Documents

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