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Citations per year
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Cited by
All
Since 2019
Citations
16
16
h-index
1
1
i10-index
1
1
0
6
3
2022
2023
2024
5
6
5
Co-authors
Alex Backwell
AIFMRM, UCT
Verified email at uct.ac.za
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Joshua Hayes
Fairtree Asset Management
Verified email at fairtree.com -
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Quantitative Finance
Interest Rates
Credit
Derivatives
Volatility
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Year
Expected and unexpected jumps in the overnight rate: consistent management of the Libor transition
A Backwell, J Hayes
Journal of Banking & Finance 145, 106669
, 2022
16
2022
Regression-based estimation of heteroscedastic term structure models
M Aidoo, A Backwell, J Hayes
Available at SSRN 4723002
, 2024
2024
Asymptotics of the Rough Heston Model
J Hayes
AIFMRM, Faculty of Commerce, University of Cape Town
, 2021
2021
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Alex BackwellAIFMRM, UCTVerified email at uct.ac.za
Alex BackwellAIFMRM, UCTVerified email at uct.ac.za