Search


Current filters:
Start a new search
Add filters:

Use filters to refine the search results.


Results 1-10 of 146
Item hits:
Issue DateTitleAuthor(s)
18-Oct-2015Weak approximation of martingale representationsCont, R; LU, Y
1-Dec-2010Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion methodXu, G; Zheng, H
5-Jun-2011Continuously monitored barrier options under Markov processesMijatovic, A; Pistorius, M; Madan, DB
1-Nov-2012On the drawdown of completely asymmetric Levy processesMijatovic, A; Pistorius, MR
2-Mar-2012Optimal dividend distribution under Markov regime switchingJiang, Z; Pistorius, M
24-Oct-2016On the integration of weakly geometric rough pathsCass, T; Driver, BK; Lim, N; Litterer, C; Engineering & Physical Science Research Council (EPSRC)
15-Sep-2016Generalized Arbitrage-Free SVI Volatility SurfacesGuo, GG; Jacquier, A; Martini, CM; Neufcourt, LN; Engineering & Physical Science Research Council (EPSRC)
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