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Results 141-150 of 191
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Issue DateTitleAuthor(s)
30-Nov-2015Asymptotic arbitrage in the Heston modelJacquier, A; Haba, FH; Engineering & Physical Science Research Council (EPSRC)
16-Mar-2018Universal features of price formation in financial markets: perspectives from Deep LearningCont, R; Sirignano, J; Capital Fund Management; James S. McDonnell Foundation
27-Oct-2016On the probability of hitting the boundary for Brownian motions on the SABR planeGulisashvili, AG; Horvath, BH; Jacquier, A; Engineering & Physical Science Research Council (EPSRC); Swiss National Science Foundation
15-Jun-2017Utility-deviation-risk portfolio selectionWong, KC; Yam, SCP; Zheng, H
1-Apr-2018Additivity, subadditivity and linearity: automatic continuity and quantifier weakeningBingham, NH; Ostaszewski, AJ
14-Sep-2017Shapes of implied volatility with positive mass at zeroDe Marco, SDM; Hillairet, CH; Jacquier, A; Engineering & Physical Science Research Council (EPSRC)
25-Mar-2016Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall-Olkin lawBrigo, D; Mai, JF; Scherer, M
14-Feb-2018Intrinsic stochastic differential equations as jetsArmstrong, J; Brigo, D
1-Oct-2015The end of the waterfall: Default resources of central counterpartiesCont, R
27-Sep-2016Arbitrage without borrowing or short selling?Lukkarinen, J; Pakkanen, MS; Academy of Finland