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Issue DateTitleAuthor(s)
9-Dec-2014Market impacts and the life cycle of investors ordersBacry, E; Iuga, A; Lasnier, M; Lehalle, C-A
1-Jun-2004A new Fourier transform algorithm for value-at-riskAlbanese, C; Jackson, K; Wiberg, P
8-Jan-2004Utility-indifference hedging and valuation via reaction-diffusion systemsBecherer, D
29-Jun-2007Unitarity, ergodicity and quantum thermodynamicsBrody, DC; Hook, DW; Hughston, LP
18-Feb-2010Convergence of Heston to SVIGatheral, J; Jacquier, A
22-Jan-2014Limit theorems for power variations of ambit fields driven by white noisePakkanen, MS
1-Jun-2015Sticky continuous processes have consistent price systemsBender, C; Pakkanen, MS; Sayit, H
20-Feb-2013Functional Ito calculus and stochastic integral representation of martingalesCont, R; Fournie, D-A; Burdzy, K
1-May-2005Modeling interest rate dynamics: an infinite-dimensional approachCont, R
24-Apr-2011Price dynamics in a Markovian limit order marketCont, R; De Larrard, A