David G. Hobson

University of Bath - School of Mathematical Sciences

Bath, BA2 7AY

United Kingdom

SCHOLARLY PAPERS

6

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CITATIONS
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27

Scholarly Papers (6)

1.

A Comparison of Option Prices Under Different Pricing Measures in a Stochastic Volatility Model with Correlation

Number of pages: 34 Posted: 02 Jan 2004
Vicky Henderson, David G. Hobson, Sam Howison and Tino Kluge
University of Warwick, University of Bath - School of Mathematical Sciences, University of Oxford - Nomura Centre for Quantitative Finance, OCIAM and University of Oxford - Nomura Centre for Mathematical Finance
Downloads 438 (50,166)
Citation 8

Abstract:

stochastic volatility, pricing measure, market price of volatility risk, Heston model

2.

The Curious Incident of the Investment in the Market: Real Options and a Fair Gamble

AFA 2006 Boston Meetings Paper
Number of pages: 43 Posted: 24 Mar 2005
Jonathan D. Evans, Vicky Henderson and David G. Hobson
University of Bath, University of Warwick and University of Bath - School of Mathematical Sciences
Downloads 132 (166,727)
Citation 2

Abstract:

Real assets, Perpetual options, Optimal stopping, Incomplete markets, Portfolio choice, Real options, Portfolio constraints

3.

Range of Traded Option Prices

Mathematical Finance, Vol. 17, No. 1, pp. 1-14, January 2007
Number of pages: 14 Posted: 13 Dec 2006
David G. Hobson
University of Bath - School of Mathematical Sciences
Downloads 22 (415,603)

Abstract:

4.

Stochastic Volatility Models, Correlation, and the q-Optimal Measure

Mathematical Finance, Vol. 14, No. 4, pp. 537-556, October 2004
Number of pages: 20 Posted: 19 Sep 2004
David G. Hobson
University of Bath - School of Mathematical Sciences
Downloads 12 (466,508)
Citation 17

Abstract:

5.

Local Time, Coupling And The Passport Option

Finance and Stochastics, Vol. 4, Iss. 1
Posted: 17 Nov 1999
Vicky Henderson and David G. Hobson
University of Warwick and University of Bath - School of Mathematical Sciences

Abstract:

6.

Robust Hedging of the Lookback Option

Finance and Stochastics, Vol. 2, No. 4, 1998
Posted: 26 Aug 1998
David G. Hobson
University of Bath - School of Mathematical Sciences

Abstract: