Les Clewlow
From MaRDI portal
List of research outcomes
This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!
| Publication | Date of Publication | Type |
|---|---|---|
| The evaluation of multiple year gas sales agreement with regime switching International Journal of Theoretical and Applied Finance | 2016-04-01 | Paper |
| The evaluation of gas swing contracts with regime switching Topics in Numerical Methods for Finance | 2014-09-29 | Paper |
| Interest rate derivatives in a Duffie and Kan model with stochastic volatility: an Arrow-Debreu pricing approach Review of Derivatives Research | 2013-10-30 | Paper |
| The dynamics of the S\&P 500 implied volatility surface Review of Derivatives Research | 2013-10-30 | Paper |
| A volatility decomposition control variate technique for Monte Carlo simulations of Heath-Jarrow-Morton models European Journal of Operational Research | 2004-11-22 | Paper |
| Optimal delta-hedging under transactions costs Journal of Economic Dynamics and Control | 1998-07-22 | Paper |
Research outcomes over time
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