49 citations · 51 across the 5 of their papers we have counts for
9 papers
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…
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…