Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios

von Laurence, Peter
Veröffentlicht in Insurance / Mathematics & economics (2009)

Distribution-free upper bounds for spread options and market-implied antimonotonicity gap

von Laurence, Peter
Veröffentlicht in The European journal of finance (2008)

The heat-kernel most-likely-path approximation

von Gatheral, Jim
Veröffentlicht in International journal of theoretical and applied finance (2012)

Closed form solutions for quadratic and inverse quadratic term structure models

von Laurence, Peter
Veröffentlicht in International journal of theoretical and applied finance (2005)

Sharp upper and lower bounds for basket options

von Laurence, Peter
Veröffentlicht in Applied mathematical finance (2005)

150 most frequently asked questions on Quant interviews

von Stefanica, Dan
Veröffentlicht 2013

Special issue quantitative developments in financial volatility : theory and practice

Veröffentlicht 2019

Volatility and volatility-linked derivatives : estimation,modeling, and pricing

von Alòs, Elisa
Veröffentlicht in Decisions in economics and finance (2019)

Most-likely-path in Asian option pricing under local voluntility models

von Arguin, Louis-Pierre
Veröffentlicht in International journal of theoretical and applied finance (2018)

Asymptotics of implied volatility in local volatility models

Veröffentlicht in Mathematical finance (2012)