Peter M. Laurence

University of Rome I - Department of Mathematics

Roma, I-00185

Italy

Courant Institute, NYU

Associate Professor

Division of Quantitative Finance 251 Mercer Street

New York, NY 10012

United States

SCHOLARLY PAPERS

4

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Scholarly Papers (4)

Asymptotics of Implied Volatility in Local Volatility Models

Mathematical Finance, Forthcoming
Number of pages: 39 Posted: 27 Jan 2010 Last Revised: 30 Jul 2010
CUNY Baruch College, Northwestern University - Department of Mathmatics, University of Rome I - Department of Mathematics, Purdue University and Baruch College, CUNY
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Citation 1

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Implied volatility, local volatility, asymptotic expansion, heat kernels

Asymptotics of Implied Volatility in Local Volatility Models

Mathematical Finance, Vol. 22, Issue 4, pp. 591-620, 2012
Number of pages: 30 Posted: 23 Aug 2012
CUNY Baruch College, Northwestern University - Department of Mathmatics, University of Rome I - Department of Mathematics, Purdue University and affiliation not provided to SSRN
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implied volatility, local volatility, asymptotic expansion, heat kernels

2.

Sharp Upper and Lower Bounds for Basket Options

Number of pages: 34 Posted: 19 Aug 2004
Peter M. Laurence and Tai-Ho Wang
University of Rome I - Department of Mathematics and National Chung Cheng University - Department of Mathematics
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Citation 2

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Basket options, distribution free, upper bounds, optimal hedge ratios

3.

Bounds for the Price of an American Option on Several Assets: Index and Spread Options

Courant Institute Working Paper
Number of pages: 74 Posted: 02 Feb 2001
Peter M. Laurence
University of Rome I - Department of Mathematics
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4.

Multi-Asset Stochastic Local Variance Contracts

Mathematical Finance, Vol. 21, Issue 1, pp. 21-52, 2010
Number of pages: 32 Posted: 30 Dec 2010
Peter Carr and Peter M. Laurence
New York University Finance and Risk Engineering and University of Rome I - Department of Mathematics
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variance swap, basket option, stochastic volatility