Filtration Shrinkage, Strict Local Martingales And The Follmer Measure

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D

of the plane with given intensity theta>0

\theta >0

, which is formally obtained by exponentiating the square root of its occupation field. The measure is construct ...

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Filtration Shrinkage, Strict Local Martingales And The Follmer Measure

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Closed form approximation methods for portfolio valuation and risk management

Nonparametric estimation for SDE with sparsely sampled paths: An FDA perspective

Multiplicative chaos of the Brownian loop soup

On a Finite-Size Neuronal Population Equation

Essays in Empirical Asset Pricing

Brownian half-plane excursion and critical Liouville quantum gravity

Intrinsic area near the origin for self-similar growth-fragmentations and related random surfaces

A Functional Perspective on Information Measures

A machine learning approach to portfolio pricing and risk management for high-dimensional problems

Skew-Brownian motion and pricing European exchange options br

Positive moments for scattering amplitudes

Normal approximation of the solution to the stochastic heat equation with Levy noise

First passage sets of the 2D continuum Gaussian free field

Low-Rank Tensor Approximation for Chebyshev Interpolation in Parametric Option Pricing

Semi-discrete optimal transport: a solution procedure for the unsquared Euclidean distance case

The CDS-bond basis

Scaling Limits of Solutions of Linear Stochastic Differential Equations Driven by Levy White Noises

Numerical methods for option pricing: polynomial approximation and high dimensionality

The sources of sovereign risk: a calibration based on Levy stochastic processes

On the American swaption in the linear-rational framework