308 citations · 316 across the 5 of their papers we have counts for
5 papers
Monte Carlo sampling given a Characteristic Function: Quantile Mechanics in Momentum Space
William T. Shaw, Jonathan McCabe
In mathematical finance and other applications of stochastic processes, it is frequently the case that the characteristic function may be known but explicit forms for density funct…
The alchemy of probability distributions: beyond Gram-Charlier expansions, and a skew-kurtotic-normal distribution from a rank transmutation map
William T. Shaw, Ian R. C. Buckley
Motivated by the need for parametric families of rich and yet tractable distributions in financial mathematics, both in pricing and risk management settings, but also considering w…
A simple resolution of Stokes' paradox?
William T. Shaw
This paper proposes a solution to Stokes' paradox for asymptotically uniform viscous flow around a cylinder. The existence of a {\it global} stream function satisfying a perturbati…
A model of returns for the post-credit-crunch reality: Hybrid Brownian motion with price feedback
William T. Shaw
The market events of 2007-2009 have reinvigorated the search for realistic return models that capture greater likelihoods of extreme movements. In this paper we model the medium-te…
Modelling Bonds & Credit Default Swaps using a Structural Model with Contagion
Helen Haworth, Christoph Reisinger, William Shaw
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 relate…