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Monte Carlo valuation of interest rate derivatives under stochastic volatility
Clewlow, Les - In: The journal of fixed income 7 (1997) 3, pp. 35-45
Persistent link: https://www.econbiz.de/10001233944
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A comparison of models for pricing interest rate derivative securities
Strickland, Chris - In: The European journal of finance 2 (1996) 3, pp. 261-287
Persistent link: https://www.econbiz.de/10001210192
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Interst rate derivatives in a Duffie and Kan model with stochastic volatility : an Arrow-Debreu pricing approach
Nunes, Jo~ao Pedro Vidal; Clewlow, Les; Hodges, Stewart D. - In: Review of derivatives research 3 (1999) 1, pp. 5-66
Persistent link: https://www.econbiz.de/10001445808
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The dynamics of the S&P 500 implied volatility surface
Skiadopoulos, George; Hodges, Stewart D.; Clewlow, Les - In: Review of derivatives research 3 (1999) 3, pp. 263-282
Persistent link: https://www.econbiz.de/10001493260
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Optimal delta-hedging under transactions costs
Clewlow, Les - In: Journal of economic dynamics & control 21 (1997) 8, pp. 1353-1376
Persistent link: https://www.econbiz.de/10001222045
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The dynamics of implied volatility surfaces
Skiadopoulos, George; Hodges, Stewart D.; Clewlow, Les - In: Decision making : recent developments and worldwide …, (pp. 197-211). 2010
Persistent link: https://www.econbiz.de/10009152462