Gower Street
London, WC1E 6BT
United Kingdom
Private Bag X3
Rondebosch, Western Cape 7701
South Africa
University College London
University of Cape Town (UCT)
SSRN RANKINGS
in Total Papers Downloads
Adjoint Algorithmic Differentiation, Partial Differential Equations, Credit Derivatives
Adjoint Algorithmic Differentiation (AAD), Monte Carlo, Bermudan-style options, valuation adjustments (XVA)
Option Pricing, Implied Volatility, Breeden-Litzenberger Equation, Volatility Surface, Information-Based Asset Pricing
Initial margin, margin valuation adjustment (MVA), multi-curve interest rate models, risk management
Asset pricing, pricing kernel, Markov processes, Levy random bridges, equity, interest rates, debt, spread dynamics, contagion
Pricing Kernel Approach; Rational Pricing Models; Multi-Curve Term Structures; OIS and LIBOR; Spread Models; HJM; Multi-Curve Potential Model; Linear-Rational Term Structure Models; Inflation-Linked and Foreign-Exchanged Securities
Continuous-time equilibrium, exponential utility, CAPM, affine processes, information-based asset pricing, implied volatility
Market making, inventory risk, impulse-control problem, quasi variational inequality, viscosity solutions.
Inflation-linked derivatives, rational term structure models, convexity adjustment, calibration, pricing kernels, year-on-year swap, limited price index
non-life reserving, claims development, reinsurance, best estimate of ultimate loss, information-based asset pricing, Levy processes, stable processes
Filtration models, jump-diffusion dynamics, point processes, stochastic volatility, information-based modelling, asymmetric information.
Ornstein-Uhlenbeck Process, First-Passage-Time, Multiple Barrier-Crossings and Joint Survival Function, Time-Dependent Barriers, Markov Process, Infinite Series Approximation and Tail Convergence, Quadrature and Monte Carlo Schemes, Numerical Efficiency
Roll-Over Risk, Multi-Curve Interest Rate Term Structure, OIS, IBOR, LIBOR Transition, Basis Swaps, Calibration
Asset pricing, partial information, stochastic volatility, correlation, dividend growth, Brownian bridge, nonlinear filtering, market microstructure
