Dominick J. Samperi

Decision Synergy

375 South End Ave., Suite 8J

New York, NY 10280

United States

http://www.decisionsynergy.com

SCHOLARLY PAPERS

3

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SSRN CITATIONS
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Top 19,495

in Total Papers Citations

3

CROSSREF CITATIONS

49

Scholarly Papers (3)

1.

Calibrating Volatility Surfaces Via Relative-Entropy Minimization

Number of pages: 38 Posted: 01 Feb 1997
New York University (NYU) - Courant Institute of Mathematical Sciences, State++, New York University (NYU) - Courant Institute of Mathematical Sciences and Decision Synergy
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Citation 9

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2.

Calibrating a Diffusion Pricing Model with Uncertain Volatility: Regularization and Stability

Number of pages: 17 Posted: 25 Apr 2002
Dominick J. Samperi
Decision Synergy
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3.

Exponential Hedging and Entropic Penalties

Number of pages: 25 Posted: 21 Jan 2003
Swiss Federal Institute of Technology at Zurich, Technische Universitat Wien, Eidgenossische Technische Hochschule Zurich (ETHZ), Decision Synergy, ETH Zurich and University of Burgundy Franche-Comté - Laboratoire de Mathematiques
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Citation 5
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Hedging, exponential utility, relative entropy, duality, minimal martingale measure, minimal entropy martingale measure, reverse Holder inequalities