Canterbury Kent, CT2 7PE
University of Kent, Canterbury - Kent Business School
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Portfolio investment, political risk, insurance policy, geometric Brownian motion, Poisson arrival process.
volatility indexes, volatility derivatives, GARCH models, statistical arbitrage
real-estate markets, property derivatives, balance guaranteed swaps
Constant Maturity Credit Default Swaps, Forward Credit Rates, Convexity Adjustment, Forward Rate Unbiasedness Hypothesis
American options, Optimal exercise price, Quasi-analytic method, Delta-Hedging performance
dividend derivatives, stochastic logistic diffusion, market price
Basket options, Shifted log-normal jump process, Hermite polynomials, Negative skewness, Option pricing and hedging
geometric Brownian motion; insurance policy; Poisson arrival process; portfolio investment; political risk
derivatives pricing, real estate indices, incomplete markets, market price of risk, serial correlation
model risk, parameter estimation, volatility, backtesting, knowledge production
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