Results 1-10 of 17
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
1-Feb-2017No-arbitrage bounds for the forward smile given marginalsBadikov, SB; Jacquier, A; Liu, DQ; Roome, PR
27-Sep-2016Arbitrage without borrowing or short selling?Lukkarinen, J; Pakkanen, MS
25-Jun-2018Dynamic convex duality in constrained utility maximizationLi, Y; Zheng, H
24-Aug-2018Turnpike property and convergence rate for an investment and consumption modelBian, B; Zheng, H