Phil J. Hunt

Citigroup - Global Corporate and Investment Banking Group (GCIB)

Citigroup Centre

Canada Square, Canary Wharf

London, E14 5LB

United Kingdom

SCHOLARLY PAPERS

4

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19

Scholarly Papers (4)

Markov-Functional Interest Rate Models

Number of pages: 25 Posted: 12 Jan 1998
Phil J. Hunt, Joanne Kennedy and Antoon Pelsser
Citigroup - Global Corporate and Investment Banking Group (GCIB), University of Warwick - Department of Statistics and Maastricht University
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Citation 19

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Markov-Functional Interest Rate Models

Finance & Stochastics
Posted: 17 Nov 1999
Phil J. Hunt, Joanne Kennedy and Antoon Pelsser
Citigroup - Global Corporate and Investment Banking Group (GCIB), University of Warwick - Department of Statistics and Maastricht University

Abstract:

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2.

Longstaff-Schwartz, Effective Model Dimensionality and Reducible Markov-Functional Models

Number of pages: 29 Posted: 06 Mar 2005
Phil J. Hunt and Joanne Kennedy
Citigroup - Global Corporate and Investment Banking Group (GCIB) and University of Warwick - Department of Statistics
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Markov-functional, Callable, Interest-rate models

3.

Implied Interest Rate Pricing Models

Finance and Stochastics, Vol. 2, No. 3 (1998)
Posted: 09 Jun 1998
Phil J. Hunt and J.E. Kennedy
Citigroup - Global Corporate and Investment Banking Group (GCIB) and University of Oxford - Department of Statistics

Abstract:

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4.

Arbitrage Free Pricing of Quanto Swaptions

The Journal of Financial Engineering, Vol. 7, No. 1, March 1998
Posted: 06 May 1998
Phil J. Hunt and Antoon Pelsser
Citigroup - Global Corporate and Investment Banking Group (GCIB) and Maastricht University

Abstract:

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