Konstantinos Spiliopoulos

Boston University

Department of Mathematics and Statistics

111 Cumminton Mall

Boston, MA 02215

United States

SCHOLARLY PAPERS

5

DOWNLOADS

170

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (5)

1.

Optimal Investment, Derivative Demand and Arbitrage Under Price Impact

Number of pages: 27 Posted: 26 Dec 2018
Michail Anthropelos, Scott Robertson and Konstantinos Spiliopoulos
University of Piraeus - Department of Banking and Financial Management, Questrom School of Business, Boston University and Boston University
Downloads 68 (375,660)
Citation 1

Abstract:

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price impact, derivative pricing, arbitrage, large investors, segmented markets

2.

Systemic Risk and Default Clustering for Large Financial Systems

Number of pages: 22 Posted: 25 Feb 2014 Last Revised: 24 Sep 2014
Konstantinos Spiliopoulos
Boston University
Downloads 59 (403,783)

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Systemic risk, default clustering, large portfolios, loss distribution, asymptotic methods, rare events

3.

Default Clustering in Large Pools: Large Deviations

Number of pages: 25 Posted: 04 Nov 2013 Last Revised: 24 Sep 2014
Konstantinos Spiliopoulos and Richard Sowers
Boston University and University of Illinois at Urbana-Champaign - Department of Mathematics
Downloads 33 (508,675)
Citation 1

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4.

Pathwise Moderate Deviations for Option Pricing

Number of pages: 25 Posted: 21 Jun 2018
Antoine (Jack) Jacquier and Konstantinos Spiliopoulos
Imperial College London and Boston University
Downloads 9 (661,258)

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moderate deviations, weak convergence, multiscale diffusions, option pricing

5.

Indifference Pricing for Contingent Claims: Large Deviations Effects

Mathematical Finance, Vol. 28, Issue 1, pp. 335-371, 2018
Number of pages: 37 Posted: 17 Jan 2018
Scott Robertson and Konstantinos Spiliopoulos
Questrom School of Business, Boston University and Boston University
Downloads 1 (728,898)
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Abstract:

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indifference price, large deviations theory, optimal positions, vanishing hedging error, incomplete market