Alan M. Stacey

Lehman Brothers International, Europe

25 Bank Street

30th Floor

London E14 5LE

United Kingdom

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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 1,157 (39,835)

Citation 7

Abstract:

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 1,087 (43,668)

Citation 17

Abstract:

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