Duy Pham

University of Warwick - Department of Statistics

Coventry , CV4 7AL

United Kingdom

SCHOLARLY PAPERS

2

DOWNLOADS

836

SSRN CITATIONS

1

CROSSREF CITATIONS

2

Scholarly Papers (2)

1.

On the Approximation of the SABR Model: A Probabilistic Approach

Applied Mathematical Finance, Forthcoming
Number of pages: 34 Posted: 22 Apr 2012
University of Warwick - Department of Statistics, affiliation not provided to SSRN and University of Warwick - Department of Statistics
Downloads 683 (38,521)

Abstract:

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The SABR model, displaced diffusion, stochastic volatility

2.

Implications for Hedging of the Choice of Driving Process for One-Factor Markov-Functional Models

International Journal of Theoretical and Applied Finance, Vol.16, No.05, 2013
Number of pages: 42 Posted: 15 Dec 2011 Last Revised: 19 Nov 2019
Joanne Kennedy and Duy Pham
University of Warwick - Department of Statistics and University of Warwick - Department of Statistics
Downloads 153 (199,768)
Citation 1

Abstract:

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one-dimensional swap Markov-functional model, Bermudan swaption, correlation, hedging, vega, gamma, parametrization by time and by expiry