| 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. |
| Stability of the exponential utility maximization problem with respect to preferences
|
2017 |
Xing, Hao |
| Optimal investment with intermediate consumption and random endowment
|
2017 |
Mostovyi, Oleksii |
| Real options with competition and regime switching
|
2017 |
Bensoussan, Alain |
| Tug-of-war, market manipulation, and option pricing
|
2017 |
Nyström, Kaj |
| Impact of time illiquidity in a mixed market without full observation
|
2017 |
Federico, Salvatore |
| A state-constrained differential game arising in optimal portfolio liquidation
|
2017 |
Schied, Alexander |
| Robust fundamental theorem for continuous processes
|
2017 |
Biagini, Sara |
| 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 |
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