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Preprints

This page lists the preprints associated with this programme only.
A full list is also available, with details of how to submit relevant papers and how to acknowledge INI.

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Authors Title Attachments
TC Johnson A discretionary stopping problem with applications to the optimal timing of investment decisions PDF icon ni05045.pdf
LP Hughston; MR Pistorius Discretionary stopping of one-dimentional Itô diffusions with a staircase payoff function PDF icon ni05044.pdf
AS Cherny The Kolmogorov students' competitions on probability theory PDF icon ni05043.pdf
AS Cherny Weighted V@R and its properties PDF icon ni05042.pdf
AS Cherny Pricing, optimality, and equilibrium based on coherent risk measures PDF icon ni05041.pdf
J Gatheral Valuation of volatility derivatives as an inverse problem PDF icon ni05033.pdf
M Jeanblanc; M Rutkowski Hedging of credit derivatives in models with totally unexpected default PDF icon ni05023.pdf
M Jeanblanc; M Rutkowski Pricing and trading credit default swaps under deterministic intensity PDF icon ni05022.pdf
R Cont Volatility clustering in financial markets: empirical facts and agent-based models PDF icon ni05015.pdf
R Cont; P Tankov Retrieving Lévy processes from option prices: regularization of an ill-posed inverse problem PDF icon ni05014.pdf
R Cont Model uncertainty and its impact on the pricing of derivative instruments PDF icon ni05013.pdf
University of Cambridge Research Councils UK
    Clay Mathematics Institute London Mathematical Society NM Rothschild and Sons