Fundraising September 15, 2024 – October 1, 2024 About fundraising
2

Optimal Trading Policies for Wind Energy Producer

Year:
2018
Language:
english
File:
PDF, 1022 KB
english, 2018
3

Market Models with Optimal Arbitrage

Year:
2015
Language:
english
File:
PDF, 244 KB
english, 2015
4

Portfolio insurance under a risk-measure constraint

Year:
2011
Language:
english
File:
PDF, 327 KB
english, 2011
5

CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES

Year:
2009
Language:
english
File:
PDF, 200 KB
english, 2009
7

A NEW LOOK AT SHORT-TERM IMPLIED VOLATILITY IN ASSET PRICE MODELS WITH JUMPS

Year:
2016
Language:
english
File:
PDF, 734 KB
english, 2016
11

Optimal consumption policies in illiquid markets

Year:
2011
Language:
english
File:
PDF, 709 KB
english, 2011
12

Monte Carlo Option Pricing for Tempered Stable (CGMY) Processes

Year:
2006
Language:
english
File:
PDF, 284 KB
english, 2006
13

A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES

Year:
2008
Language:
english
File:
PDF, 158 KB
english, 2008
14

Arbitrage Opportunities in Misspecified Stochastic Volatility Models

Year:
2011
Language:
english
File:
PDF, 705 KB
english, 2011
20

Calibration of Jump-Diffusion Option Pricing Models: A Robust Non-Parametric Approach

Year:
2002
Language:
english
File:
PDF, 465 KB
english, 2002
21

Asymptotic analysis of hedging errors in models with jumps

Year:
2009
Language:
english
File:
PDF, 852 KB
english, 2009
22

Jump-adapted discretization schemes for Lévy-driven SDEs

Year:
2010
Language:
english
File:
PDF, 502 KB
english, 2010
29

Asymptotically optimal discretization of hedging strategies with jumps

Year:
2014
Language:
english
File:
PDF, 394 KB
english, 2014
31

IMPROVED FRÉCHET BOUNDS AND MODEL-FREE PRICING OF MULTI-ASSET OPTIONS

Year:
2011
Language:
english
File:
PDF, 1.15 MB
english, 2011
32

Tails of weakly dependent random vectors

Year:
2016
Language:
english
File:
PDF, 435 KB
english, 2016
33

Approximate indifference pricing in exponential Lévy models

Year:
2016
Language:
english
File:
PDF, 2.75 MB
english, 2016
35

Tail behavior of sums and differences of log-normal random variables

Year:
2016
Language:
english
File:
PDF, 441 KB
english, 2016
36

Hedging under multiple risk constraints

Year:
2017
Language:
english
File:
PDF, 994 KB
english, 2017
37

Asymptotic optimal tracking: feedback strategies

Year:
2017
Language:
english
File:
PDF, 2.03 MB
english, 2017
38

Improved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options

Year:
2011
Language:
english
File:
PDF, 276 KB
english, 2011
39

Improved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options

Year:
2011
Language:
english
File:
PDF, 276 KB
english, 2011
40

Pricing and Hedging Gap Risk

Year:
2008
Language:
english
File:
PDF, 239 KB
english, 2008
41

Optimal importance sampling for Lévy processes

Year:
2018
Language:
english
File:
PDF, 803 KB
english, 2018
43

Volatility Options in Rough Volatility Models

Year:
2018
Language:
english
File:
PDF, 428 KB
english, 2018