Results 1-10 of 14
Publication DateTitleAuthor(s)
17-Feb-2015A note on utility-based pricing in models with transaction costsDavis, MHA; Yoshikawa, D
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-Nov-2015Asymptotic analysis for target asset portfolio allocation with small transaction costsLiu, C; Zheng, H
2-Sep-2015Convergence analysis and optimal strike choice for static hedges of general path-independent pay-offsMa, J; Deng, D; Zheng, H
10-Mar-2016Dynamic conic hedging for competitivenessMadan, DB; Pistorius, M; Schoutens, W
5-Jan-2017Weak Convergence of Path-Dependent SDEs in Basket Credit Default Swap Pricing with Contagion RiskHuang, YT; Song, Q; Zheng, H
14-Sep-2017Shapes of implied volatility with positive mass at zeroDe Marco, SDM; Hillairet, CH; Jacquier, A
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