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pro vyhledávání: '"William T. Shaw"'
Autor:
William T. Shaw
The world has changed since the first edition was published in 2006. There have been many technological changes in communications and networking and in other areas of computer science. More focus is given to implementing cybersecurity protections and
Autor:
William T. Shaw, Jeff Dewynne
In this article, we present a simplified means of pricing Asian options using partial differential equations (PDEs). We first provide a concise derivation of the well-known similarity reduction and exact Laplace transform solution. We then analyse th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e92f97903425ca4af7bbed28806df0ac
https://doi.org/10.1017/s095679250800750x
https://doi.org/10.1017/s095679250800750x
Autor:
William T. Shaw
Students of elementary complex analysis usually begin by seeing the derivation of the Cauchy--Riemann equations. A topic of interest to both the development of the theory and its applications is the reconstruction of a holomorphic function from its r
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::671ed405d937834d8e00f6ed0f5b23a6
https://ora.ox.ac.uk/objects/uuid:8b79f92b-73db-4a55-82f1-2c6eed22a1f6
https://ora.ox.ac.uk/objects/uuid:8b79f92b-73db-4a55-82f1-2c6eed22a1f6
Publikováno v:
Quantitative Finance
This paper develops a two-dimensional structural framework for valuing credit default swaps and corporate bonds in the presence of default contagion. Modelling the values of related firms as correlated geometric Brownian motions with exponential defa
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2ac3c73785a1c10c0d803f141c2b3951
https://ora.ox.ac.uk/objects/uuid:83068bb0-e584-479e-81f8-672ca34c2d7a
https://ora.ox.ac.uk/objects/uuid:83068bb0-e584-479e-81f8-672ca34c2d7a
Autor:
William T. Shaw, Marcus Schofield
Publikováno v:
Quantitative Finance. 15:975-998
Recent market events have reinvigorated the search for realistic return models that capture greater likelihoods of extreme movements. In this paper we model the medium-term log-return dynamics in a market with both fundamental and technical traders.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::bb64dd9667010058479a9b96cd4e0e84
https://doi.org/10.1080/14697688.2011.642810
https://doi.org/10.1080/14697688.2011.642810
Autor:
William T. Shaw, Asad Munir
Publikováno v:
The European Journal of Finance. 15:661-674
The generation of multivariate probability distributions follows several approaches. Within financial applications the emphasis has mostly been on two methodologies. The first is the elliptical methodology, where the leap from univariate to multivari
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::87c3d59396e34a2421f038b1c415d21a
https://doi.org/10.1080/13518470802697402
https://doi.org/10.1080/13518470802697402
Autor:
William T. Shaw, Eric C. K. Yu
Publikováno v:
International Journal of Theoretical and Applied Finance. 11(08):905-941
We propose a general approach that requires only a simple change of variable that keeps the valuation of call and put options (convertible bonds) with strike (conversion) price resets two-dimensional in the classical Black–Scholes setting. A link b
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ac6ab1a3b7526d08f2dab74251c334c9
http://www.worldscinet.com/cgi-bin/details.cgi?type=pdf&id=pii:S0219024908005081
http://www.worldscinet.com/cgi-bin/details.cgi?type=pdf&id=pii:S0219024908005081
Publikováno v:
BASE-Bielefeld Academic Search Engine
This paper studies symmetries between fixed and floating-strike Asian options and exploits this symmetry to derive an upper bound for the price of a floating-strike Asian. This bound only involves fixed-strike Asians and vanillas, and can be computed
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b4a3f1affe6022fdb781432329785c83
https://doi.org/10.1007/s10479-006-0122-8
https://doi.org/10.1007/s10479-006-0122-8
Autor:
William T. Shaw
Publikováno v:
The Journal of Computational Finance. 9:37-73
With the current interest in copula methods, and fat-tailed or other non-normal distributions, it is appropriate to investigate technologies for managing marginal distributions of interest. We explore “Student’s” T distribution, survey its simu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::14f84d30e2bdac67f2d4f34fc9247d10
https://doi.org/10.21314/jcf.2006.150
https://doi.org/10.21314/jcf.2006.150