4. Mathematics
  5. Probability

David Hobson

Mathematics – Probability

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An explicit solution for an optimal stopping/optimal control problem which models an asset sale

Economy – Quantitative Finance – Portfolio Management
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Can time-homogeneous diffusions produce any distribution?

Mathematics – Probability
Scientific paper

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Constructing Time-Homogeneous Generalised Diffusions Consistent with Optimal Stopping Values

Mathematics – Probability
Scientific paper

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Maximising functionals of the maximum in the Skorokhod embedding problem and an application to variance swaps

Mathematics – Probability
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Model independent hedging strategies for variance swaps

Economy – Quantitative Finance – Pricing of Securities
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