Colin Turfus

Independent Researcher

London

United Kingdom

  • Independent Researcher

SCHOLARLY PAPERS

20

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6,037

SSRN CITATIONS
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Top 22,639

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28

CROSSREF CITATIONS

23

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

  • Independent Researcher

Scholarly Papers (20)

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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
Blanka Horvath, Antoine (Jack) Jacquier and Colin Turfus
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)

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

5.

Risky Caplet Pricing with Backward-Looking Rates

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

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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)

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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.

Two-Factor Black-Karasinski Pricing Kernel

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

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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

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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.