| Local variance gamma and explicit calibration to option prices
|
2017 |
Carr, Peter |
| On the martingale property in stochastic volatility models based on time-homogeneous diffusions
|
2017 |
Bernard, Carole |
| Dynamic trading volume
|
2017 |
Guasoni, Paolo |
| The general structure of optimal investment and consumption with small transaction costs
|
2017 |
Kallsen, Jan |
| Explicit implied volatilities for multifactor local-stochastic volatility models
|
2017 |
Lorig, Matthew |
| Efficent pricing of barrier options and credit default swapts in Lévy models with stochastic interest rate
|
2017 |
Bojarčenko, Svetlana I. |
| Trading with small price impact
|
2017 |
Moreau, Ludovic |
| Optimal investment for all time horizons and Martin Boundary of space-time diffusions
|
2017 |
Nadtochiy, Sergey |
| Model uncertainty and scenario aggregation
|
2017 |
Cambou, Mathieu |
| No-arbitrage in a numéraire-independent modeling framework
|
2017 |
Herdegen, Martin |
| An analytical solution for the two-sided Parisian stopping time, its asymptotics, and the pricing of Parisian options
|
2017 |
Dassios, Angelos |
| Portfolio optimization and stochastic volatility asymptotics
|
2017 |
Fouque, Jean-Pierre |
| Approximate hedging problem with transaction costs in stochastic volatility markets
|
2017 |
Thai Huu Nguyen |
| On arbitrage and duality under model uncertainty and portfolio constraints
|
2017 |
Bayraktar, Erhan |
| The 4/2 stochastic volatility model : a unified approach for the Heston and the 3/2 model
|
2017 |
Grasselli, Martino |
| Leveraged ETF implied volatilities from ETF dynamics
|
2017 |
Leung, Tim |
| Robust portfolios and weak incentives in long-run investments
|
2017 |
Guasoni, Paolo |
| The numéraire property and long-term growth optimality for drawdown-constrained investments
|
2017 |
Kardaras, Constantinos |
| Sensitivity analysis of nonlinear behavior with distorted probability
|
2017 |
Cao, Xi-Ren |
| Price setting of market makers : a filtering problem with endogenous filtration
|
2017 |
Kühn, Christoph |
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