|
Volatility Stabilization, Diversity and Arbitrage in Stochastic Finance |
|
An Option-Theoretic Model for Mortgage-Backed Securities |
|
Arbitrage Free Models In Markets With Transaction Costs |
|
Pricing and Hedging Barrier Options in Diffusion Models Via 3-Dimensional Bessel Processes |
|
Recovering Portfolio Default Rates from market prices: solution of an inverse problem by intensity control |
|
Relative Arbitrage In Equity Markets |
|
Brownian Motions Interacting Through Ranks and a Phase Transition Phenomenon |
|
Mathematical Finance and Opportunities for Undergraduates |
|
A Weak Existence Result with Application to Model Calibration |
|
Time Changed Markov Processes in United Credit-Equity Modeling |
|
Long Dated Dervatives |
|
Developments in Volatility Derivatives Pricing |
|
Homogeneous Groups and Multiscale Intensity Models for Multiname Credit Derivatives |
|
Set-Valued Risk Measures |
|
Wolfgang Doeblin: A Mathematician Rediscovered |
|
Weather, Energy and Agro Derivatives |
|
A Clustering/Selection method to capture the systematic movement of Equity's Return |
|
The Joy of FX: the effect of market conventions on the pricing of currency options |
|
Credit Derivative Modelling with Jump Hazard Process |
|
A Stochastic Volatility Alternative to SABR |
|
Hard-To-Borrow Stocks, Volatility and Bubble Dynamics: a challenge to Jarrow + Protter? |
|
Distribution-based Risk Measures and Their Properties |
|
A stochastic model for order book dynamics |
|
Hedging under Liquidity Risk and Price Impacts |
|
Exploring Symmetry in Contingent Pricing |
|
Wiener-Hopf Factorization as a General Method for Valuation of Real and American Options |
|
Second SIAM Conference on Financial Mathematics and Engineering |
|
Second SIAM Conference on Financial Mathematics and Engineering |
|
Convex Hedging in Incomplete Markets |
|
Asymptotics of Implied Volatility in Local Volatility Models |
|
Regularity in the Optimal Stopping Problem for Levy Processes with Non-degenerate Diffusions |
|
Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions |
|
Stochastic Control for Systems with Memory and its Applications in Portfolio Optimization |
|
Mismatching Time Scales and Hedging Energy Structures |
|
Local Intensity Surface and its Dynamics in Multi-Name Credit Derivatives Modeling |
|
Assessing Default Probabilities from Equity Markets |
|
Mathematical Finance and Partial Differential Equations |
|
Pricing Variance Swaps on Time-Changed Levy Processes |
|
Market Models for European Options: Dynamic Local Volatility and Tangent Levy Models |
|
Valuation of Exotic Interest Rate Derivatives - Bermudans, Range Accruals, and Spreads |
|
The Recent Financial Turmoil and Related Financial Engineering Research Problems |
|
Strict Local Martingale Deflators and Pricing American Call-Type Options |
|
Algorithmic Trading: A Buy-Side Perspective |
|
Liquidation of a Large Block of Stock with Regime Switching |
|
AMS Special Session on Topics in Mathematical Finance at Penn State University |
|
Nonparametric Estimation of Time-Changed Levy Models |
|
National Financial Mathematics Career Fair |
|
Hybrid Monte Carlo |
|
Minimizing Conditional Value-at-Risk |
|
Commodity Derivatives Models with Mean-Reverting Jumps and Stochastic Volatility: A Spectral Expansion Approach |
|
Mathematical Finance and Partial Differential Equations Conference |
|
Wiener-Hopf Factorization for Levy Processes with Meromorphic Characteristic Exponent |
|
Approximating the Green function of parabolic equations |
|
Bubbles and contingent claims in markets with short-sale constraints |
|
Markov Methods in LIBOR Derivative Pricing |
|
Option Prices in Terms of Distribution Functions |
|
Optimizing the exercise boundary for the holder of an American |
|
Bright Noise: Modelling Volatility Smiles |
|
Feynman-Kac Formula for Heat Equation Driven by Fractional White Noise |
|
Non-zero-sum Stochastic Differential Games of Control and Stopping |
|
The Use of Stochastic Control Theory in High Frequency Trading |
|
Hedging under arbitrage |
|
American-style options, stochastic volatility, and degenerate parabolic variational inequalities |
|
Smoothness of the law of the supremum of the Gaussian process |
|
Too interconnected to fail: contagion and systemic risk in financial networks |
|
Some applications of Clark-Ocone representation formula |
|
Malliavin calculus for backward stochastic differential equations and application to numerical solutions |
|
Stochastic Differential Games and Applications to Energy and Consumer Goods Markets |
|
Pathwise Optimization for Optimal Stopping |
|
A weak uniqueness result for degenerate diffusions |
|
Brownian motion in renormalized Poissonian potential |
|
Asymptotics for local-stochastic volatility models |
|
On the Implied Volatility Surface of Stochastic Volatility Models under Indifference Pricing |
|
Default intensities implied by CDO spreads - Inversion formula and model calibration |
|
Regularity for the parabolic obstacle problem with fractional Laplacian |
|
A stochastic version of the Ambrosio-DiPerna-Lions' theory |
|
Non-Convexity of the Optimal Exercise Boundary For an American Put Option on a Dividend-paying Asset |
|
Monte Carlo and tree methods in interest rate derivative pricing |
|
Optimal timing to buy options in incomplete markets |
|
A study of nonlinear PDE's and PIDE's appearing in Finance |
|
Simple Arbitrage In Multi-Asset Markets |
|
Excel interfaces for C++ derivative pricing and risk management programs |
|
Creating Excel Interfaces for C++ Derivative Pricing Code |
|
Heat Kernel Expansion and Near-Expiry Asymptotics of Implied Volatility for Certain Stochastic Volatility Models |
|
Asymptotic Analysis for Optimal Investment with Transaction Costs in Finite Time |
|
Perpetual Cancellable American Call Option |
|
Dyson series for the PDEs arising in Mathematical Finance I |
|
Dyson series for the PDEs arising in Mathematical Finance II |
|
Variational Inequalities, Obstacle, and Free Boundary Problems in Mathematical Finance |
|
Stochastically invariant manifolds for Jump diffusion on Hilbert space |
|
A Point Process Model for the High-Frequency Dynamics of a Limit Order Book |
|
Pricing and Hedging in Affine Models with Possibility of Default |
|
Applications of a Markov mapping theorem |
|
Liquidation in Limit Order Books with Controlled Intensity |
|
Stochastic Perron's method and verification without smoothness using viscosity comparison: the linear case |
|
Parameter estimation for fractional Ornstein-Uhlenbeck processes with discrete observations |
|
Recent development in the theory of linear and fully nonlinear elliptic and parabolic nondivergence form equations with VMO coefficients. |
|
Estimates for the heat kernel with Dirichlet boundary condition |
|
Density and tail estimates with Malliavin calculus |
|
Gaussian Random Fields: Spectral Measures and Fine Properties |
