Publications and Working Papers
- The potential approach in practice,
- Modelling spikes and pricing swing options in electricity markets,
with Ben Hambly
to appear Quantitative Finance.
- Is There an Informationally Passive Benchmark for Option Pricing
with V. Henderson and D. Hobson,
Quantitative Finance, 7(1), February 2007, 75-86.
- A Comparison of Option Prices under Different Pricing Measures
in a Stochastic Volatility Model with Correlation,
Review of Derivatives Research, 8, 5-25, 2005.