Alex Backwell

University of Cape Town

University of Cape Town

Rondebosch

Cape Town, Western Cape 7700

South Africa

SCHOLARLY PAPERS

5

DOWNLOADS

700

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (5)

1.

Term Rates, Multicurve Term Structures and Overnight Rate Benchmarks: a Roll-Over Risk Approach

Number of pages: 40 Posted: 27 Jun 2019 Last Revised: 08 Mar 2021
University of Cape Town, University College London, University of Technology Sydney (UTS), Quantitative Finance Research Centre and University of Copenhagen
Downloads 444 (83,851)
Citation 3

Abstract:

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Roll-Over Risk, Multi-Curve Interest Rate Term Structure, OIS, IBOR, LIBOR Transition, Basis Swaps, Calibration

2.

On Buybacks, Dilutions, Dividends, and the Pricing of Stock-Based Claims

Number of pages: 52 Posted: 02 Aug 2019
Alex Backwell, Thomas McWalter and Peter H. Ritchken
University of Cape Town, University of Cape Town (UCT) and Case Western Reserve University - Department of Banking & Finance
Downloads 80 (383,659)

Abstract:

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Payout Policy, Option Pricing, Buybacks, Dilution, Employee Incentive Plans, Structural Models of the Firm

3.

Term Structure Models with Unspanned Factors and Unspanned Stochastic Volatility

Number of pages: 134 Posted: 09 Dec 2018
Alex Backwell
University of Cape Town
Downloads 62 (440,275)

Abstract:

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Unspanned stochastic volatility (USV), term structure models, interest-rate volatility

4.

Bivariate Unspanned Stochastic Volatility Models

Number of pages: 25 Posted: 07 Aug 2016 Last Revised: 01 Feb 2017
Alex Backwell
University of Cape Town
Downloads 58 (454,667)

Abstract:

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Term Structure Models, Unspanned Stochastic Volatility, Market Completeness, Short-rate Models, Bivariate Models.

5.

Unspanned Stochastic Volatility from an Empirical and Practical Perspective

Number of pages: 41 Posted: 15 Dec 2015 Last Revised: 27 Aug 2019
Alex Backwell
University of Cape Town
Downloads 56 (462,179)

Abstract:

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Interest-rate volatility, Unspanned stochastic volatility, Volatility risk, Hedging, Market completeness, Term structure models