Economy – Quantitative Finance – Pricing of Securities
Scientist
Economy
Quantitative Finance
Pricing of Securities
Scientist
Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods
Exact Pricing and Hedging Formulas of Long Dated Variance Swaps under a $3/2$ Volatility Model
Minimizing the expected market time to reach a certain wealth level
Multiplicative approximation of wealth processes involving no-short-sale strategies via simple trading
On honest times in financial modeling
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