Colin Turfus

Deutsche Bank

Winchester House

1 Great Winchester Street

London, EC2N 2DB

United Kingdom

SCHOLARLY PAPERS

20

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SSRN CITATIONS
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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.  ”

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
Deutsche Bank
Downloads 1,141 (28,672)
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
ETH Zürich - Department of Mathematics, Imperial College London and Deutsche Bank
Downloads 527 (80,746)
Citation 11

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
Deutsche Bank and European Bank for Reconstruction and Development (EBRD)
Downloads 399 (112,428)

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

4.

Risky Caplet Pricing with Backward-Looking Rates

Downloads 342 (133,614)
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 342 (132,730)
Citation 1

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
Deutsche Bank

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

5.

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
Deutsche Bank and ABN AMRO - ABN-Amro Bank, The Netherlands
Downloads 339 (134,868)

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

6.

Two-Factor Black-Karasinski Pricing Kernel

Downloads 263 (175,675)
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 263 (174,904)
Citation 1

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
Deutsche Bank and Independent

Abstract:

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

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
Deutsche Bank and ABN AMRO - ABN-Amro Bank, The Netherlands
Downloads 238 (193,728)

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.

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 226 (203,587)
Citation 7

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

9.

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 219 (209,800)
Citation 3

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

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 170 (262,918)
Citation 8

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

11.

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 166 (268,466)
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

12.

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 81 (448,180)
Citation 2

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

13.

Analytic RFR Option Pricing with Smile and Skew

Number of pages: 24 Posted: 27 Dec 2022 Last Revised: 06 Jan 2023
Colin Turfus and Aurelio Romero-Bermudez
Deutsche Bank and ABN AMRO - ABN-Amro Bank, The Netherlands
Downloads 80 (451,478)

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

14.

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 73 (475,409)
Citation 3

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

15.

Analytic Equity Option Pricing with Stochastic Volatility

Number of pages: 10 Posted: 29 Jun 2020 Last Revised: 10 Jan 2023
Colin Turfus
Deutsche Bank
Downloads 62 (517,699)

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

16.

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 56 (543,377)
Citation 2

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

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
Deutsche Bank
Downloads 51 (566,599)
Citation 2

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
Deutsche Bank
Downloads 35 (653,934)

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 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
Deutsche Bank
Downloads 17 (790,971)

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.

20.

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
Deutsche Bank and Independent
Downloads 10 (857,247)

Abstract:

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