Canterbury Kent, CT2 7PE
University of Kent, Canterbury - Kent Business School
in Total Papers Downloads
in Total Papers Citations
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
Cookies are used by this site. To decline or learn more, visit our Cookies page.
This page was processed by apollobot1 in 0.531 seconds
We'd like to ask you to provide feedback on your experience with SSRN today. Your feedback will be used to enhance the site in the future.
Would you be willing to answer a few questions when you leave our site?
Yes, I'm willing to take part in a survey
No, thank you