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Masterclass with Deutsche Bank: A two-factor mean-reverting model - The authors develop a two-factor mean-reverting model for crude oil that is then applied to various exotic derivatives valuation problems.

Beaglehole, David; Chebanier, Alain - In: Risk : managing risk in the world's financial markets 15 (2002) 7, pp. 65-69

Persistent link: https://www.econbiz.de/10007036011

Corrections and additions to 'a nonlinear equilibrium model of the term structure of interest rates'

Beaglehole, David; Tenney, Mark - In: Journal of Financial Economics 32 (1992) 3, pp. 345-353

Persistent link: https://www.econbiz.de/10005210465

Aspects of vapor adsorption on solids

Beaglehole, David - In: Physica A: Statistical Mechanics and its Applications 244 (1997) 1, pp. 40-44

The paper describes three unexpected phenomena which were observed during studies of the vapour adsorption onto solids. A quadratic variation of the adsorption of water onto borosilicate glass is found at low pressures. Water films condensed onto mica start to conduct electricity at a thickness...

Persistent link: https://www.econbiz.de/10010586711

Corrections and additions to "A nonlinear equilibrium model of the term structure of interest rates"

Beaglehole, David - In: Journal of financial economics 32 (1992) 3, pp. 345-353

Persistent link: https://www.econbiz.de/10001140315