Risk-neutral pricing and hedging of in-play football bets
|
2018 |
Divos, Peter |
Transition probability of Brownian motion in the octant and its application to default modelling
|
2018 |
Kaushansky, Vadim |
Log-optimal portfolios with memory effect
|
2018 |
Nika, Zsolt |
Volatility targeting using delayed diffusions
|
2018 |
Torricelli, Lorenzo |
Extended Gini-type measures of risk and variability
|
2018 |
Berkhouch, Mohammed |
Dynamic index tracking and risk exposure control using derivatives
|
-2018 |
Leung, Tim |
A non-Gaussian Ornstein-Uhlenbeck model for pricing wind power futures
|
-2018 |
Benth, Fred Espen |
Enhancing trading strategies with order book signals
|
-2018 |
Cartea, Álvaro |
A numerically efficient closed-form representation of mean-variance hedging for exponential additive processes based on Malliavin calculus
|
2018 |
Arai, Takuji |
Outperformance and tracking : dynamic asset allocation for active and passive portfolio management
|
2018 |
Al-Aradi, Ali |
Real-world scenarios with negative interest rates based on the LIBOR market model
|
2018 |
Lopes, Sara Dutra |
Approximation of non-Lipschitz SDEs by Picard iterations
|
-2018 |
Baptiste, Julien |
Option pricing in illiquid markets with jumps
|
2018 |
Cruz, José M. T. S. |
Portfolio optimization under fast mean-reverting and rough fractional stochastic environment
|
2018 |
Fouque, Jean-Pierre |
The optimal interaction between a hedge fund manager and investor
|
2018 |
Ramirez, Hugo Eduardo |
Optimal expected-shortfall portfolio selection with copula-induced dependence
|
-2018 |
Gijbels, Irène |
Sovereign CDS calibration under a hybrid sovereign risk model
|
2018 |
Diop, Sidy |
Modelling credit risk in the jump threshold framework
|
2018 |
Chiu, Chun-Yuan |
Hybrid Lévy models : design and computational aspects
|
2018 |
Eberlein, Ernst |
Diffusion equations : convergence of the functional scheme derived from the binomial tree with local volatility for non smooth payoff functions
|
2018 |
Baptiste, Julien |