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Number of items: 10.
Kennedy, Joanne E. (2020) Pricing collateralized derivatives with an arbitrary numeraire. Mathematical Finance, 30 (2). pp. 464-500. doi:10.1111/mafi.12227 ISSN 0960-1627.
Gogala, Jaka and Kennedy, Joanne E. (2019) One-dimensional Markov-functional models driven by a non-Gaussian driver. Journal of Computational Finance, 23 (3). pp. 61-100. doi:10.21314/JCF.2019.377 ISSN 1460-1559.
Gogala, Jaka and Kennedy, Joanne E. (2017) Classification of two-and three-factor time-homogeneous separable LMMs. International Journal of Theoretical and Applied Finance, 20 (2). 1750021. doi:10.1142/S0219024917500212 ISSN 0219-0249.
Kennedy, J. E. and Pham, Duy (2014) On the approximation of the SABR with mean reversion model : a probabilistic approach. Applied Mathematical Finance, Volume 21 (Number 5). pp. 451-481. doi:10.1080/1350486X.2014.888146 ISSN 1350-486X.
Kennedy, J. E. and Pham, Duy (2013) Implications for hedging of the choice of driving process for one-factor Markov-functional models. International Journal of Theoretical and Applied Finance, Volume 16 (Number 5). Article number 1350030. doi:10.1142/S0219024913500301 ISSN 0219-0249.
Kaisajuntti , Linus and Kennedy, J. E. (2013) Stochastic volatility for interest rate derivatives. Quantitative Finance, Volume 14 (Number 3). pp. 457-480. doi:10.1080/14697688.2012.757848 ISSN 1469-7688.
Kaisajuntti , Linus and Kennedy, J. E. (2013) An n-dimensional Markov-functional interest rate model. Journal of Computational Finance, Volume 17 (Number 1). pp. 3-41. ISSN 1460-1559.
Kennedy, J. E., Mitra, Subhankar and Pham, Duy (2012) On the approximation of the SABR model : a probabilistic approach. Applied Mathematical Finance, Vol.19 (No.6). pp. 553-586. doi:10.1080/1350486X.2011.646523 ISSN 1350-486X.
Bennett, Michael N. and Kennedy, J. E. (2005) A comparison of Markov-functional and market models : the one-dimensional case. The Journal of Derivatives, Vol.13 (No.2). pp. 22-43. doi:10.3905/jod.2005.605351
Hunt, Philip James and Kennedy, J. E. (2004) Financial derivatives in theory and practice. Chichester: John Wiley & Sons. ISBN 9780470863596
This list was generated on Thu Mar 28 08:58:25 2024 GMT.