| Realised volatility and parametric estimation of Heston SDEs
|
2020 |
Azencott, Robert |
| The Riesz representation theorem and weak* compactness of semimartingales
|
2020 |
Kiiski, Matti |
| Extended weak convergence and utility maximisation with proportional transaction costs
|
2020 |
Bayraktar, Erhan |
| Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem
|
2020 |
Avanesyan, Levon |
| The value of a liability cash flow in discrete time subject to capital requirements
|
2020 |
Engsner, Hampus |
| Linear credit risk models
|
2020 |
Ackerer, Damien |
| On the quasi-sure superhedging duality with frictions
|
2020 |
Bayraktar, Erhan |
| The value of informational arbitrage
|
2020 |
Chau, Huy N. |
| Term structure modelling for multiple curves with stochastic discontinuities
|
2020 |
Fontana, Claudio |
| 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 |
| Partial liquidation under reference-dependent preferences
|
2020 |
Henderson, Vicky |
| 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 |
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