United Kingdom
Imperial College London - Mathematical Finance
SSRN RANKINGS
in Total Papers Downloads
Portfolio choice, asset pricing, computational techniques, duration analysis
approximate duration, asset liability management, linear programming
Optimal Dividends Strategy, Diffusion Model, Collaborating Businesses, Stochastic Control.
Growth Portfolio Optimisation; Contingent Convertible Bond; Statistical Comparisons; Sensitivity Analysis
Basket option pricing, Jump-diffusion model, Analytic approximation, Conditional moment matching
Basket options pricing, local volatility jump-diffusion model, forward PIDE, asymptotic expansion
Portfolio selection, S-shaped utility, periodic evaluation, agency, incentive
Optimal strategy; Order arrival models; Synchrony; High-dimensional Hamilton–Jacobi–Bellman; Deep neural network
basket options valuation, local volatility jump-diffusion model, lower bound approximation, second order asymptotic expansion
Heterogeneous consumption; Non-concave utility; Dynamic programming; Optimal stopping; Variational inequality; Dual transformation; Free boundary
utility deviation-risk optimization; stochastic risk aversion; incomplete market; control constraint; time-consistent dynamic programming equation
Contingent Convertible Bond, Capital-ratio Trigger, Conversion Time, Equity-conversion CoCo, Post-conversion Risk Premium
S-shaped utility, optimal stopping, transaction costs, entry-and-exit strategies
Defaults, Brownian Motions, Incomplete Information, Intensity Models
Optimal Portfolio, Expected Loss Constraint, Physical Measure P, Risk- Neutral Measure Q, Q-Strategy Fulfi lling P-Risk Constraint
