This empirical study is motivated by the literature on “smile-consistent” arbitrage pricing with
stochastic volatility. We investigate the number and shape of shocks that move implied …

… We introduce our model, which is a special case of the multi-factor model in Clewlow and
Strickland [1999b], in section 2. The model can be seen as an extension of the first model in …

This paper examines the problem of delta-hedging portfolios of options under transactions
costs by maximising expected utility (or minimising a loss function on the replication error). …

… Les Clewlow and Chris Strickland are the founders and directors of Lacima Group, where
John Breslin is a principal, and Tobias Elbert and Calvin Kwok quantitative analysts. Email: info…

For many complex option valuation problems analytical solutions are not possible. In these
cases Monte Carlo simulation is an important numerical solution tool. Furthermore, …

… Regina RL Clewlow, Joseph M. Sussman, and Hamsa Balakrishnan … During this research,
RRL Clewlow was also supported by a Dwight D. Eisenhower Graduate Transportation …

Aim To predict the at‐sea distribution of chinstrap penguins across the South Orkney Islands
and to quantify the overlap with the Southern Ocean krill fishery. Location South Orkney …

A mathematical model was developed and used to simulate the long-term dynamics of
growth and plasmid transfer in nutrient-limited soil microcosms of Streptomyces lividans TK24 …

… To use the formula, the difficult part is calculation of the time-dependent functions F and (l.
The solutions to these calculations require computation of the confluent hypergeometric …

Aim To provide a method of analyzing penguin tracking data to identify priority at‐sea areas
for seabird conservation (marine IBAs), based on pre‐existing approaches for flying …