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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
H Ku; H Zhang Valuation of claims with price impact function and liquidity costs ni14097.pdf
H Föllmer; S Weber The axiomatic approach to risk measures for capital determination ni14096.pdf
J Isohätälä; F Kusmartsev; A Milne; D Robertson Leverage constraints and real interest rates ni14093.pdf
J Isohätälä; A Milne; D Robertson The net worth trap: investment and output dynamics in the presence of financing constraints ni14092.pdf
H Amini; A Minca Inhomogeneous financial networks and contagious links ni14089.pdf
R Chhaibi; J Najnudel; A Nikeghbali The circular unitary ensemble and the Riemann zeta function: the microscopic landscape ni14080.pdf
P Méliot; A Nikeghbali Mod-Gaussian convergence and its applications for models of statistical mechanics ni14079.pdf
S Borovkova; H Laloui El Mouttalibi Systemic risk and centralized clearing of OTC derivatives: a network approach ni14070.pdf
R Cont; A Minca Credit default swaps and systemic risk ni14069.pdf
University of Cambridge Research Councils UK
    Clay Mathematics Institute The Leverhulme Trust London Mathematical Society Microsoft Research NM Rothschild and Sons