Joanne Kennedy

Available identifiers

Publication	Date of Publication	Type
Pricing collateralized derivatives with an arbitrary numeraire	2020-05-14	Paper
On the Approximation of the SABR with Mean Reversion Model: A Probabilistic Approach	2018-09-12	Paper
On the Approximation of the SABR Model: A Probabilistic Approach	2017-10-05	Paper
CLASSIFICATION OF TWO- AND THREE-FACTOR TIME-HOMOGENEOUS SEPARABLE LMMs	2017-04-13	Paper
Stochastic volatility for interest rate derivatives	2014-09-05	Paper
IMPLICATIONS FOR HEDGING OF THE CHOICE OF DRIVING PROCESS FOR ONE-FACTOR MARKOV-FUNCTIONAL MODELS	2013-10-21	Paper
Financial Derivatives in Theory and Practice	2004-10-27	Paper
https://portal.mardi4nfdi.de/entity/Q2760400	2002-01-06	Paper
Markov-functional interest rate models	2001-03-01	Paper
https://portal.mardi4nfdi.de/entity/Q4484762	2000-06-04	Paper
On duality and the Spitzer-Pollaczek factorization for random walks	1999-11-18	Paper
Implied interest rate pricing models	1999-02-18	Paper
Understanding the Wiener–Hopf factorization for the simple random walk	1994-10-13	Paper
Noisy fluctuating clocks for Markov chains	1991-01-01	Paper
Probabilistic factorization of a quadratic matrix polynomial	1990-01-01	Paper
The total variation distance between the binomial and Poisson distributions	1989-01-01	Paper
Rates of Poisson convergence for some coverage and urn problems using coupling	1988-01-01	Paper

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