Gower Street
London, WC1E 6BT
United Kingdom
University College London - Department of Mathematics
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in Total Papers Downloads
CMS options, Spread options, Triangle arbitrage
CSA, Collateral discounting, Collateral volatility, Convexity, Libor, OIS
Quantum probability, noncommutative economics, derivative pricing, interest rates, FX, quantum binomial model, quantum Hull-White model
Option pricing, Libor Market model, Quadratic Gaussian model, stochastic volatility, symmetry methods
Derivative Pricing, Arbitrage, Noncommutativity, Duality, Quantum Groups, Hopf Algebras
quantum probability, noncommutative economics, derivative pricing, interest rates, FX, quantum binomial model, quantum Hull-White model
Option pricing; volatility smile; FX options; swaptions and caplets; no-arbitrage principle; quantum probability; operator algebras; Gelfand-Naimark-Segal construction
Interest Rate Derivatives, Foreign Exchange Derivatives, Quadratic Gauss Model, Linear Dirac Model, Duality, Quantum Groups, Hopf Algebras
Derivative Pricing, Funding, Discounting, Incomplete Markets, Portfolio Optimization, Entropy, Levy-Khintchine Representation
Derivative pricing, Incomplete markets, XVA, Entropy, Model risk, Deep hedging, Decentralised finance, Convex risk optimisation
