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Kenyon, Chris
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Cheliotis, Giorgos
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Green, Andrew
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Kenyon, Richard
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Tompaidis, Stathis
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Risk : managing risk in the world's financial markets
4
Netnomics
1
Operations research : the journal of the Operations Research Society of America
1
The engineering economist : a journal devoted to the problems of capital investment ; a joint publication of the Engineering Economy Division of the American Society for Engineering Education and American Institute of Industrial Engineers
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OLC EcoSci
ECONIS (ZBW)
44
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USB Cologne (EcoSocSci)
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ARTICLES - Real Options in Leasing: The Effect of Idle Time
Kenyon, Chris
;
Tompaidis, Stathis
- In:
Operations research : the journal of the Operations …
49
(
2001
)
5
,
pp. 675-689
Persistent link: https://www.econbiz.de/10006418739
Saved in:
2
Dark Fiber Valuation
Kenyon, Chris
;
Cheliotis, Giorgos
- In:
The engineering economist : a journal devoted to the …
47
(
2002
)
3
,
pp. 264-307
Persistent link: https://www.econbiz.de/10006438998
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3
Interest rate derivatives Post-shock short-rate pricing The basis between swaps referencing funded fixings and swaps referencing overnight collateralised fixings has increased in importance with the 2007-09 liquidity and credit crises. This basis means that new pricing models for fixed-income staples such as caps, floors and swaptions are required. Recently, new formulas have been proposed using ...
Kenyon, Chris
- In:
Risk : managing risk in the world's financial markets
23
(
2010
)
11
,
pp. 79-84
Persistent link: https://www.econbiz.de/10009794288
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4
Opinion - A clear alternative - The role played by rating agencies in the crisis is well documented, but the new regulatory framework gives similar powers and privileges to clearing houses — And leaves them exposed to the same weaknesses and temptations.
Kenyon, Chris
;
Green, Andrew
- In:
Risk : managing risk in the world's financial markets
26
(
2013
)
9
,
pp. 33-33
Persistent link: https://www.econbiz.de/10010183153
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5
CUTTING EDGE - Inflation derivatives - Inflation is normal - The author introduces normal-based smile models for year-on-year inflation motivated by the observation that market lognormal caplet volatilities of less than 1% imply normality for maturities of up to 30 years. He is also motivated by the range of quoted strikes (from negative to positive) for caps and floors and by the fact that prices ...
Kenyon, Chris
- In:
Risk : managing risk in the world's financial markets
21
(
2008
)
7
,
pp. 76-83
Persistent link: https://www.econbiz.de/10008081601
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6
Dynamics of Link Failure Events in Network Markets
Cheliotis, Giorgos
;
Kenyon, Chris
- In:
Netnomics
4
(
2002
)
2
,
pp. 163-186
Persistent link: https://www.econbiz.de/10008118618
Saved in:
7
Counterparty credit risk - DVA for assets
Kenyon, Chris
;
Kenyon, Richard
- In:
Risk : managing risk in the world's financial markets
26
(
2013
)
2
,
pp. 68-73
Persistent link: https://www.econbiz.de/10010084688
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