Alan M. Stacey

Lehman Brothers International, Europe

25 Bank Street

30th Floor

London E14 5LE

United Kingdom

SCHOLARLY PAPERS

2

DOWNLOADS
Rank 42,442

SSRN RANKINGS

Top 42,442

in Total Papers Downloads

2,227

SSRN CITATIONS

1

CROSSREF CITATIONS

14

Scholarly Papers (2)

1.

New and Robust Drift Approximations for the Libor Market Model

Number of pages: 17 Posted: 12 Jun 2006
Mark S. Joshi and Alan M. Stacey
University of Melbourne - Centre for Actuarial Studies (deceased) and Lehman Brothers International, Europe
Downloads 1,152 (35,535)
Citation 7

Abstract:

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LIBOR market model, drift approximation, Monte Carlo

2.

Intensity Gamma: A New Approach to Pricing Portfolio Credit Derivatives

Number of pages: 14 Posted: 12 Jun 2006
Mark S. Joshi and Alan M. Stacey
University of Melbourne - Centre for Actuarial Studies (deceased) and Lehman Brothers International, Europe
Downloads 1,075 (39,313)
Citation 17

Abstract:

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portffolio credit derivatives, gamma process, CDO