Financial Mathematics : [241] Collection home page

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Collection's Items (Sorted by Title in Ascending order): 21 to 40 of 241
Issue DateTitleAuthor(s)
2-Jan-2014Arbitrage-free SVI volatility surfacesGatheral, J; Jacquier, A
12-Nov-2015Asymptotic analysis for target asset portfolio allocation with small transaction costsLiu, C; Zheng, H
30-Nov-2015Asymptotic arbitrage in the Heston modelJacquier, A; Haba, FH;
15-Jan-2015Asymptotic independence of three statistics of maximal segmental scoresMijatović, A; Pistorius, M
1-Sep-2009Basket CDS pricing with interacting intensitiesZheng, H; Jiang, L
1-Dec-2010Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion methodXu, G; Zheng, H
17-Dec-2015Beurling moving averages and approximate homomorphismsBingham, NH; Ostaszewski, AJ
15-Jun-2019Beyond Haar and Cameron-Martin: the Steinhaus supportBingham, N; Ostaszewski, A
15-Apr-2018Beyond Lebesgue and Baire IV: density topologies and a converse Steinhaus-Weil theoremBingham, NH; Ostaszewski, AJ
-Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlationsBrigo, D; Pallavicini, A; Papatheodorou, V
27-Mar-2015Black-Scholes in a CEV Random Environment: A New Approach to Smile ModellingJacquier, A; Roome, P;
1-Aug-2015Buffer-overflows: Joint limit laws of undershoots and overshoots of reflected processesMijatović, A; Pistorius, M
1-Oct-2017Category-measure duality: convexity, midpoint convexity and Berz sublinearityBingham, NH; Ostaszewski, AJ
8-Apr-2010Change of variable formulas for non-anticipative functionals on path spaceCont, R; Fournie, D-A
13-Sep-2021Closed-loop equilibrium strategies for general time-inconsistent optimal control problemsWang, T; Zheng, H;
1-Jun-2007Cluster-based extension of the generalized poisson loss dynamics and consistency with single namesBrigo, D; Pallavicini, A; Torresetti, R
1-Aug-2017Coefficient stripping in the matricial Nehari problemKasahara, Y; Bingham, NH
1-Jul-2022Coherent risk measures alone are ineffective in constraining portfolio lossesArmstrong, J; Brigo, D
-Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment including Re-Hypotecation and NettingBrigo, D; Capponi, A; Pallavicini, A; Papatheodorou, V
8-Jan-2004Complete-market models of stochastic volatilityDavis, MHA
Collection's Items (Sorted by Title in Ascending order): 21 to 40 of 241