Toby Daglish, Dr

Toby Daglish
Telephone: (04) 463-5451
Address: Victoria University PO Box 600 Wellington
Education:

PhD, Toronto, 2003

B.Sc (Hons), Canterbury, 1998

Research Interests

Derivative pricing

Fixed income securities

Portfolio theory

Selected publications

Academic Journal
Aug
2008
"A Pricing and Hedging Comparison of Parametric and Nonparametric Approaches for American Index Options", Journal of Financial Econometrics 1 issue3 Fall 2003, 327-364

Aug
2008
"Volatility Surfaces: Theory, Rules of Thumb and Empirical Evidence", Quantitative Finance 7, Number 5, October 2007, 507-524 (with John Hull, Wulin Suo)

Working Papers

Jun
2011
"Fixed come hell or high water? Selection and prepayment of fixed rate mortgages outside the US", 2011. (with Nimesh Patel)

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May
2010
"Lattice methods for no-arbitrage pricing of interest rate securities", 2010.

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Jun
2008
"A Financial Metric for Comparing Volatility Models: Do Better Models Make Money?", 2008. (with John Maheu, Tom McCurdy)

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Jun
2008
"The Effect of Asset Price Jumps on Consumption and Investment Decisions", 2008.

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Jun
2008
"Probability of Default as a Function of Correlation: The Problem of Non-uniqueness", 2008. (with Wei Li)

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Jun
2008
"Optimal discrete hedging in the Heston Stochastic Volatility Model", 2008. (with Chris Neely)

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