United Kingdom
University of Oxford - Mathematical Institute
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Kinetic Component Analysis, Time Series, Principal Component Analysis, LOWESS, Fourier Analysis, Kalman Filter
libertarianism, paternalism, libertarian paternalism, theory of choice, nudging
interest rates, volatility
term structure modelling, yield curve modelling, affine models, principal components
yield curve modelling, affine models, convexity
derivatives models, interest models, structured products
excess returns, term premia, yield curve modelling, slope of yield curve
affine models, market price of risk, return predicting factor
bond excess return, Cochrane and Piazzesi tent factor, return predicting factor, bond pricing
term premia, excess returns, return-predicting factor
LMM model, SABR model, LMM-SABR model, interest-rate models, correlation, drift correction
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Libor Market Model, SABR, No-Arbitrage Drifts
principal components, yield curve modelling, risk management
