| Conditional Davis pricing
|
2020 |
Larsen, Kasper |
| Fast mean-reversion asymptotics for large portfolios of stochastic volatility models
|
2020 |
Hambly, Ben |
| Time reversal and last passage time of diffusions with applications to credit risk management
|
2020 |
Egami, Masahiko |
| Optimal insurance with background risk : an analysis of general dependence structures
|
2020 |
Chi, Yichun |
| Asset prices in segmented and integrated markets
|
2020 |
Guasoni, Paolo |
| The Leland-Toft optimal capital structure model under Poisson observations
|
2020 |
Palmowski, Zbigniew |
| A Black–Scholes inequality : applications and generalisations
|
2020 |
Tehranchi, Michael R. |
| An incomplete equilibrium with a stochastic annuity
|
2020 |
Weston, Kim |
| Trading strategies generated pathwise by functions of market weights
|
2020 |
Karatzas, Ioannis |
| On fairness of systemic risk measures
|
2020 |
Biagini, Francesca |
| Optimal reduction of public debt under partial observation of the economic growth
|
2020 |
Callegaro, Giorgia |
| Option valuation and hedging using an asymmetric risk function : asymptotic optimality through fully nonlinear partial differential equations
|
2020 |
Gobet, Emmanuel |
| Pathwise superhedging on prediction sets
|
2020 |
Bartl, Daniel |
| Regime switching affine processes with applications to finance
|
2020 |
Beek, Misha van |
| Consumption in incomplete markets
|
2020 |
Guasoni, Paolo |
| Adapted Wasserstein distances and stability in mathematical finance
|
2020 |
Backhoff-Veraguas, Julio |
| A splitting strategy for the calibration of jump-diffusion models
|
2020 |
Albani, Vinícius |
| Filtration shrinkage, the structure of deflators, and failure of market completeness
|
2020 |
Kardaras, Constantinos |
| Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process
|
2020 |
Kabanov, Jurij M. |
| Optimal dividends with partial information and stopping of a degenerate reflecting diffusion
|
2020 |
De Angelis, Tiziano |
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