Joanne Kennedy

University of Warwick - Department of Statistics

Coventry CV4 7AL

United Kingdom

SCHOLARLY PAPERS

8

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CITATIONS
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12

Scholarly Papers (8)

1.
Downloads 4,253 ( 1,967)
Citation 2

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
Downloads 4,253 (1,939)
Citation 2

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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

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2.

Quanto Pricing with Copulas

University of Warwick Statistics Department Research Report No. 415
Number of pages: 44 Posted: 25 Jul 2003
Michael N. Bennett and Joanne Kennedy
Merrill Lynch, UK and University of Warwick - Department of Statistics
Downloads 1,656 (9,783)
Citation 1

Abstract:

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3.

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
Downloads 1,252 (15,324)
Citation 4

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Markov-functional, Callable, Interest-rate models

4.

An N-Dimensional Markov-Functional Interest Rate Model

Number of pages: 44 Posted: 09 Jan 2008 Last Revised: 19 Jul 2011
Linus Kaisajuntti and Joanne Kennedy
Stockholm School of Economics - Department of Finance and University of Warwick - Department of Statistics
Downloads 1,167 (17,066)
Citation 1

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Interest rate derivatives, markov-functional models, LIBOR market models, multi-dimensional

5.

On the Approximation of the SABR Model: A Probabilistic Approach

Applied Mathematical Finance, Forthcoming
Number of pages: 34 Posted: 22 Apr 2012
Joanne Kennedy, Subhankar Mitra and Duy Pham
University of Warwick - Department of Statistics, affiliation not provided to SSRN and University of Warwick - Department of Statistics
Downloads 679 (37,018)

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The SABR model, displaced diffusion, stochastic volatility

6.

Stochastic Volatility for Interest Rate Derivatives

Number of pages: 46 Posted: 26 Jul 2011 Last Revised: 08 Sep 2011
Linus Kaisajuntti and Joanne Kennedy
Stockholm School of Economics - Department of Finance and University of Warwick - Department of Statistics
Downloads 291 (103,647)
Citation 1

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Interest rate derivatives, stochastic volatility, smile dynamics, historical data, Markov-functional models, LIBOR market models

7.

Implications for Hedging of the Choice of Driving Process for One-Factor Markov-Functional Models

Number of pages: 42 Posted: 15 Dec 2011 Last Revised: 19 Dec 2011
Joanne Kennedy and Duy Pham
University of Warwick - Department of Statistics and University of Warwick - Department of Statistics
Downloads 147 (197,702)

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one-dimensional swap Markov-functional model, Bermudan swaption, correlation, hedging, vega, gamma, parametrization by time and by expiry

8.

One-Dimensional Markov-Functional Models Driven by Non-Gaussian Markov Processes

Number of pages: 40 Posted: 10 Mar 2017
Jaka Gogala and Joanne Kennedy
University of Warwick and University of Warwick - Department of Statistics
Downloads 48 (393,295)

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Constant Elasticity of Variance, Copula Theory, Interest Rate Models, Local-Volatility LIBOR Market Models, Markov-Functional Models