Publications
Volatility Estimation with Price Quanta
– Mathematical Finance
(2002)
8,
277
(doi: 10.1111/1467-9965.00056)
Arbitrage with fractional Brownian motion
– Mathematical Finance
(2002)
7,
95
(doi: 10.1111/1467-9965.00025)
Complete models with stochastic volatility
– Mathematical Finance
(2002)
8,
27
(doi: 10.1111/1467-9965.00043)
The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
– Mathematical Finance
(2002)
7,
157
(doi: 10.1111/1467-9965.00029)
Markov chains and the potential approach to modelling interest rates and exchange rates
– MATHEMATICAL FINANCE - BACHELIER CONGRESS 2000
(2002)
375
A simple model of liquidity effects
(2002)
161
Utility maximisation with a time lag in trading
(2002)
74,
249
Robust hedging of barrier options
– Mathematical Finance
(2001)
11,
285
(doi: 10.1111/1467-9965.00116)
The relaxed investor and parameter uncertainty
– Finance and Stochastics
(2001)
5,
131
(doi: 10.1007/pl00013532)
The maximum maximum of a martingale constrained by an intermediate law
– Probability Theory and Related Fields
(2001)
119,
558
(doi: 10.1007/pl00008771)
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