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