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John Crosby · Study

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John Crosby

4 works· latest 2017· 3 institutionscluster: provisionalORCID 0000-0003-4179-9464

h-index4

i104

Citations156

Works here4

08

10

17

Most cited in this library

A multi-factor jump-diffusion model for commodities†2008 · 45 citations
A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options2010 · 44 citations
APPROXIMATING LÉVY PROCESSES WITH A VIEW TO OPTION PRICING2010 · 36 citations
Implications of Incomplete Markets for International Economies2017 · 31 citations

Works

4 shown

Implications of Incomplete Markets for International Economies

Review of Financial Studies·2017·3 authors·Open access

31citations

A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options

Quantitative Finance·2010·2 authors

44citations

APPROXIMATING LÉVY PROCESSES WITH A VIEW TO OPTION PRICING

International Journal of Theoretical and Applied Finance·2010·3 authors

36citations

A multi-factor jump-diffusion model for commodities†

Quantitative Finance·2008·1 author

45citations