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Negative Libor rates in the swap market model

Davis, Mark H. A.; Mataix-Pastor, Vicente - In: Finance and stochastics 11 (2007) 2, pp. 181-193

Persistent link: https://www.econbiz.de/10003439752

Arbitrage-Free Interpolation of the Swap Curve

Davis, Mark H. A. - 2009

We suggest an arbitrage free interpolation method for pricing zero-coupon bonds of arbitrary maturities from a model of the market data that typically underlies the swap curve; that is short term, future and swap rates. This is done first within the context of the Libor or the swap market model....

Persistent link: https://www.econbiz.de/10013153474

Optimal hedging with basis risk

Davis, Mark H. A. - In: From stochastic calculus to mathematical finance : the …, (pp. 169-187). 2006

Persistent link: https://www.econbiz.de/10003287153

Contagion models in credit risk

Davis, Mark H. A. - In: The Oxford handbook of credit derivatives, (pp. 285-326). 2011

Persistent link: https://www.econbiz.de/10014565536

Recursive order estimation of autoregressions without bounding the model set

Hemerly, E. M. - In: Journal of the Royal Statistical Society 53 (1991) 1, pp. 201-210

Persistent link: https://www.econbiz.de/10001115424

Optimal investment under partial information

Björk, Tomas; Davis, Mark H. A. - In: Mathematical methods of operations research 71 (2010) 2, pp. 371-399

Persistent link: https://www.econbiz.de/10003958366

Taming animal spirits : risk management with behavioural factors

Andruszkiewicz, Grzegorz; Davis, Mark H. A.; Lleo, … - In: Annals of finance 9 (2013) 2, pp. 145-166

Persistent link: https://www.econbiz.de/10009741199

Louis Bachelier's theory of speculation : the origins of modern finance

Bachelier, Louis - 2006

Persistent link: https://www.econbiz.de/10010411054

The range of traded option prices

Davis, Mark H. A.; Hobson, David G. - In: Mathematical finance : an international journal of … 17 (2007) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10003543093

Arbitrage bounds for prices of weighted variance swaps

Davis, Mark H. A.; Obłój, Jan; Raval, Vimal - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 821-854

Persistent link: https://www.econbiz.de/10011308161