49 citations · 101 across the 16 of their papers we have counts for
4 papers · 1 filter
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…