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Collection's Items (Sorted by Title in Ascending order): 21 to 40 of 122
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Publication DateTitleAuthor(s)
1-Aug-2015Buffer-overflows: Joint limit laws of undershoots and overshoots of reflected processesMijatović, A; Pistorius, M
8-Apr-2010Change of variable formulas for non-anticipative functionals on path spaceCont, R; Fournie, D-A
1-Jun-2007Cluster-based extension of the generalized poisson loss dynamics and consistency with single namesBrigo, D; Pallavicini, A; Torresetti, R
-Collateral Margining in Arbitrage-Free Counterparty Valuation Adjustment including Re-Hypotecation and NettingBrigo, D; Capponi, A; Pallavicini, A; Papatheodorou, V
8-Jan-2004Complete-market models of stochastic volatilityDavis, MHA
4-Dec-2015Constrained Rough PathsCass, T; Driver, BK; Litterer, C
31-May-2015Constrained viscosity solution to the HJB equation arising in perpetual American employee stock options pricingBian, B; Hu, S; Yuan, Q; Zhang, H
5-Jun-2011Continuously monitored barrier options under Markov processesMijatovic, A; Pistorius, M
2-Sep-2015Convergence analysis and optimal strike choice for static hedges of general path-independent pay-offsMa, J; Deng, D; Zheng, H
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
18-Feb-2010Convergence of Heston to SVIGatheral, J; Jacquier, A
18-Apr-2015Credit default swaps and systemic riskCont, R; Minca, A
-Default correlation, cluster dynamics and single names: The GPCL dynamical loss modelBrigo, D; Pallavicini, A; Torresetti, R
1-May-2010Densities for rough differential equations under Hormander's conditionCass, T; Friz, P
3-May-2017Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximizationMa, J; Li, W; Zheng, H
10-Mar-2016Dynamic conic hedging for competitivenessMadan, DB; Pistorius, M; Schoutens, W
1-Dec-2008EXIT PROBLEM OF A TWO-DIMENSIONAL RISK PROCESS FROM THE QUADRANT: EXACT AND ASYMPTOTIC RESULTSAvram, F; Palmowski, Z; Pistorius, MR
1-Oct-2015Explicit solution of an inverse first-passage time problem for Lévy processes and counterparty credit riskDavis, MHA; Pistorius, MR
19-Jan-2017Fisher consistency for prior probability shiftTasche, D
-From characteristic functions to implied volatility expansionsJacquier, A; Lorig, M
Collection's Items (Sorted by Title in Ascending order): 21 to 40 of 122
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