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Results 1-10 of 11
Publication DateTitleAuthor(s)
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
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
24-Aug-2018Turnpike property and convergence rate for an investment and consumption modelBian, B; Zheng, H
17-Jun-2016Optimal order placement in limit order marketsCont, R; Kukanov, A
2-Aug-2016On a class of dependent Sparre Andersen risk models and a bailout applicationAvram, F; Badescu, AL; Pistorius, MR; Rabehasaina, L
25-Aug-2017On VIX Futures in the rough Bergomi modelJacquier, A; Aitor Muguruza, AM; Claude Martini, CM
1-Sep-2018Mass at zero in the uncorrelated SABR model and implied volatility asymptoticsGulisashvili, A; Horvath, B; Jacquier, A