Applied Mathematical Finance

Title Publication Date Language Citations
Viterbi-Based Estimation for Markov Switching GARCH Model2012/07/01English1
Optimal Asset Allocation for Passive Investing with Capital Loss Harvesting2011/09/01English1
Valuation of Two-Factor Interest Rate Contingent Claims Using Green's Theorem2011/09/01English1
Characterization of the American Put Option Using Convexity2011/09/01English1
Re-specification of Affine Term Structure Models: The Linkage to Empirical Investigations2014/07/16English1
Hedging Option Books Using Neural-SDE Market Models2022/09/03English
Arbitrage-Free Neural-SDE Market Models2023/01/02English
Numerical integration of mean reverting stochastic systems with applications to interest rate term structure simulation1999/03/01English
On hedging in finite security markets1999/09/01English
Buy and Hold Golden Strategies in Financial Markets with Frictions and Depth Constraints2024/02/25English
Pricing the Excess Volatility in Foreign Exchange Risk Premium and Forward Rate Bias2022/01/02English
Policy Gradient Learning Methods for Stochastic Control with Exit Time and Applications to Share Repurchase Pricing2022/11/02English
Accelerated Share Repurchases Under Stochastic Volatility2022/09/03English
Strategic Execution Trajectories2022/07/04English
Optimal Execution with Identity Optionality2022/07/04English
Portfolio Optimization under Fast Mean-Reverting and Rough Fractional Stochastic Environment2018/07/04English
Dual Representation of the Cost of Designing a Portfolio Satisfying Multiple Risk Constraints2019/05/04English
Approximation of Non-Lipschitz SDEs by Picard Iterations2018/03/04English
Two asset-barrier option under stochastic volatility2017/11/02English
Generalised Lyapunov Functions and Functionally Generated Trading Strategies2019/07/04English
Portfolio selection in discrete time with transaction costs and power utility function: a perturbation analysis2017/03/04English
On the modelling of nested risk-neutral stochastic processes with applications in insurance2017/07/04English
Optimal accelerated share repurchases2017/05/04English
Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models2017/01/02English
Optimal Execution in a Market with Small Investors2010/09/28English
Concentrated Equilibrium and Intraday Patterns in Financial Markets2013/03/01English
Assessing the Costs of Protection in a Context of Switching Stochastic Regimes2012/12/01English
Determination of the Probability Distribution Measures from Market Option Prices Using the Method of Maximum Entropy in the Mean2012/09/01English
A General Formula for Option Prices in a Stochastic Volatility Model2012/09/01English
Robust Hedging and Pathwise Calculus2013/07/01English