Now showing items 1-10 of 25
On the market viability under proportional transaction costs
(SpringerWiley Periodicals, Inc., 2018-07)
This paper studies the market viability with proportional transaction costs. Instead of requiring the existence of strictly consistent price systems as in the literature, we show that strictly consistent local martingale ...
Liquidation In Limit Order Books With Controlled Intensity
(Systems & Control: Foundations & Applications. Boston, MA: BirkhäuserWiley Periodicals, Inc., 2014-10)
Change‐Point Detection on Solar Panel Performance Using Thresholded LASSO
(John Wiley & Sons, Ltd, 2016-12)
Distribution‐constrained optimal stopping
(Cambridge University PressWiley Periodicals, Inc., 2019-01)
We solve the problem of optimal stopping of a Brownian motion subject to the constraint that the stopping time’s distribution is a given measure consisting of finitely many atoms. In particular, we show that this problem ...
A Unified Framework For Pricing Credit And Equity Derivatives
(Blackwell Publishing IncWiley Periodicals, Inc., 2011-07)
Mcmc Estimation Of Lévy Jump Models Using Stock And Option Prices
(Blackwell Publishing IncWiley Periodicals, Inc., 2011-07)
The Role Of Inventories And Speculative Trading In The Global Market For Crude Oil
(Wiley Periodicals, Inc.MIT Press, 2014-04)
Local Variance Gamma And Explicit Calibration To Option Prices
(Wiley Periodicals, Inc.Cambridge University Press, 2017-01)
Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at the Pump
(Wiley Periodicals, Inc.North‐Holland, 2017-03)