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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.

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Authors Title Attachments
A Merhi; M Zervos A model for reversible investment capacity expansion ni05055.pdf
TC Johnson; M Zervos A discretionary stopping problem with applications to the optimal timing of investment decisions ni05045.pdf
AL Bronstein; 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
P Friz; J Gatheral Valuation of volatility derivatives as an inverse problem ni05033.pdf
N Chen; S Kou Credit spreads, optimal capital structure, and implied volatility with endogenous default and jump risk ni05031.pdf
T Bielecki; M Jeanblanc; M Rutkowski Hedging of credit derivatives in models with totally unexpected default ni05023.pdf
T Bielecki; 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
M Monoyios Characterization of optimal dual measures via distortion ni05012.pdf
M Monoyios Esscher transforms and martingale measures in incomplete diffusion models ni05011.pdf
G Dibeh Target zone dynamics where the fundamental follows a SDE with periodic forcing ni05009.pdf
University of Cambridge Research Councils UK
    Clay Mathematics Institute The Leverhulme Trust London Mathematical Society Microsoft Research NM Rothschild and Sons