| 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 |
| Optimal decisions in a time priority queue
|
-2018 |
Donnelly, Ryan |
| 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 |
| 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 |
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