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Patrick Roome


 

Imperial College London - Department of Mathematics


 South Kensington Campus
 London SW7 2AZ, SW7 2AZ
 United Kingdom
 email address

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. Patrick Roome's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
364
Total
Citations
2
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
Guennoun, Hamza
Societe Generale
Jacquier, Antoine
Imperial College London
Roome, Patrick
Imperial College London - Department of Mathematics
Posted:
30 Nov 14
91
(179,574)
 

2.  
Asymptotics of Forward Implied Volatility | Show Abstract | Download This Paper | Open PDF in Browser |
SIAM Journal on Financial Mathematics, 6(1): 307-351, 2015.
Number of Pages in PDF File: 37
Jacquier, Antoine
Imperial College London
Roome, Patrick
Imperial College London - Department of Mathematics
Posted:
05 Dec 12
Last Revised:
04 Jun 15
67
(242,434)
2

3.  
Jacquier, Antoine
Imperial College London
Roome, Patrick
Imperial College London - Department of Mathematics
Posted:
29 Mar 15
Last Revised:
07 Jul 15
52
(262,439)
 

4.  
The Small-Maturity Heston Forward Smile | Show Abstract | Download This Paper | Open PDF in Browser |
SIAM Journal on Financial Mathematics, 4(1): 831-856, 2013.
Number of Pages in PDF File: 23
Jacquier, Antoine
Imperial College London
Roome, Patrick
Imperial College London - Department of Mathematics
Posted:
19 Mar 13
Last Revised:
21 Feb 15
31
(336,047)
 

5.  
Two Examples of Non Strictly Convex Large Deviations | Show Abstract | Download This Paper | Open PDF in Browser |
Forthcoming in Electronic Communications in Probability
Number of Pages in PDF File: 11
De Marco, Stefano
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees
Jacquier, Antoine
Imperial College London
Roome, Patrick
Imperial College London - Department of Mathematics
Posted:
28 Nov 14
Last Revised:
01 May 16
24
(357,218)
 

6.  
Large-Maturity Regimes of the Heston Forward Smile | Show Abstract | Download This Paper | Open PDF in Browser |
Stochastic Processes and Their Applications, 126: 1087-1123, 2016
Number of Pages in PDF File: 30
Jacquier, Antoine
Imperial College London
Roome, Patrick
Imperial College London - Department of Mathematics
Posted:
29 Oct 14
Last Revised:
28 Mar 16
20
(392,129)
 

7.  
Badikov, Sergey
Imperial College London
Jacquier, Antoine
Imperial College London
Liu, Qing Daphne
Imperial College London-Department of Mathematics
Roome, Patrick
Imperial College London - Department of Mathematics
Posted:
28 Mar 16
0
(397,049)
 


Records 1 - 7 of 7 matches
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