49 citations · 101 across the 16 of their papers we have counts for
16 papers
The credit spread curve. I: Fundamental concepts, fitting, par-adjusted spread, and expected return
Richard J. Martin
The notion of a credit spread curve is fundamental in fixed income investing, but in practice it is not `given' and needs to be constructed from bond prices either for a particular…
A note on an absorption problem for a Brownian particle moving in a harmonic potential
Michael J. Kearney, Richard J. Martin
An analysis is presented of a Brownian particle moving on the half-line, subject to a restoring force proportional to its displacement and an absorbing boundary at the origin. When…
Design and analysis of momentum trading strategies
Richard J. Martin
We give a complete description of the third-moment (skewness) characteristics of both linear and nonlinear momentum trading strategies, the latter being understood as transformatio…
Statistics of the first passage area functional for an Ornstein-Uhlenbeck process
Michael J. Kearney, Richard J. Martin
We consider the area functional defined by the integral of an Ornstein-Uhlenbeck process which starts from a given value and ends at the time it first reaches zero (its equilibrium…
Credit migration: Generating generators
Richard J. Martin
Markovian credit migration models are a reasonably standard tool nowadays, but there are fundamental difficulties with calibrating them. We show how these are resolved using a simp…
Black to Negative: Embedded optionalities in commodities markets
Richard J. Martin, Aldous Birchall
We address the modelling of commodities that are supposed to have positive price but, on account of a possible failure in the physical delivery mechanism, may turn out not to. This…
Fixed income portfolio optimisation: Interest rates, credit, and the efficient frontier
Richard J. Martin
Fixed income has received far less attention than equity portfolio optimisation since Markowitz' original work of 1952, partly as a result of the need to model rates and credit ris…
On a stochastic version of Lanchester's model of combat
Michael J. Kearney, Richard J. Martin
Lanchester's model of combat has certain deficiencies in its standard form arising from the neglect of the influence of random fluctuations. Several approaches to rectify this have…
Emerging Market Corporate Bonds as First-to-Default Baskets
Richard Martin, Yao Ma
Emerging market hard-currency bonds are an asset class of growing importance, and contain exposure to an EM sovereign and the underlying industry. The authors investigate how to mo…
Universal trading under proportional transaction costs
Richard J Martin
The theory of optimal trading under proportional transaction costs has been considered from a variety of perspectives. In this paper, we show that all the results can be interprete…
Optimal multifactor trading under proportional transaction costs
Richard J. Martin
Proportional transaction costs present difficult theoretical problems in trading algorithm design, on account of their lack of analytical tractability. The author derives a solutio…
A CDS Option Miscellany
Richard J Martin
CDS options allow investors to express a view on spread volatility and obtain a wider range of payoffs than are possible with vanilla CDS. We give a detailed exposition of differen…
Saddlepoint methods in portfolio theory
Richard J Martin
We discuss the use of saddlepoint methods in the analysis of portfolios, with particular reference to credit portfolios. The objective is to proceed from a model of the loss distri…
An exactly solvable self-convolutive recurrence
Richard J. Martin, M. J. Kearney
We consider a self-convolutive recurrence whose solution is the sequence of coefficients in the asymptotic expansion of the logarithmic derivative of the confluent hypergeometic fu…
Mean Reversion Pays, but Costs
Richard Martin, Torsten Schöneborn
A mean-reverting financial instrument is optimally traded by buying it when it is sufficiently below the estimated `mean level' and selling it when it is above. In the presence of…
The first-passage area for drifted Brownian motion and the moments of the Airy distribution
Michael J. Kearney, Satya N. Majumdar, Richard J. Martin
An exact expression for the distribution of the area swept out by a drifted Brownian motion till its first-passage time is derived. A study of the asymptotic behaviour confirms ear…