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Issue DateTitleAuthor(s)
27-Mar-2015Black-Scholes in a CEV Random Environment: A New Approach to Smile ModellingJacquier, A; Roome, P; Engineering & Physical Science Research Council (EPSRC)
30-Nov-2015Large-Maturity Regimes of the Heston Forward SmileJacquier, A; Roome, P
20-Apr-2015An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficientsChassagneux, J-F; Jacquier, A; Mihaylov, I
21-Nov-2015Large-maturity regimes of the Heston forward smileJacquier, A; Roome, PR; Engineering & Physical Science Research Council (EPSRC)
30-Nov-2015Asymptotic arbitrage in the Heston modelJacquier, A; Haba, FH; Engineering & Physical Science Research Council (EPSRC)