Welcome to the Ugly Duckling library. Here we share our published and pre-print papers.

2015

J. J. de Jong, M. Maio,S. Nikolakakis (2015), Review of Lattice Construction Methods - Generalizing Hull & White, PRE-PRINT UD 2015-01 - Submitted to Applied Mathematical Finance

2014

M. Maio, J. J. de Jong (2014), Curiosities on the Monotone Preserving Cubic Splines, PRE-PRINT UD 2014-03 - Published in Wilmott Magazine, Nov. 2015, 56-60

M. Maio, J. J. de Jong (2014), The Geometry of Interest Rate Risk, PRE-PRINT UD 2014-02 - Submitted to Applied Mathematical Finance

M. Maio, J. J. de Jong (2014), On the non-differentiability of Hyman Monotonicity Constraint, PRE-PRINT UD 2014-01 - Submitted to Applied Mathematical Finance