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Results 131-140 of 191
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Issue DateTitleAuthor(s)
17-Nov-2015What is the best risk measure in practice? A comparison of standard measuresEmmer, S; Kratz, M; Tasche, D
5-Jul-2016On the conditional small ball property of multivariate Lévy-driven moving average processesPakkanen, MS; Sottinen, T; Yazigi, A; Academy of Finland
31-Dec-2016Analysis Of Nonlinear Valuation Equations Under Credit And Funding EffectsBrigo, D; Francischello, M; Pallavicini, A
1-Feb-2017No-arbitrage bounds for the forward smile given marginalsBadikov, SB; Jacquier, A; Liu, DQ; Roome, PR; Engineering & Physical Science Research Council (EPSRC)
26-Aug-2014On matrix exponential approximations of ruin probabilities for the classic and Brownian perturbed Cramér-Lundberg processesAvram, F; Pistorius, MR
1-May-2009Smooth densities for solutions to stochastic differential equations with jumpsCass, T
1-Jan-2009NON-DEGENERACY OF WIENER FUNCTIONALS ARISING FROM ROUGH DIFFERENTIAL EQUATIONSCass, T; Friz, P; Victoir, N
1-May-2010Densities for rough differential equations under Hormander's conditionCass, T; Friz, P
2-Jan-2014Arbitrage-free SVI volatility surfacesGatheral, J; Jacquier, A
21-Nov-2015Large-maturity regimes of the Heston forward smileJacquier, A; Roome, PR; Engineering & Physical Science Research Council (EPSRC)