Paul V. Johnson

University of Manchester

Lecturer

Oxford Road

Manchester, N/A M13 9PL

United Kingdom

http://www.maths.manchester.ac.uk/~pjohnson/

University of Manchester

Oxford Road

Manchester, N/A M13 9PL

United Kingdom

SCHOLARLY PAPERS

3

DOWNLOADS

618

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (3)

1.

Enhanced Finite-Difference Techniques for Early-Exercise Options on Single and Multiple Underlyings

20th Australasian Finance & Banking Conference 2007 Paper
Number of pages: 31 Posted: 23 Aug 2007
Paul V. Johnson, Nick J. Sharp, Peter Duck and David Newton
University of Manchester, Nottingham University Business School (NUBS), University of Manchester - Department of Mathematics and University of Bath - School of Management
Downloads 342 (112,928)
Citation 1

Abstract:

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American options, multi asset, finite difference, PSOR

2.

Capital Ideas: Optimal Capital Reserve Strategies for a Bank and Its Regulator

Number of pages: 36 Posted: 28 Aug 2012 Last Revised: 28 Sep 2020
University of Technology Sydney (UTS) - UTS Business School, University of Manchester, School of Mathematics, University of Manchester and University of Manchester
Downloads 276 (141,920)

Abstract:

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capital requirements, banking, real options, optimal control

3.

A New Prepayment Model (with Default): An Occupation-Time Derivative Approach

Journal of Real Estate Finance and Economics, Vol. 39, No. 2, 2009
Posted: 08 May 2009
Nick J. Sharp, Paul V. Johnson, David Newton and Peter Duck
Nottingham University Business School (NUBS), University of Manchester, University of Bath - School of Management and University of Manchester - Department of Mathematics

Abstract:

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prepayment, fixed-rate mortgages, option-pricing theory, occupation-time derivatives, Parisian options