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Results 1-10 of 18
Publication DateTitleAuthor(s)
1-Jun-2007Cluster-based extension of the generalized poisson loss dynamics and consistency with single namesBrigo, D; Pallavicini, A; Torresetti, R
30-Nov-2015Asymptotic arbitrage in the Heston modelJacquier, A; Haba, FH
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
2-Sep-2015Convergence analysis and optimal strike choice for static hedges of general path-independent pay-offsMa, J; Deng, D; Zheng, H
20-Sep-2014Optimal investment and price dependence in a semi-static marketSiorpaes, P
1-Feb-2017No-arbitrage bounds for the forward smile given marginalsBadikov, SB; Jacquier, A; Liu, DQ; Roome, PR
1-Apr-2016Resilience to Contagion in Financial NetworksAmini, H; Cont, R; Minca, A
28-Jun-2017Hybrid scheme for Brownian semistationary processesBennedsen, M; Lunde, A; Pakkanen, MS
16-Aug-2017On dynamic spectral risk measures, a limit theorem and optimal portfolio allocationMadan, D; Pistorius, MR; Stadje, M