Gary J. Kennedy

Clarus Financial Technology

8 Monkwell Square

London, EC2Y 5BN

United Kingdom

http://www.clarusft.com

SCHOLARLY PAPERS

6

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3,505

SSRN CITATIONS

0

CROSSREF CITATIONS

5

Scholarly Papers (6)

1.

Explicit SABR Calibration Through Simple Expansions

Number of pages: 21 Posted: 18 Jul 2014
Fabien Le Floc'h and Gary J. Kennedy
Calypso Technology and Clarus Financial Technology
Downloads 1,601 (10,904)

Abstract:

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stochastic volatility, SABR, calibration, implied volatility, finance

2.

Finite Difference Techniques for Arbitrage Free SABR

Number of pages: 25 Posted: 28 Feb 2014 Last Revised: 13 Jan 2015
Fabien Le Floc'h and Gary J. Kennedy
Calypso Technology and Clarus Financial Technology
Downloads 1,450 (12,706)
Citation 5

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stochastic volatility, SABR, TR-BDF2, Crank-Nicolson, finite difference, finance

3.

Swap Futures in HJM One-Factor Model

Number of pages: 7 Posted: 25 Jul 2010
Gary J. Kennedy
Clarus Financial Technology
Downloads 242 (130,483)
Citation 1

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4.

Average and Compound Futures in HJM One-Factor Model

Number of pages: 7 Posted: 25 Jul 2010
Gary J. Kennedy
Clarus Financial Technology
Downloads 115 (248,039)

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OIS Future, EONIA Future, Fed Funds Future, HJM model

5.

A Reduction Algorithm for a Class of Payoff Formulae

Number of pages: 6 Posted: 20 Jul 2010
Gary J. Kennedy
Clarus Financial Technology
Downloads 97 (278,901)

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Payoff Formulae, Expression Tree, Reduction Algorithm, Piecewise Linear Function

6.

Finite Difference Techniques for Arbitrage-Free SABR

Journal of Computational Finance, Forthcoming
Number of pages: 29 Posted: 19 Aug 2016
Fabien Le Floch and Gary J. Kennedy
affiliation not provided to SSRN and Clarus Financial Technology
Downloads 0 (687,644)
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Abstract:

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stochastic volatility, stochastic alpha beta rho (SABR), arbitrage, TR-BDF2, finite difference method, finance