Alan M. Stacey

Lehman Brothers International, Europe

25 Bank Street

30th Floor

London E14 5LE

United Kingdom

  • Lehman Brothers International, Europe

SCHOLARLY PAPERS

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Scholarly Papers (2)

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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 1,107 (22,352)
Citation 7

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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 1,038 (24,559)
Citation 17

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portffolio credit derivatives, gamma process, CDO