Free Rates Option Pricing with Smile and Skew

Summary of this paper published in risk.net Cutting Edge (2023)
Number of pages: 24 Posted: 27 Dec 2022 Last Revised: 17 Sep 2023
Colin Turfus and Aurelio Romero-Bermudez
Independent Researcher and ABN AMRO - ABN-Amro Bank, The Netherlands
Downloads 281 (187,651)

Abstract:

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caplet, swaption, skew, smile, Hull-White, short rate model, quadratic local volatility, implied volatility surface, analytic pricing, asymptotic analysis, perturbation methods, backward-looking rates, SOFR options

11.

Exact Arrow-Debreu Pricing for the Black-Karasinski Short Rate Model

Number of pages: 10 Posted: 14 Oct 2018 Last Revised: 14 Feb 2023
Colin Turfus
Independent Researcher
Downloads 217 (241,713)
Citation 8

Abstract:

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Arrow-Debreu, Perturbation Methods, Black-Karasinski, Short Rate Model, Pricing Kernel; Analytic Solution

12.

Perturbation Expansion for Arrow-Debreu Pricing with Hull-White Interest Rates and Black-Karasinski Credit Intensity

Number of pages: 19 Posted: 30 Nov 2018 Last Revised: 29 Apr 2021
Colin Turfus
Independent Researcher
Downloads 197 (264,143)
Citation 4

Abstract:

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Hull-White, Black-Karasinski, Pricing Kernel, Perturbation Expansion, CDS Pricing, Contingent CDS, Wrong-way Risk, Rates-Credit Hybrid, Extinguishing Swap

13.

Closed-Form Arrow-Debreu Pricing for FX and Inflation Options with Hull-White Stochastic Rates

Number of pages: 9 Posted: 29 Oct 2018 Last Revised: 14 Feb 2023
Colin Turfus
Independent Researcher
Downloads 112 (417,341)
Citation 2

Abstract:

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Arrow-Debreu, Perturbation Methods, Hull-White, Short Rate Model, Pricing Kernel, Closed Form, Inflation Option, FX Option

14.

Analytic Representation of a General Multi-Factor Pricing Kernel

Number of pages: 12 Posted: 14 Jun 2019 Last Revised: 10 Feb 2020
Colin Turfus
Independent Researcher
Downloads 83 (509,035)
Citation 2

Abstract:

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multi-factor, pricing kernel, Hull-White, Black-Karasinski, perturbation methods

15.

Closed-Form Arrow-Debreu Pricing for Equity Options with Hull-White Stochastic Rates

Number of pages: 9 Posted: 29 Oct 2018 Last Revised: 14 Feb 2023
Colin Turfus
Independent Researcher
Downloads 82 (512,783)
Citation 2

Abstract:

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Arrow-Debreu, Perturbation Methods, Hull-White, Short Rate Model, Pricing Kernel; Closed Form, Equity-Rates Hybrid

16.

Analytic Equity Option Pricing with Stochastic Volatility

Number of pages: 10 Posted: 29 Jun 2020 Last Revised: 17 Sep 2023
Colin Turfus
Independent Researcher
Downloads 71 (556,887)

Abstract:

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perturbation methods, analytic solution, Heston model, pricing kernel, equity option, operator expansion

17.

Quantifying Correlation Uncertainty Risk in Credit Derivatives Pricing

Int. J. Financial Stud. 2018, 6, 39; doi:10.3390/ijfs6020039
Number of pages: 20 Posted: 12 Oct 2018 Last Revised: 18 Oct 2018
Colin Turfus
Independent Researcher
Downloads 63 (592,640)
Citation 1

Abstract:

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Perturbation Expansion, Green’s Function, Model Risk, Model Uncertainty, Credit Derivatives, CVA, Correlation Risk

18.

Multi-Asset Risk Modelling with Compounded Rates

Number of pages: 11 Posted: 18 Nov 2021 Last Revised: 29 Nov 2021
Colin Turfus
Independent Researcher
Downloads 50 (666,597)

Abstract:

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Hull-White, short rate model, compounded rates, risk scenario, pricing kernel, transition density, multi-factor, multi-asset, multi-currency, credit risk

19.

Analytic Pricing of CoCo Bonds

International Journal of Theoretical and Applied Finance, Vol. 20, No. 5, 2017
Number of pages: 23 Posted: 12 Oct 2018 Last Revised: 11 Apr 2022
Colin Turfus and Alex Shubert
Independent Researcher and Independent
Downloads 39 (730,553)
Citation 2

Abstract:

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Contingent Convertible Bond, CoCo Bond, Jump-Diffusion Process, Closed-Form Analytic Solution, Asymptotic Expansion, Perturbation Analysis, Equity-Credit Hybrid

20.

Analytic Correlation Risk for CDS

Wilmott Magazine, September, 2021, pp. 58-63
Number of pages: 9 Posted: 18 Nov 2021 Last Revised: 28 Dec 2022
Colin Turfus
Independent Researcher
Downloads 37 (744,639)

Abstract:

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pricing kernel, credit derivatives, analytic solution, asymptotic expansion, perturbation analysis, Hull-White, Black-Karasinski, short-rate model, hybrid model, credit default swap, extinguishing interest rate swap.