Peter Duck

University of Manchester - Department of Mathematics

Oxford Road

Manchester M60 1QD, M13 9PL

United Kingdom

SCHOLARLY PAPERS

7

DOWNLOADS

587

SSRN CITATIONS

1

CROSSREF CITATIONS

10

Scholarly Papers (7)

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
University of Manchester, Nottingham University Business School (NUBS), University of Manchester - Department of Mathematics and University of Bath - School of Management
Downloads 341 (111,467)
Citation 1

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American options, multi asset, finite difference, PSOR

2.

Fixed Life Projects: Agency Conflicts and Optimal Leverage

Number of pages: 63 Posted: 15 Feb 2008
University of Manchester - Division of Accounting and Finance, University of Manchester - Manchester Business School and University of Manchester - Department of Mathematics
Downloads 121 (288,335)

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Real Options, Corporate Financing Decisions, Agency Theory, Concession Contracts

3.

Why Effort on Structural Models is Worthwhile: New Evidence from a Parasian-Option Style Model

Number of pages: 11 Posted: 16 Mar 2006
Bo Liu, Peter Duck and David Newton
University of Manchester - School of Mathematics, University of Manchester - Department of Mathematics and University of Bath - School of Management
Downloads 103 (322,511)

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bankruptcy resolution, ParAsian option, bond pricing, structural model, empirical test

4.

The Black-Scholes Equation Revisited: Asymptotic Expansions and Singular Perturbations

Number of pages: 19 Posted: 23 Mar 2005
University of Manchester - Manchester Business School, University of Manchester - Department of Mathematics, University of Manchester - Department of Mathematics and University of Bath - School of Management
Downloads 19 (648,567)
Citation 1
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5.

Singular Perturbation Techniques Applied to Multiasset Option Pricing

Mathematical Finance, Vol. 19, Issue 3, pp. 457-486, July 2009
Number of pages: 30 Posted: 30 Jun 2009
University of Manchester - Department of Mathematics, University of Manchester, University of Bath - School of Management and Lancaster University - Department of Accounting and Finance
Downloads 3 (771,600)
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6.

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
Nottingham University Business School (NUBS), University of Manchester, University of Bath - School of Management and University of Manchester - Department of Mathematics

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

7.

An Improved Fixed-Rate Mortgage Valuation Methodology with Interacting Prepayment and Default Options

Journal of Real Estate Finance and Economics, Vol. 36, No. 3, 2008
Posted: 20 Oct 2007 Last Revised: 15 Jul 2008
Nick J. Sharp, Peter Duck and David Newton
Nottingham University Business School (NUBS), University of Manchester - Department of Mathematics and University of Bath - School of Management

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fixed-rate mortgages, option pricing theory, perturbation theory, prepayment, default