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Results 11-20 of 204
Item hits:
Issue DateTitleAuthor(s)
24-Oct-2016On the integration of weakly geometric rough pathsCass, T; Driver, BK; Lim, N; Litterer, C;
27-Feb-2004Time quantization and q-deformationsAlbanese, C; Lawi, S
8-Jan-2004Complete-market models of stochastic volatilityDavis, MHA
1-Jan-2003A monetary value for initial information in portfolio optimizationAmendinger, J; Becherer, D; Schweizer, M
15-Sep-2016Generalized Arbitrage-Free SVI Volatility SurfacesGuo, GG; Jacquier, A; Martini, CM; Neufcourt, LN;
8-Apr-2010Change of variable formulas for non-anticipative functionals on path spaceCont, R; Fournie, D-A
1-Jan-2014ARBITRAGE-FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPSBrigo, D; Capponi, A; Pallavicini, A
3-Jan-2017On future drawdowns of Levy processesBaurdoux, EJ; Palmowski, Z; Pistorius, MR
8-Jul-2013INTEGRABILITY AND TAIL ESTIMATES FOR GAUSSIAN ROUGH DIFFERENTIAL EQUATIONSCass, T; Litterer, C; Lyons, T
30-Jul-2014Large deviations for the extended Heston model: the large-time caseJacquier, A; Mijatovic, A