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Results 1-10 of 12
Publication DateTitleAuthor(s)
30-Nov-2015Asymptotic arbitrage in the Heston modelJacquier, A; Haba, FH
17-Feb-2015A note on utility-based pricing in models with transaction costsDavis, MHA; Yoshikawa, D
18-Feb-2015A note on utility-based pricingDavis, MHA; Yoshikawa, D
12-Feb-2016Risk-sensitive investment in a finite-factor modelDavis, MHA; Andruszkiewicz, G; Lleo, S
18-Apr-2015Credit default swaps and systemic riskCont, R; Minca, A
2-Sep-2015Convergence analysis and optimal strike choice for static hedges of general path-independent pay-offsMa, J; Deng, D; Zheng, H
25-Aug-2017On VIX Futures in the rough Bergomi modelJacquier, A; Aitor Muguruza, AM; Claude Martini, CM
5-Sep-2017The multivariate mixture dynamics: consistent no-arbitrage single-asset and index volatility smilesBrigo, D; Rapisarda, F; Sridi, A
1-Feb-2017No-arbitrage bounds for the forward smile given marginalsBadikov, SB; Jacquier, A; Liu, DQ; Roome, PR
2-Aug-2016On a class of dependent Sparre Andersen risk models and a bailout applicationAvram, F; Badescu, AL; Pistorius, MR; Rabehasaina, L