David Peter Newton
Affiliations: | University of Bath (United Kingdom) |
Area:
Mathematical FinanceGoogle:
"David Newton"
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Publications
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| Su H, Newton DP. (2020) Widening the Range of Underlyings for Derivatives Pricing with QUAD by Using Finite Difference to Calculate Transition Densities—Demonstrated for the No-Arbitrage SABR Model Journal of Derivatives |
| Su H, Chen D, Newton DP. (2017) Option Pricing via QUAD: From Black–Scholes–Merton to Heston with Jumps Journal of Derivatives. 24: 9-27 |
| Chen D, Härkönen HH, Newton D. (2014) Advancing the universality of quadrature methods to any underlying process for option pricing Journal of Financial Economics. 114: 600-612 |
| Johnson PV, Sharp NJ, Duck PW, et al. (2011) A Bridge between American and European Options: The “Ameripean” Delayed-Exercise Model Siam Journal On Financial Mathematics. 2: 965-988 |
| Glover KJ, Duck PW, Newton DP. (2010) On nonlinear models of markets with finite liquidity: Some cautionary notes Siam Journal On Applied Mathematics. 70: 3252-3271 |
| Duck PW, Yang C, Newton DP, et al. (2009) Singular Perturbation Techniques Applied To Multiasset Option Pricing Mathematical Finance. 19: 457-486 |
| Sharp NJ, Johnson PV, Newton DP, et al. (2009) A New Prepayment Model (with Default): An Occupation-Time Derivative Approach Journal of Real Estate Finance and Economics. 39: 118-145 |
| Sharp NJ, Newton DP, Duck PW. (2008) An Improved Fixed-Rate Mortgage Valuation Methodology with Interacting Prepayment and Default Options Journal of Real Estate Finance and Economics. 36: 307-342 |
| Andricopoulos AD, Widdicks M, Newton DP, et al. (2007) Extending quadrature methods to value multi-asset and complex path dependent options Journal of Financial Economics. 83: 471-499 |
| Duck PW, Newton DP, Widdicks M, et al. (2005) Enhancing the accuracy of pricing American and Bermudan options Journal of Derivatives. 12: 34-44 |