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Results 1-10 of 14
Publication DateTitleAuthor(s)
4-Nov-2014On modeling economic default time: a reduced-form model approachGu, J-W; Jiang, B; Ching, W-K; Zheng, H
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
1-Apr-2016Resilience to Contagion in Financial NetworksAmini, H; Cont, R; Minca, A
2-Aug-2016On a class of dependent Sparre Andersen risk models and a bailout applicationAvram, F; Badescu, AL; Pistorius, MR; Rabehasaina, L
16-Aug-2017On dynamic spectral risk measures, a limit theorem and optimal portfolio allocationMadan, D; Pistorius, MR; Stadje, M