Financial Derivatives in Theory and Practice

By P. Hunt, J. Kennedy. 2000

253 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/014969dcc794512afaf7072ceeb321271212ff4f

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

1. Lane P. Hughston
2. Dorje C. Brody
3. Fred Espen Benth

Citations in the corpus

• Mathematical foundation of convexity correction (2003, methodology): “Finally, we show how convexity corrections for general interest rate derivatives can be calculated analytically using the surprisingly simple but effective Linear Swap Rate Model of Hunt and Kennedy (2000).”
• Interest rates and information geometry (2001, methodology): “We shall assume the reader is familiar with the general theory of interest rate dynamics as laid out, for example, in Carverhill (1994), Rogers (1994), Hughston (1996), Baxter (1997), Musiela & Rutkowski (1997), Brody (2000) or Hunt & Kennedy (2000).”
• Pricing and Hedging Guaranteed Annuity Options via Static Option Replication (2003, unknown): “Finally, we conclude in Section 5.”
• Derivatives (2004, unknown): “Hunt and Kennedy (2000: 1) give the following two explanations, which resonate with most other analyses found in the literature.”