Johan G. B. Beumee

JODE GROUP LTD

20 Ensenada Reef

Eastbourne, East Sussex BN23 5AF

United Kingdom

SCHOLARLY PAPERS

5

DOWNLOADS

1,517

SSRN CITATIONS

1

CROSSREF CITATIONS

7

Scholarly Papers (5)

1.

Charting a Course through the CDS Big Bang

Number of pages: 15 Posted: 09 Apr 2009 Last Revised: 02 Oct 2009
Johan G. B. Beumee, Damiano Brigo, Daniel Schiemert and Gareth Stoyle
JODE GROUP LTD, Imperial College London - Department of Mathematics, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 1,180 (34,589)
Citation 12

Abstract:

Loading...

Credit Default Swap, Upfront Credit Default Swap, Running Credit Default Swap, Hazard Rates, Conversion Running Upfront

2.

Generating Correlated Realizations Without Matrix Decomposition

Number of pages: 8 Posted: 12 Apr 2011 Last Revised: 23 May 2014
Johan G. B. Beumee
JODE GROUP LTD
Downloads 113 (456,922)

Abstract:

Loading...

counterparty credit risk, Monte Carlo simulation, CVA, EPE, EE, EC

3.

Pricing and Hedging Options on Defaultable Assets

Number of pages: 26 Posted: 04 Oct 2006
Johan G. B. Beumee and Michel Vellekoop
JODE GROUP LTD and University of Twente - Department of Applied Mathematics
Downloads 104 (485,253)
Citation 1

Abstract:

Loading...

Hedging, Default, Jump-Diffusion

4.

Energy and Momentum Conservation for Diffusion - a Stochastic Mechanics Approximation - Part I

Number of pages: 68 Posted: 04 Oct 2006
Johan G. B. Beumee
JODE GROUP LTD
Downloads 69 (622,624)

Abstract:

Loading...

stochastic process, heatbath, diffusion

5.

Path Diffusion, Part I

Number of pages: 28 Posted: 24 May 2014
JODE GROUP LTD, Independent, Independent and Independent
Downloads 51 (720,626)

Abstract:

Loading...

Markov Process, Velocit Convexity Equation, Telegraph Equation, Klein-Gordon Equation, Newston's Equation