Publications featuring Nick Webber

Publications

Books

  • Webber, N. Implementing models of financial derivatives: object oriented applications with VBA. Hoboken, N.J: Wiley, 2011.
  • Webber, N. Valuing derivative securities in OOP C++ PUP, 2011 (Unpublished).
  • NJ Webber and J. James. Interest rate modelling. Wiley, 2000.

Book chapters

  • NJ Webber. Simulation Methods with Lévy Processes. Exotic Options and Advanced Levy Models. Ed. Kyprianou, A.E., Schoutens, W. and Wilmott, P. Wiley, 2005. 29-50.
  • NJ Webber. Affine term structure models. Encyclopaedia of Actuarial Science. Ed. Teugels and Sundt. Wiley, 2004. 38-50.
  • NJ Webber and S. Babbs. Term Structure Modelling under Alternative Official Regimes. Mathematics of Derivative Securities. Ed. M Dempster and S Pliska. CUP, 1997.
  • IR Davidson and NJ Webber. Dividend Policy. Blackwells Encyclopaedia of Management. Ed. Paxman and Wood. Oxford: Basil Blackwell, 1996.
  • NJ Webber, L Clewlow and SD Hodges. Two Factor Models in Option Pricing. Options: Recent Advances in Theory and Practice. Ed. S Hodges. Manchester University Press, 1992. 133-146.
  • NJ Webber and A. Carverhill. American Options: Theory and Numerical Analysis. Options: Recent Advances in Theory and Practice. Ed. S. Hodges. Manchester University Press, 1990.

Journal articles

  • N J Webber, F C Park, C. M. Chun and C. W. Han. Interest rate models on Lie groups. Quantitative Finance (2010) (Published).
  • NJ Webber and C Ribeiro. Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Lévy Processes. Applied Mathematical Finance (2005).
  • NJ Webber and M Morini. An EZI method to reduce the rank of a correlation matrix. Applied Mathematical Finance (2005).
  • NJ Webber and E. Kellezi. Valuing Bermudan options when asset returns are Levy processes. Quantitative Finance 4 (2004): 87-100.
  • NJ Webber and C. Ribeiro. Valuing Path Dependent Options in the Variance-Gamma Model by Monte Carlo with a Gamma bridge. Journal Of Computational Finance 7 (2003).
  • NJ Webber and J. James. A Chaotic Model for Interest Rates. Quantitative Finance 3 (2003): 8-11.
  • NJ Webber and G. Kuan. Valuing Barrier Options in One-factor Interest Rate Models. Journal Of Derivatives 10 (2003): 33-50.
  • L. McCarthy and NJ Webber. An Icosahedral Lattice Method for Three Factor Models. Journal Of Computational Finance 5 (2001): 1-36.
  • NJ Webber. Valuation of Financial Models with Non-Linear State Spaces. A I P Conference Proceedings 553 (2000): 315-320.
  • NJ Webber and J. Tice. A Non-linear Model of the Term Structure of Interest Rates. Mathematical Finance 7 (1997): 177-209.
  • NJ Webber and S Babbs. When we say jump. Risk 8 (1995): 49-53.

Conference proceedings

  • NJ Webber and G. Kuan. Valuing discrete barrier options on a lattice. Seminar. City University, 2004.
  • NJ Webber and M. Morini. An EZI method to reduce the rank of a correlation matrix. Fifth Quantitative Finance Workshop, Siena; Quantitative Finance workshop, Edinburgh. Siena, 2004.
  • NJ Webber and G. Kuan. Valuing Continuous Barrier Options on a Dirichlet Lattice. City University; University of Novara; QMF, Sydney; New York; Tokyo; Lisboa. Sydney, 2003.
  • NJ Webber and A. Bermudez. Valuing convertible bonds in an asset based model with endogenised recovery. Judge Institute Finance seminar; QMF, Sydney; City University seminar; Turino; Chicago; Warwick, Aarhus. Sydney, 2003.
  • NJ Webber. Ratings and intensity based measures of modelling credit risk. Torino Finanza credit conference. , 2002.
  • NJ Webber and C. Ribeiro. A Monte Carlo Method for the Normal Inverse Gaussian Option Valuation Model using an Inverse Gaussian Bridge. QMF, Sydney; Computational Economics, Seattle; Eurandom, Eindhoven; CSFB seminar, London; Seminars: Turin, Warwick, Manchester, Cambridge, Essex, Shanghai, Sydney, 2002.
  • NJ Webber, D. Hamilton and J. James. Copula Methods and the Analysis of Credit Risk. ICBI conference, Geneva; ICBI conference, Juan-Les-Pins; Risk conference, London; Credit conference, Montreal; EIR conference, LSE;Credit Risk Summit, London; Seminars: Geneva, Warwick, Imperial College, Turin, City University, Nanjing. Juan-Les-Pins, 2001.
  • NJ Webber and E. Kellezi. Numerical methods for Levy Processes. CAP conference, New York; QMF, Sydney; Seminars: Geneva, Piemonte, Imperial College, Birkbeck, Aarhus, Combridge. Columbia, New York, 2001.
  • NJ Webber. An Icosahedral Lattice Method. Derivatives conference, Boston; Computational Finance Conference, LBS; European Financial Management Association Conference, Athens; Sirif conference, Glasgow. Seminars: Cambridge, Warwick, Sydney, Said, Manchester, Bath, Bank of England. Boston, Athens, 2000.
  • NJ Webber. Valuation of Financial Models with Non-Linear State Spaces, in Dissipative and Complex Systems. Dissipative and Complex Systems conference. Kings College, 2000.
  • NJ Webber. Valuing Interest Rate Derivatives Consistent with a Market Volatility Smile. Quantitative Mathematical Finance Conference. Sydney, 2000.
  • NJ Webber. Mortgage backed securities and Interest rate models. Mortgage backed securities Conference. SimCorp, Copenhagen, 1999.
  • NJ Webber. Interest Rate Models: Theory and Implementation. Interest Rate Modelling Conference. SimCorp, Copenhagen, 1999.
  • NJ Webber. Valuing Interest Rate Derivatives Consistent with a Market Volatility Smile. Keynote speech at Den Danske Symposium. Odense, 1998.
  • NJ Webber and S Babbs. Term Structure Modelling under Alternative Official Regimes. Financial Options Research Centre pre-print, presented at Isaac Newton Institute Symposium, Cambridge, Spring 1995. , 1996.
  • NJ Webber and J Tice. A Non-linear Model of the Term Structure of Interest Rates. Proceedings of the Chicago Board of Trade Symposium, Tilburg; French Finance Association, Geneva; European Finance Association; Mathematical Finance, Aarhus; FORC seminar, London. Seminars: Warwick, Tilburg, 1996.
  • NJ Webber and A Steele. Base rate changes: the propensity to jump. BAA Annual Conference. Strathclyde, 1993.

Working papers

  • N J Webber. Generic Options and Generic Option Numerics. Working Paper (2008).
  • Webber, N. J. and Henser, P. The solution to a tendering problem in electricity supply. Working Paper (2008).
  • Webber, N. J. and Friis, P. A convexity adjustment for CMS options. Working Paper (2008).
  • N J Webber and J Rhee. The Market Price of Risk in Interest rate Models Driven by Levy Processes. Working Paper (2005).
  • N J Webber and A Bermudez. Valuing convertible bonds in an asset based model with endogenised recovery. Working Paper (2004).
  • N J Webber and G Kuan. Calibrating Interest Rate Models Driven by Lévy Processes with a Random Lattice. Working Paper (2004).
  • N J Webber and G Kuan. Valuing discrete barrier options on a lattice. Working Paper (2003).
  • N J Webber and G Kuan. Valuing Continuous Barrier Options on a Dirichlet Lattice. Working Paper (2002).
  • N J Webber and J Alford. Very high order lattice methods for one factor models. Working Paper (2001).
  • D Hamilton, J James and NJ Webber. Copula Methods and The Analysis of Credit Risk. Working Paper (2000).
  • G Kuan and N J Webber. The term structure of interest rates and economic fundamentals: The Mexican peso crisis. Working Paper (1997).
  • NJ Webber. Monetary history and a hybrid model interest rates. Working Paper (1997).
  • NJ Webber. A Model of UK libor as a Jump-Diffusion Process. Financial Options Research working paper (1994).
  • NJ Webber and S Babbs. A Theory of the Term Structure with an Official Short Rate. Financial Options Research Centre pre-print (1994).
[56 publications listed]
For staff only: edit profile.