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Statistical Laboratory

Publications

A Black-Scholes inequality: applications and generalisations
MR Tehranchi
– Finance and Stochastics
(2020)
24,
1
MRI turbulence and thermal instability in accretion discs
J Ross, HN Latter, M Tehranchi
– Monthly Notices of the Royal Astronomical Society
(2017)
468,
2401
Optimal investment for all time horizons and Martin boundary of space-time diffusions
S Nadtochiy, M Tehranchi
– Mathematical Finance
(2017)
27,
438
If $B$ and $f(B)$ are Brownian motions, then $f$ is affine
MR Tehranchi
– Rocky Mountain Journal of Mathematics
(2017)
47,
947
Inequalities for the Gaussian measure of convex sets
MR Tehranchi
– Electronic Communications in Probability
(2017)
22,
1
Uniform Bounds for Black-Scholes Implied Volatility
MR Tehranchi
– SIAM Journal on Financial Mathematics
(2016)
7,
893
Polynomial term structure models
S Cheng, MR Tehranchi
An Equilibrium Model of Market Efficiency with Bayesian Learning: Explicit Modes of Convergence to Rational Expectations Equilibrium in the Presence of Noise Traders
MR Tehranchi, O Ross, SE Satchell
– SSRN
Arbitrage theory without a numéraire
MR Tehranchi
On the Uniqueness of Martingales with Certain Prescribed Marginals
MR Tehranchi
– Journal of Applied Probability
(2013)
50,
557
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Frontpage talks

06
Mar
Statistics

10
Mar
14:00 - 15:00: Title to be confirmed
Probability

Cambridge Statistics Clinic

Cambridge Statistics Clinic

Research Group

Statistical Laboratory

Room

D1.04