49 citations · 101 across the 16 of their papers we have counts for
Showing 2011Show all
3 papers · 1 filter
q-fin.PM2011★ 1 cited
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…
math.CO2011★ 20 cited
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…
q-fin.TR2011★ 2 cited
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…