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Results 1-10 of 14
Publication DateTitleAuthor(s)
18-Oct-2015Weak approximation of martingale representationsCont, R; LU, Y
4-Nov-2014On modeling economic default time: a reduced-form model approachGu, J-W; Jiang, B; Ching, W-K; Zheng, H
31-May-2013Taming animal spirits: risk management with behavioural factorsAndruszkiewicz, G; Davis, MHA; Lleo, S
7-Feb-2013Arbitrage bounds for prices of weighted variance swapsDavis, MHA; Obloj, J; Raval, V
17-Dec-2015Convergence of BSΔEs driven by random walks to BSDEs: the case of (in)finite activity jumps with general driverMadan, D; Pistorius, M; Stadje, M
31-Dec-2008Jump liquidity risk and its impact on CVaRZheng, H; Shen, Y
3-Jan-2017On future drawdowns of Levy processesBaurdoux, EJ; Palmowski, Z; Pistorius, MR
21-Nov-2015Large-maturity regimes of the Heston forward smileJacquier, A; Roome, PR
20-May-2014Do arbitrage-free prices come from utility maximization?Siorpaes, P
1-Apr-2016Resilience to Contagion in Financial NetworksAmini, H; Cont, R; Minca, A