Concepedia

Nick Webber

NW

Statistics

Publications

12

Citations

340

H-Index

11

Active since

1995

Affiliations

University of Warwick(Current)

Nick Webber is an author at University of Warwick specializing in business, finance, and engineering.

Top concepts

BusinessFinanceEngineeringAsset PricingOption PricingStochastic ModelsEconomicsStatisticsProbabilityMonetary Policy

Publications per year

1995–2010

12

Publications

12

Valuing path-dependent options in the variance-gamma model by Monte Carlo with a gamma bridge

Claúdia Ribeiro, Nick Webber · The Journal of Computational Finance · 2003 · 114 citations

Stochastic Simulation, Option Pricing, Engineering +15

Valuing Bermudan options when asset returns are Lévy processes

Evis Këllezi, Nick Webber · Quantitative Finance · 2004 · 35 citations

Option Pricing, Volatility Modeling, Financial Economics +12

A Monte Carlo Method for the Normal Inverse Gaussian Option Valuation Model using an Inverse Gaussian Bridge

Nick Webber, Claúdia Ribeiro · Computing in Economics and Finance · 2003 · 33 citations

Pricing Barrier Options with One-Factor Interest Rate Models

Grace Kuan, Nick Webber · The Journal of Derivatives · 2003 · 23 citations

Mathematical Programming, Option Pricing, Term Structure Model +14

A Theory of the Term Structure with an Official Short Rate

Simon H. Babbs, Nick Webber · SSRN Electronic Journal · 1998 · 23 citations · Full text

Term Structure Model, Term Structure, Semantics +20

1–5 of 12