Joanne E. Kennedy

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
Pricing collateralized derivatives with an arbitrary numeraire Mathematical Finance	2020-05-14	Paper
On the Approximation of the SABR with Mean Reversion Model: A Probabilistic Approach Applied Mathematical Finance	2018-09-12	Paper
On the approximation of the SABR model: a probabilistic approach Applied Mathematical Finance	2017-10-05	Paper
Classification of two- and three-factor time-homogeneous separable LMMs International Journal of Theoretical and Applied Finance	2017-04-13	Paper
Stochastic volatility for interest rate derivatives Quantitative Finance	2014-09-05	Paper
Implications for hedging of the choice of driving process for one-factor Markov-functional models International Journal of Theoretical and Applied Finance	2013-10-21	Paper
Financial Derivatives in Theory and Practice Wiley Series in Probability and Statistics	2004-10-27	Paper
Markov-functional interest rate models.	2002-01-06	Paper
Markov-functional interest rate models Finance and Stochastics	2001-03-01	Paper
scientific article; zbMATH DE number 1454625 (Why is no real title available?)	2000-06-04	Paper
On duality and the Spitzer-Pollaczek factorization for random walks Stochastic Processes and their Applications	1999-11-18	Paper
Implied interest rate pricing models Finance and Stochastics	1999-02-18	Paper
Understanding the Wiener–Hopf factorization for the simple random walk Journal of Applied Probability	1994-10-13	Paper
Noisy fluctuating clocks for Markov chains Mathematical Proceedings of the Cambridge Philosophical Society	1991-01-01	Paper
Probabilistic factorization of a quadratic matrix polynomial Mathematical Proceedings of the Cambridge Philosophical Society	1990-01-01	Paper
The total variation distance between the binomial and Poisson distributions The Annals of Probability	1989-01-01	Paper
Rates of Poisson convergence for some coverage and urn problems using coupling Journal of Applied Probability	1988-01-01	Paper

Research outcomes over time

This page was built for person: Joanne E. Kennedy