Colin Turfus

Deutsche Bank

Winchester House

1 Great Winchester Street

London, EC2N 2DB

United Kingdom

SCHOLARLY PAPERS

19

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Ideas:
“  In my research I derive analytic representations for derivatives prices and market scenario evolution. The method relies on a novel application of operator expansion theory. Interest rates, credit intensities and possibly volatilities are assumed stochastic. For a given multi-factor model a pricing kernel is derived, either in closed form or as a power series in the interest rate or credit intensity, 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.  ”

Scholarly Papers (19)

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1.

Caplet Pricing with Backward-Looking Rates

Number of pages: 7 Posted: 08 Mar 2020 Last Revised: 26 Jul 2021
Colin Turfus
Deutsche Bank
Downloads 771 (42,293)
Citation 3

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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: 13 Apr 2020
Blanka Horvath, Antoine (Jack) Jacquier and Colin Turfus
ETH Zürich - Department of Mathematics, Imperial College London and Deutsche Bank
Downloads 321 (122,747)
Citation 10

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

3.

Risky Caplet Pricing with Backward-Looking Rates

Downloads 277 (143,434)
Citation 1

Risky Caplet Pricing with Backward-Looking Rates

Number of pages: 15 Posted: 08 Dec 2020 Last Revised: 22 Nov 2021
Colin Turfus
Deutsche Bank
Downloads 277 (142,733)
Citation 1

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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: 18 Nov 2021
Colin Turfus
Deutsche Bank

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

4.

Analytic Short Rate Model with Smile and Skew

Number of pages: 23 Posted: 06 May 2021
Colin Turfus and Aurelio Romero-Bermudez
Deutsche Bank and Deutsche Bank
Downloads 234 (169,489)

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

5.

The Black-Karasinski Model: Thirty Years On

C. Turfus. The Black-Karasinski Model: Thirty Years On. Wilmott Magazine, September, 2021
Number of pages: 9 Posted: 19 Apr 2021 Last Revised: 15 Nov 2021
Colin Turfus and Piotr Karasinski
Deutsche Bank and European Bank for Reconstruction and Development (EBRD)
Downloads 230 (172,309)

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

6.

Two-Factor Black-Karasinski Pricing Kernel

Downloads 170 (226,478)
Citation 1

Two-Factor Black-Karasinski Pricing Kernel

Number of pages: 15 Posted: 17 Jul 2019 Last Revised: 11 Aug 2021
Colin Turfus and Alex Shubert
Deutsche Bank and Independent
Downloads 170 (226,698)
Citation 1

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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
Deutsche Bank and Independent

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

7.

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: 29 Jan 2020
Colin Turfus
Deutsche Bank
Downloads 161 (237,164)
Citation 7

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

8.

Analytic Swaption Pricing in the Black-Karasinski Model

Number of pages: 9 Posted: 14 Oct 2018 Last Revised: 02 Feb 2020
Colin Turfus
Deutsche Bank
Downloads 139 (267,307)
Citation 3

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

9.

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
Deutsche Bank
Downloads 138 (268,864)
Citation 4

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

10.

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

Number of pages: 10 Posted: 14 Oct 2018 Last Revised: 14 Mar 2019
Colin Turfus
Deutsche Bank
Downloads 113 (311,428)
Citation 8

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

11.

What Short Rate Model Should I Use?

Number of pages: 15 Posted: 18 Nov 2021 Last Revised: 29 Nov 2021
Colin Turfus
Deutsche Bank
Downloads 69 (421,774)

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

12.

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

Number of pages: 9 Posted: 29 Oct 2018 Last Revised: 17 Feb 2020
Colin Turfus
Deutsche Bank
Downloads 56 (467,696)
Citation 3

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

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: 26 Aug 2019
Colin Turfus
Deutsche Bank
Downloads 52 (483,350)
Citation 2

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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
Deutsche Bank
Downloads 47 (504,619)
Citation 2

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

15.

Analytic Equity Option Pricing with Stochastic Volatility

Number of pages: 8 Posted: 29 Jun 2020 Last Revised: 09 Nov 2020
Colin Turfus
Deutsche Bank
Downloads 44 (518,082)

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

16.

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
Deutsche Bank
Downloads 32 (579,066)
Citation 2

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

17.

Multi-Asset Risk Modelling with Compounded Rates

Number of pages: 11 Posted: 18 Nov 2021 Last Revised: 29 Nov 2021
Colin Turfus
Deutsche Bank
Downloads 16 (686,692)

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

18.

Analytic Correlation Risk for CDS

C. Turfus. Analytic Correlation Risk for CDS. Wilmott Magazine, September, 2021
Posted: 18 Nov 2021
Colin Turfus
Deutsche Bank

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.

19.

Analytic Pricing of CoCo Bonds

International Journal of Theoretical and Applied Finance, Vol. 20, No. 5, 2017
Posted: 12 Oct 2018
Colin Turfus and Alex Shubert
Deutsche Bank and Independent

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