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Results 1-10 of 13
Publication DateTitleAuthor(s)
4-Dec-2015Constrained Rough PathsCass, T; Driver, BK; Litterer, C
4-May-2016Two examples of non strictly convex large deviationsDe Marco, S; Jacquier, A; Roome, P
16-Mar-2016Functional limit theorems for generalized variations of the fractional Brownian sheetPakkanen, MS; Réveillac, A
-Pathwise stochastic calculus with local timesDavis, M; Obłój, J; Siorpaes, P
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
-Implied volatility in strict local martingale modelsJacquier, A; Keller-Ressel, MKR
11-Aug-2017Tail estimates for Markovian rough pathsCass, T; Ogrodnik, M
1-Apr-2016Resilience to Contagion in Financial NetworksAmini, H; Cont, R; Minca, A
5-Jul-2016On the conditional small ball property of multivariate Lévy-driven moving average processesPakkanen, MS; Sottinen, T; Yazigi, A
29-Oct-2016Pathwise integration with respect to paths of finite quadratic variationCont, R; Ananova, A