Les Clewlow

Lacima

Director

London

United Kingdom

http://www.lacimagroup.com

University of Warwick - Financial Options Research Centre (FORC)

Coventry CV4 7AL

United Kingdom

http://www.wbs.ac.uk/expertise/research_teaching/f

University of Technology Sydney (UTS) - School of Finance and Economics

Associate Research Fellow

Haymarket

Sydney, NSW 2007

Australia

http://www.business.uts.edu.au/finance/

SCHOLARLY PAPERS

7

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Top 13,173

in Total Papers Downloads

4,020

SSRN CITATIONS
Rank 39,616

SSRN RANKINGS

Top 39,616

in Total Papers Citations

0

CROSSREF CITATIONS

17

Scholarly Papers (7)

1.

Valuing Energy Options in a One Factor Model Fitted to Forward Prices

Number of pages: 28 Posted: 24 May 1999
Les Clewlow and Chris Strickland
Lacima and University of Technology Sydney (UTS)
Downloads 3,067 (4,018)
Citation 46

Abstract:

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2.

Pricing Interest Rate Exotics in Multi-Factor Gaussian Interest Rate Models

Number of pages: 34 Posted: 20 Oct 1998
Les Clewlow and Chris Strickland
Lacima and University of Technology Sydney (UTS)
Downloads 953 (26,075)
Citation 6

Abstract:

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3.

The Evaluation of Multiple Year Gas Sales Agreement with Regime Switching

Research Paper Number: 288, Quantitative Finance Research Centre, University of Technology, Sydney
Posted: 27 Oct 2012
Carl Chiarella, Les Clewlow and Boda Kang
University of Technology, Sydney - UTS Business School, Finance Discipline Group, Lacima and AMP

Abstract:

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gas sales agreement, swing contract, take-or-pay, make-up, carry forward, forward price curve, regime switching volatility, recombing pentanomial tree

4.

Interest Rate Derivatives in a Duffie and Kan Model with Stochastic Volatility: An Arrow-Debreu Pricing Approach

Posted: 18 Apr 2000
ISCTE Business School, Lacima and University of Warwick - Financial Options Research Centre (FORC)

Abstract:

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5.

The Dynamics of the S&P 500 Implied Volatility Surface

Posted: 27 Mar 2000
Queen Mary, University of London, School of Economics and Finance, University of Warwick - Financial Options Research Centre (FORC) and Lacima

Abstract:

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6.

The Dynamics of Implied Volatility Surfaces

FORC preprint: 1998/86
Posted: 16 Sep 1998
Lacima, University of Warwick - Financial Options Research Centre (FORC) and Queen Mary, University of London, School of Economics and Finance

Abstract:

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7.

The Dynamics of Smiles

FORC series Pre-Prints: 98/85
Posted: 07 May 1998
Queen Mary, University of London, School of Economics and Finance, University of Warwick - Financial Options Research Centre (FORC) and Lacima

Abstract:

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