Menu
Documents
Publications and Working Papers
- The potential approach in practice,
working paper,
2008, with
Chris Rogers.
- Modelling spikes and pricing swing options in electricity markets,
with Ben Hambly
and
Sam Howison,
to appear Quantitative Finance.
elec.pdf
- Is There an Informationally Passive Benchmark for Option Pricing
Incorporating Maturity?,
with V. Henderson and D. Hobson,
Quantitative Finance, 7(1), February 2007, 75-86.
modfig.pdf
- A Comparison of Option Prices under Different Pricing Measures
in a Stochastic Volatility Model with Correlation,
with
Vicky Henderson,
David Hobson
and
Sam Howison,
Review of Derivatives Research, 8, 5-25, 2005.
rds_revised.pdf