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