|
|
Books
Articles
| Metaphors (October 2008) |
| Beware of Economists
Bearing Greek Symbols (Harvard Business Review, Oct 2005) |
| Secrecy on
Wall Street (Risk, August 2004) |
| Finding a Job in Finance
(Risk, May 2004) |
| Where the Betas are
Zero and the Excess Returns are All Above Average (Risk, March
2004) |
| It's All Greeks
to Me (Risk, October 2003) |
| What Quants Don't
Learn at College (Risk, July 2003) |
| The Master Agreement
(Risk, April 2003) |
| The Boy's Guide To
Pricing and Hedging (Risk, January 2003) |
| Cranks, Academics
& Practitioners (Risk, September 2002) |
| Nine Billion Ways
to Be Snowed (Risk, June 2002) |
| Markets and Models
(Risk, July 2001) |
| The Great Pretender
(Derivatives Strategy, January 2001) |
| Market Bubbles (Quantitative
Finance, August 2002) |
| The Principles
& Practice of Verifying Derivative Prices (RISK, 14(7),
July 2001, pp. 48-50) |
| The Great Pretender
(Derivatives Strategy, January 2001) |
| More Than You Ever
Wanted to Know About Volatility Swaps (The Journal of Derivatives,
6-4 Summer 1999, pp. 9 - 32) |
| Regimes of Volatility
(RISK, April 1999) |
| When You Cannot
Hedge Continuously, The Corrections of Black-Scholes (RISK,
12-1 Jan.1999, pp. 82 - 85) |
| Stochastic Implied
Trees: Arbitrage Pricing with Stochastic Term and Strike Structure
of Volatility (International Journal of Theoretical and Applied
Finance, 1(1) Jan. 1998, pp.61-110) |
| The Future of
Modeling (RISK, 10-12 Dec. 1997, pp. 164-167) |
| Trading & Hedging
Local Volatility (The Journal of Financial Engineering, 6-3
September 1997 pp. 1233-268) |
| Reflections
on Fischer (The Journal of Portfolio Management, Special Issue
December 1996, pp. 18-24) |
| Implied Trinomial
Trees of the Volatility Smile (The Journal of Derivatives, 3-4
Summer 1996, pp. 7-22) |
| The Local Volatility
Surface: Unlocking the Information in Index Options Pricing
(Financial Analysts Journal, July-Aug 1996, pp. 25-36) |
| Model Risk (RISK, 9-5 May
1996, pp. 139-145, pp. 34-37) |
| Enhanced Numerical
Methods for Options with Barriers (Financial Analysts Journal,
Nov-Dec 1995, pp. 65-74) |
| Static Options Replication
(The Journal of Derivatives, 2-4 Summer 1995, pp. 78-95) |
| The Volatility Smile
and Its Implied Tree (RISK, 7-2 Feb.1994, pp. 139-145, pp. 32-39) |
| Options on Periodically-Settled
Stocks (1992) |
Other Stuff
|
|
Introduction to the Smile
