Colin Turfus

Deutsche Bank

Winchester House

1 Great Winchester Street

London, EC2N 2DB

United Kingdom

SCHOLARLY PAPERS

16

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1,882

SSRN CITATIONS
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Top 22,400

in Total Papers Citations

17

CROSSREF CITATIONS

27

Ideas:
“  In my research I derive analytic representations for derivatives prices and market scenario evolution. The method relies on a novel application of operator expansion theory. Interest rates, credit intensities and possibly volatilities are assumed stochastic. For a given multi-factor model a pricing kernel is derived, either in closed form or as a power series in the credit intensity, exploiting its smallness. This can then be used to derive by standard procedures prices and risk measures for derivative instruments with survival- or default-contingent cash flows.  ”

Scholarly Papers (16)

1.

Caplet Pricing with Backward-Looking Rates

Number of pages: 6 Posted: 08 Mar 2020 Last Revised: 28 Sep 2020
Colin Turfus
Deutsche Bank
Downloads 481 (72,144)
Citation 3

Abstract:

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Hull-White, short rate model, pricing kernel, LIBOR replacement, backward-looking rates, compounded rates

2.

Analytic Option Prices for the Black-Karasinski Short Rate Model

Number of pages: 15 Posted: 14 Oct 2018 Last Revised: 13 Apr 2020
ETH Zürich - Department of Mathematics, Imperial College London and Deutsche Bank
Downloads 241 (154,563)
Citation 10

Abstract:

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Perturbation Methods, Asymptotic Expansion, Hull-White, Black-Karasinski, Short Rate Model, Caplet Pricing, Green’s Function

3.

Analytic Short Rate Model with Smile and Skew

Number of pages: 23 Posted: 06 May 2021
Colin Turfus and Aurelio Romero-Bermudez
Deutsche Bank and Deutsche Bank
Downloads 172 (211,866)

Abstract:

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short rate model, skew, smile, analytic solution, perturbations methods, asymptotic, caplet, swaption

4.

Risky Caplet Pricing with Backward-Looking Rates

Number of pages: 14 Posted: 08 Dec 2020 Last Revised: 30 Jan 2021
Colin Turfus
Deutsche Bank
Downloads 143 (245,877)
Citation 1

Abstract:

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compounded rates, backward-looking rates, LIBOR transition, caplet, perturbation series, analytic formula, pricing kernel, Hull-White, Black-Karasinski, wrong-way risk, extinguishing swap

5.

The Black-Karasinski Model: Thirty Years On

Number of pages: 9 Posted: 19 Apr 2021 Last Revised: 17 May 2021
Colin Turfus and Piotr Karasinski
Deutsche Bank and European Bank for Reconstruction and Development (EBRD)
Downloads 135 (258,848)

Abstract:

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short rate model, credit model, Black-Karasinski, perturbation methods, asymptotic expansion, analytic solution, correlation risk

6.
Downloads 120 (280,986)
Citation 1

Two-Factor Black-Karasinski Pricing Kernel

Number of pages: 15 Posted: 17 Jul 2019 Last Revised: 18 Jun 2020
Colin Turfus and Alex Shubert
Deutsche Bank and Independent
Downloads 120 (282,264)
Citation 1

Abstract:

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Black-Karasinski, pricing kernel, perturbation expansion, asymptotic, two-factor, risk capital, scenario generation, short rate model

Two-Factor Black-Karasinski Pricing Kernel

Risk.net, May 2020
Posted: 19 Jun 2020
Colin Turfus and Alex Shubert
Deutsche Bank and Independent

Abstract:

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Black-Karasinski, pricing kernel, perturbation expansion, asymptotic, two-factor, risk capital, scenario generation, short rate model

7.

Closed-Form Arrow-Debreu Pricing for the Hull-White Short Rate Model

Quantitative Finance, 2019, Doi.org/10.1080/14697688.2019.1636125
Number of pages: 10 Posted: 30 Nov 2018 Last Revised: 29 Jan 2020
Colin Turfus
Deutsche Bank
Downloads 112 (294,914)
Citation 7

Abstract:

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arrow-debreu, perturbation methods, hull-white, short rate model, pricing kernel, Green's function, closed form solution

8.

Perturbation Expansion for Arrow-Debreu Pricing with Hull-White Interest Rates and Black-Karasinski Credit Intensity

Number of pages: 19 Posted: 30 Nov 2018 Last Revised: 29 Apr 2021
Colin Turfus
Deutsche Bank
Downloads 108 (302,530)
Citation 4

Abstract:

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Hull-White, Black-Karasinski, Pricing Kernel, Perturbation Expansion, CDS Pricing, Contingent CDS, Wrong-way Risk, Rates-Credit Hybrid, Extinguishing Swap

9.

Analytic Swaption Pricing in the Black-Karasinski Model

Number of pages: 9 Posted: 14 Oct 2018 Last Revised: 02 Feb 2020
Colin Turfus
Deutsche Bank
Downloads 95 (329,288)
Citation 3

Abstract:

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Perturbation Methods, Asymptotic Expansion, Hull-White, Black-Karasinski, Short Rate Model, Swaption Pricing, Green’s Function

10.

Exact Arrow-Debreu Pricing for the Black-Karasinski Short Rate Model

Number of pages: 10 Posted: 14 Oct 2018 Last Revised: 14 Mar 2019
Colin Turfus
Deutsche Bank
Downloads 85 (352,883)
Citation 8

Abstract:

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Arrow-Debreu, Perturbation Methods, Black-Karasinski, Short Rate Model, Pricing Kernel; Analytic Solution

11.

Closed-Form Arrow-Debreu Pricing for FX and Inflation Options with Hull-White Stochastic Rates

Number of pages: 9 Posted: 29 Oct 2018 Last Revised: 26 Aug 2019
Colin Turfus
Deutsche Bank
Downloads 45 (484,593)
Citation 2

Abstract:

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Arrow-Debreu, Perturbation Methods, Hull-White, Short Rate Model, Pricing Kernel, Closed Form, Inflation Option, FX Option

12.

Closed-Form Arrow-Debreu Pricing for Equity Options with Hull-White Stochastic Rates

Number of pages: 9 Posted: 29 Oct 2018 Last Revised: 17 Feb 2020
Colin Turfus
Deutsche Bank
Downloads 45 (484,593)
Citation 3

Abstract:

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Arrow-Debreu, Perturbation Methods, Hull-White, Short Rate Model, Pricing Kernel; Closed Form, Equity-Rates Hybrid

13.

Analytic Representation of a General Multi-Factor Pricing Kernel

Number of pages: 12 Posted: 14 Jun 2019 Last Revised: 10 Feb 2020
Colin Turfus
Deutsche Bank
Downloads 37 (521,045)
Citation 2

Abstract:

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multi-factor, pricing kernel, Hull-White, Black-Karasinski, perturbation methods

14.

Analytic Equity Option Pricing with Stochastic Volatility

Number of pages: 8 Posted: 29 Jun 2020 Last Revised: 09 Nov 2020
Colin Turfus
Deutsche Bank
Downloads 36 (526,023)

Abstract:

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perturbation methods, analytic solution, Heston model, pricing kernel, equity option, operator expansion

15.

Quantifying Correlation Uncertainty Risk in Credit Derivatives Pricing

Int. J. Financial Stud. 2018, 6, 39; doi:10.3390/ijfs6020039
Number of pages: 20 Posted: 12 Oct 2018 Last Revised: 18 Oct 2018
Colin Turfus
Deutsche Bank
Downloads 27 (575,503)
Citation 2

Abstract:

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Perturbation Expansion, Green’s Function, Model Risk, Model Uncertainty, Credit Derivatives, CVA, Correlation Risk

16.

Analytic Pricing of CoCo Bonds

International Journal of Theoretical and Applied Finance, Vol. 20, No. 5, 2017
Posted: 12 Oct 2018
Colin Turfus and Alex Shubert
Deutsche Bank and Independent

Abstract:

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Contingent Convertible Bond, CoCo Bond, Jump-Diffusion Process, Closed-Form Analytic Solution, Asymptotic Expansion, Perturbation Analysis, Equity-Credit Hybrid