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A theory of the term structure with an official short rate

Babbs, Simon H.; Webber, Nick - 1994

Persistent link: https://www.econbiz.de/10000902097

Implementing models of financial derivatives : object oriented applications with VBA

Webber, Nick - 2011 - 1st publ.

Persistent link: https://www.econbiz.de/10009007341

Binomial valuation of lookback options

Babbs, Simon H. - In: Journal of economic dynamics & control 24 (2000) 11/12, pp. 1499-1525

Persistent link: https://www.econbiz.de/10001508727

Conditional Gaussian models of the term structure of interest rates

Babbs, Simon H. - In: Finance and stochastics 6 (2002) 3, pp. 333-353

Persistent link: https://www.econbiz.de/10001680673

Kalman filtering of Generalized Vasicek term structure models

Babbs, Simon H.; Nowman, Kalid Ben - In: Journal of financial and quantitative analysis : JFQA 34 (1999) 1, pp. 115-130

Persistent link: https://www.econbiz.de/10001436345

The true cost of debt service and the public sector financial deficit

Miller, Marcus - In: Studies in banking and finance 2 (1985)

Persistent link: https://www.econbiz.de/10001265955

Pricing by arbitrage under arbitrary information

Babbs, Simon H. - In: Mathematical finance : an international journal of … 8 (1998) 2, pp. 163-168

Persistent link: https://www.econbiz.de/10001242836

An application of generalized Vasicek term structure models to the UK gilt-edged market : a Kalman filtering analysis

Babbs, Simon H. - In: Applied financial economics 8 (1998) 6, pp. 637-644

Persistent link: https://www.econbiz.de/10001253268

Modelling Overnight and Daytime Returns Using a Multivariate Garch-Copula Model

Kang, Long - 2011

We introduce a multivariate GARCH-Copula model to describe joint dynamics of overnight and daytime returns for multiple assets. The conditional mean and variance of individual overnight and daytime returns depend on their previous realizations through a variant of GARCH specification, and two...

Persistent link: https://www.econbiz.de/10013132497

Tail dependence of major US stocks

Kang, Long; Babbs, Simon H. - In: Risk management and corporate governance, (pp. 131-165). 2012

Persistent link: https://www.econbiz.de/10009505349