Results 1-9 of 9
Publication DateTitleAuthor(s)
8-Jan-2004Complete-market models of stochastic volatilityDavis, MHA
14-Jan-2016Verification of internal risk measure estimatesDavis, MHA
17-Feb-2015A note on utility-based pricing in models with transaction costsDavis, MHA; Yoshikawa, D
9-Jul-2014Jump-diffusion asset-liability management via risk-sensitive controlDavis, MHA; Lleo, S
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
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
1-Oct-2015Explicit solution of an inverse first-passage time problem for Lévy processes and counterparty credit riskDavis, MHA; Pistorius, MR
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