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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
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
21-Nov-2015Large-maturity regimes of the Heston forward smileJacquier, A; Roome, PR
-A Stratonovich-Skorohod integral formula for Gaussian rough pathsCass, T; Lim, N
30-Jan-2018Implied volatility in strict local martingale modelsJacquier, A; Keller-Ressel, MKR
20-May-2014Do arbitrage-free prices come from utility maximization?Siorpaes, P
11-Aug-2017Tail estimates for Markovian rough pathsCass, T; Ogrodnik, M
1-Apr-2016Resilience to Contagion in Financial NetworksAmini, H; Cont, R; Minca, A