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Financial Mathematics
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Recent publications and working papers by members of the Financial Mathematics and Applied Probability Research Group


2010

D. Brigo, M. Morini, 2010, Dangers of Bilateral Counterparty Risk: the fundamental impact of closeout conventions, arXiv or SSRN

Brigo, D., Pallavicini, A. and Torresetti, R. (2010). Limits of Implied Credit Correlation Metrics Before and During the Crisis. In: Berd, A. (Editor), Lessons from the Financial Crisis: Insights from the greatest economic event of our lifetime. Risk Books, 2010.

Brigo, D., Pallavicini, A. and Torresetti, R. (2010). Credit Models and the Crisis: default cluster dynamics and the Generalized Poisson Loss model. To appear in the Journal of Credit Risk.

W. Shaw, 2010, Monte Carlo Portfolio Optimization for General Investor Risk-Return Objectives and Arbitrary Return Distributions: a Solution for Long-only Portfolios, SSRN

D. Brigo, C. Nordio , 2010, Liquidity-Adjusted Market Risk Measures with Stochastic Holding Period, SSRN or arXiv

T. Aste, W. Shaw, T Di Matteo, 2010, Correlation structure and dynamics in volatile markets, New Journal of Physics 12 085009, doi: 10.1088/1367-2630/12/8/085009, journal link

P. Emms, 2010. "Relative choice models for income drawdown in a defined contribution pension scheme". North American Actuarial Journal (to appear).

T. Aste and T, Di Matteo, "Introduction to Complex and Econophysics Systems: a navigation map", in "Complex Physical, Biophysical and Econophysical Systems", World Scientific Lecture Notes in Complex Systems - Vol. 9, ed. R.L. Dewar and F. Detering. In press. book details.

F. Pozzi, T. Aste, T. Di Matteo, "The use of dynamical networks to detect the hierarchical organization of financial market sectors", The European Physical Journal B, Vol. 73, No. 1, Jan 2010, pp 3-11, DOI: 10.1140/epjb/e2009-00286-0, Journal link.

E. Hoyle, L.P. Hughston and A. Macrina, "Levy Random Bridges and the Modelling of Financial Information" Kyoto Institute of Economic Research Discussion Paper No. 693, January 2010. arXiv:0912.3652

L.P. Hughston and A. Macrina, "Pricing Fixed-Income Securities in an Information-Based Framework" Kyoto Institute of Economic Research Discussion Paper No. 692, January 2010. arXiv:0911.1610

L.P. Hughston and A. Macrina, "Discrete-Time Interest Rate Modelling" Kyoto Institute of Economic Research Discussion Paper No. 691, January 2010. arXiv:0911.0750

D. Brigo, and El-Bachir, N., 2010. "An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model". Mathematical Finance, Volume 20, Issue 3, July 2010, Pages: 365-382. Earlier preprint version.

D. Brigo, A. Pallavicini and R. Torresetti, "Credit Models and the Crisis: A journey into CDOs, Copulas, Correlations and Dynamic Models". Wiley, 2010. Extract

T. Bielecki, D. Brigo, and F. Patras (Editors). "Credit Risk Frontiers: Sub- prime crisis, Pricing and Hedging, CVA, MBS, Ratings and Liquidity", Wiley, Forthcoming.

Brigo, D. and Capponi, A. "Bilateral counterparty risk with application to CDSs". Risk Magazine, March 2010. Earlier extended version from arXiv

Morini, M., and Brigo, D., 2010. "No-Armageddon Arbitrage-free Equivalent Measure for Index options in a credit crisis". To appear in Mathematical Finance. Related earlier report.

Brigo, D., Morini, M., and Tarenghi, M. "Credit Calibration with Structural Models and Equity Return Swap valuation under Counterparty Risk". In: Bielecki, Brigo and Patras (Editors), Credit Risk Frontiers: Sub- prime crisis, Pricing and Hedging, CVA, MBS, Ratings and Liquidity, Wiley, forthcoming. Related earlier report.

D. Brigo, M. Predescu and A. Capponi. "Liquidity modeling for Credit Default Swaps: an overview". In: Bielecki, Brigo and Patras (Editors), Credit Risk Frontiers: Sub- prime crisis, Pricing and Hedging, CVA, MBS, Ratings and Liquidity, Wiley, forthcoming. Related earlier report.

J. Beumee, D. Brigo, G. Stoyle. "Charting a Course through the CDS big bang". In: Wigan, D. (Editor), Credit Derivatives: The March to Maturity, Thomson Reuters, 2010. Related earlier report.

Brigo, D., Pallavicini, A., and Papatheodorou, V. "Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlations". arXiv preprint.



2009

P. Emms, P. "Optimising income drawdown in the dual space". Available at SSRN link.

P. Emms, "Lifetime investment and consumption using a defined-contribution pension scheme". Available at SSRN link.

P. Emms and S. Haberman, "Optimal Management of an insurer's exposure in a competitive general insurance market". North American Actuarial Journal Vol 13, No, 1, pp. 77-105. link

K. Park, S. Kim, and W.T. Shaw, "Estimation of the Pricing of Bond Options on the Arbitrage-free Model with Jump using Stochastic Simulation Procedure," IEEE, Proceedings of the International Conference on Information Science and Engineering (ICISE 009), to appear.

T. Aste, T. Di Matteo and G.W. Delaney, "The pursuit of loosest packing", in AIP conference proceedings, Powders and Grains 2009, pp. 203-206, 2009

F. Pozzi, T. Aste, W. Shaw and T. Di Matteo, "The use of topological quantities to detect hierarchical properties in financial markets: the Financial Sector in NYSE", in Proceedings of the 10th WSEAS Int. Conference on Mathematics and Computers in Business and Economics (2009) ISSN: 1790-5109, ISBN: 978-960-474-063-5, pp. 301-304.

K. Park, S. Kim, and W.T. Shaw, "New Approach for the Pricing of Bond Option Using the Relation between the HJM Model and the BGM Model," Springer-Verlag, LNCS 5593, pp. 594-604, June 2009 (ICCSA 2009) journal link.

W.T. Shaw and A. Munir, 2009. Dependency without Copulas or Ellipticity, European Journal of Finance,Vol 15, Nos 7-8, October-December 2009, pp 661-674. Special Issue on Copulae and Multivariate Probability Distributions in Finance. DOI 10.1080/13518470802697402, Journal link.

W.T. Shaw and N. Brickman, 2009. Differential equations for Monte Carlo recycling and a GPU-optimized Normal quantile. Working paper. arXiv:0901.0638v3 [q-fin.CP]

E. Yu & W.T. Shaw, 2009, On the valuation of derivatives with snapshot reset features. International Journal of Theoretical and Applied Finance, Vol 11, Issue 8, 905-941. DOI 10.1142/S0219024908005081, Journal Link.

W.T. Shaw, 2009. A simple resolution of Stokes' paradox? Working paper. arXiv:0901.3621v1 [physics.flu-dyn]


2008

Emms, P. 2008. A Stochastic Demand Model for Optimal Pricing of Non-Life Insurance Policies. In Mathematical Control Theory and Finance. Eds A. Sarychev, A. Shiryaev, M. Guerra & M. do Rosario Grossinho, Springer-Verlag, 113-136.

Shaw, W.T., 2008, Share price movements in the post-credit-crunch environment. Working Paper (revised Dec 08). PDF. arxiv:0811.0182v2

Emms, P. & Haberman, S. 2008. Income drawdown schemes for a defined-contribution pension plan. Journal of Risk and Insurance 75(3), 739-761. doi:10.1111/j.1539-6975.2008.00282.x Journal Link.

C. Buescu, M. Taksar, 2008, Optimal portfolio management in markets with asymmetric taxation, Journal of Computational Finance, 11(4), 99-124. Journal Link.

A. Jack, T.C. Johnson and M. Zervos, 2008, A singular control model with application to the goodwill problem. Stochastic Processes and their Applications, Vol 118 (11), pp 2098-2124. doi:10.1016/j.spa.2008.01.001 Journal Link

Haworth, H., Reisinger, C., and Shaw, W.T., 2008, Modelling Bonds & Credit Default Swaps using a Structural Model with Contagion. Quantitative Finance, Vol 8 No 7, 669-680. doi:10.1080/14697680701834614, Journal Link.

J.N. Dewynne and W.T. Shaw, 2008, Differential equations and asymptotic solutions for arithmetic Asian options: `Black-Scholes formulae' for Asian rate calls, European Journal of Applied Mathematics Vol 19 (4), pp 353-391. doi:10.1017/S095679250800750X Journal Link.

G. Steinbrecher and W.T. Shaw, 2008, Quantile Mechanics, European Journal of Applied Mathematics Vol 19 (2), pp 87-112. doi:10.1017/S0956792508007341 Journal Link.

S. Asmussen, D. Madan & M.R. Pistorius (2008), Pricing equity default derivatives under an approximation to the CGMY Levy Model. Journal of Compuational Finance, 11 (2), pp 79-93. [PDF], arXiv:0711.2807

F. Avram, Z. Palmowski & M.R. Pistorius (2008), A two-dimensional ruin problem on the positive quadrant. Insurance: Mathematics and Economics, Vol. 42, pp 227-234. [PDF], arXiv:0711.2465

D.C. Brody, L.P. Hughston & A. Macrina (2008) Information-Based Asset Pricing. International Journal of Theoretical and Applied Finance Vol. 11, 107-142. ArXiv: math-pr 0704.1976v1 [PDF]

D.C. Brody, L.P. Hughston & A. Macrina (2008) Dam Rain and Cumulative Gain. Proc. Roy. Soc. Lond. A464, 2095, pp 1801-1822. ArXiv: math-pr 0710.2277 [PDF]

L.P. Hughston & A. Macrina (2008) Information, Interest, and Inflation. In Advances in Mathematics of Finance. L. Stettner, ed. (Warsaw: Banach Center publications). ArXiv: math-pr 0710.2876 [PDF]

A. Lokka & M. Zervos (2008), Optimal dividend and issuance of equity policies in the presence of proportional costs. To appear in Insurance Mathematics and Economics.


2007

F. Avram, Z. Palmowski & M.R. Pistorius (2007) On the optimal dividend problem for a spectrally negative LÚvy process. Annals of Applied Probability, Vol. 17, No. 1, 156-180. [PDF]

C. M. Bender, D. C. Brody, L. P. Hughston & B. K. Meister (2007) Geometry of PT-symmetric quantum mechanics (submitted). arXiv: hep-th/0704.2959. [PDF]

D. C. Brody, I.R.C. Buckley & I.C. Constantinou (2007) Option price calibration from Renyi entropy. Physics Letters A366, 298-307.

D. C. Brody, A. Gustavsson, & L. P.Hughston (2007) ôEntanglement of three-qubit geometry''. In: Proceedings of the Third International Workshop on Decoherence, Information, Complexity and Entropy, Journal of Physics: Conference Series, 67 012044-1~6. [PDF]

D. C. Brody, D. W. Hook & L. P. Hughston (2007) Unitarity, ergodicity, and quantum thermodynamics. J. Phys. A40, F503-F509. ArXiv: quant-ph/0702009 [PDF]

D.C. Brody, D.W. Hook & L.P. Hughston (2007) Quantum phase transitions without thermodynamic limits. Proc. Roy. Soc. Lond. A463, 2021-2030. ArXiv: quant-ph/0511162. [PDF]

D. C. Brody, D. W. Hook & L. P. Hughston (2007) On quantum microcanonical equilibrium. In: Proceedings of the Third International Workshop on Decoherence, Information, Complexity and Entropy. Journal of Physics: Conference Series, 67, 012025-1~6. [PDF]

D.C. Brody, L.P. Hughston & A. Macrina (2007) Beyond hazard rates: a new approach to credit risk modelling. In: Advances in Mathematical Finance, Festschrift volume in honour of Dilip Madan, eds. R. Elliott, M. Fu, R. Jarrow, & Ju-Yi Yen (Basel: Birkhauser). [PDF]

J. Dewynne & W.T. Shaw (2007) Differential Equations and Asymptotic Solutions for Arithmetic Asian Options: ''Black-Scholes formulae" for Asian-Rate Calls (submitted). [PDF]

T.C. Johnson & M. Zervos (2007) The solution to a second order linear ordinary differential equation with a non-homogeneous term that is a measure. Stochastics, Vol. 79, 363-382.

A. Lokka (2007) Detection of disorder before an observable event. Stochastics, Vol. 79, 219-231. [PDF]

A. Merhi & M. Zervos (2007) A Model for Reversible Investment Capacity Expansion, SIAM Journal on Control and Optimization (to appear).

M. R. Pistorius (2007) An excursion theoretical approach to some boundary crossing problems and the Skorokhod embedding for reflected LÚvy processes. SÚminaire de ProbabilitÚs XL, 287 - 308. [PDF]

W.T. Shaw & K.T.A. Lee (2007) Bivariate Student t distributions with variable marginal degrees of freedom and independence. J. Multivariate Analysis (2007), doi:10.1016/j.jmva.2007.08.006

W.T. Shaw (2007) Refinement of the Normal Quantile (working paper). [PDF]

W.T. Shaw & I.R.C. Buckley (2007) The alchemy of probability distributions: beyond Gram-Charlier & Cornish-Fisher Expansions, and skew-normal or kurtotic-normal distributions, presentation at the First IMA Conference on Computational Finance, March 2007. arXiv:0901.0434v1, link


2006

D.C. Brody, I.C. Constantinou, J.D.C. Dear & L.P. Hughston (2006). Exactly solvable quantum state reduction models with time-dependent coupling. J. Phys. A, Vol. 39, 11029-11051. [PDF]

D.C. Brody & L.P. Hughston (2006) Quantum noise and stochastic reduction. J. Phys. A, Vol. 39, 833-876. [PDF]

D.C. Brody & L.P. Hughston (2006) Quantum states and space-time causality. In Proceedings of the 2nd International Symposium on Information Geometry and its Applications, 12-16 December 2005, Tokyo, Japan. ArXiv: quant-ph/0601020. [PDF]

A.L. Bronstein, L.P. Hughston, M.R. Pistorius & M. Zervos (2006) Discretionary stopping of one-dimensional Ito diffusions with a staircase reward function. J. Applied Probability, Vol. 43, 984-996. [PS, PDF]

A.L. Bronstein & M. Zervos (2006) Sequential entry and exit decisions with an ergodic performance criterion. Stochastics, Vol. 78, 99-121.

I.R.C. Buckley, D. Saunders & L. Seco (2006) Portfolio optimization when assets have the Gaussian mixture distribution, European Journal of Operations Research, doi:10.1016/j.ejor.2005.03.080

H. Haworth, C. Reisinger & W.T. Shaw (2006) Modelling bonds and credit default swaps using a structural model with contagion (submitted). [PDF]

V. Henderson, D. Hobson, W.T. Shaw & R. Wojakowski (2006) Bounds for in-progress floating-strike Asian options using symmetry. Annals of Operations Research (on-line edition published 18 Nov 06). [on-line edition]

A. Jack & M. Zervos (2006) Impulse control of one-dimensional It˘ diffusions with an expected and a pathwise ergodic criterion. Applied Mathematics and Optimization, Vol. 54, 71-93.

A. Jack & M. Zervos (2006) A Singular Control Problem with an expected and a pathwise ergodic performance criterion. J. Applied Mathematics and Stochastic Analysis, Vol. 2006, Article 82538, 1-19.

A. Jack & M. Zervos (2006) Impulse and absolutely continuous ergodic control of one-dimensional It˘ diffusions. In: From Stochastic Analysis to Mathematical Finance, Festschrift for Albert Shiryaev (Y. Kabanov, R. Liptser & J. Stoyanov, eds.) 295-314, Springer.

A. Jack & M. Zervos (2006) Financial and real options: a unifying framework with a market completeness assumption (working paper).

S. Jewson & M. Zervos (2006) No-arbitrage pricing of weather derivatives in the presence of a liquid swap market (working paper).

T.C. Johnson & M. Zervos (2006) A discretionary stopping problem with applications to the optimal timing of investment decisions (working paper).

J.B. Lasserre, T. Prieto-Rumeau & M. Zervos (2006) Pricing a class of exotic options via moments and SDP relaxations. Mathematical Finance, Vol. 16, 469-494.

A. Lokka & F. Proske (2006) Infinite dimensional analysis of pure jump Levy processes on the Poisson space. Mathematica Scandinavica Vol. 98, 237-261.

A. Lokka & M. Zervos (2006) Long-term optimal real investment strategies in the presence of adjustment costs (working paper).

D. Melas & M. Zervos (2006) Optimal control of Ito diffusions with an ergodic criterion and external parameters (working paper).

A. Merhi & M. Zervos (2006) Irreversible capacity expansion with proportional and fixed costs. SIAM J. of Control and Optimization (to appear).

M.R. Pistorius (2006) On maxima and ladder processes for a dense class of LÚvy processes, J. Applied Probability, Vol. 43, 208-220. [PDF]

W.T. Shaw (2006) Sampling Student's T distribution - use of the inverse cumulative distribution function. J. Computational Finance, Vol. 9, No. 4, 37-73. [PDF]

W.T. Shaw (2006) Complex Analysis with Mathematica. Cambridge University Press. [further information]

W.T. Shaw & K.T.A. Lee (2006) Copula methods vs canonical multivariate distributions: the multivariate Student distribution with general degrees of freedom (submitted). [PDF]


2005

S. Asmussen, D. Madan & M.R. Pistorius (2005) Pricing Equity Default Swaps under the CGMY LÚvy Model (submitted). [PDF]

D. C. Brody, I. R. C. Buckley, I. C. Constantinou & B. K. Meister (2005) Entropic calibration revisited, Physics Letters A, Vol. 337, 257-264.

D. C. Brody, D. W. Hook & L. P. Hughston (2005) Microcanonical distributions for quantum systems (submitted). [PDF]

D. C. Brody & L. P. Hughston (2005) Twistor Cosmology and Quantum Space-Time, in Proceedings of the XIXth Max Born Symposium, Institute of Theoretical Physics, Wroclaw (J. Lukierski and D. Sorokin, eds., American Institute of Physics). ArXiv: hep-th/0502218 [PDF]

D. C. Brody & L. P. Hughston (2005) Finite-time stochastic reduction models. J. Math. Phys. Vol. 46, 082101, 1-7. ArXiv: quant-ph/0503231. [PDF]

D. C. Brody & L. P. Hughston (2005) Theory of Quantum Space-Time. Proc. Roy. Soc. Lond. A462, 2679-2699. ArXiv: gr-qc/0406121 [PDF]

C. Cuthbertson, G. Pavliotis, A. Rafailidis & P. Wiberg (2005) Asymptotic Analysis for Foreign Exchange Derivatives with Stochastic Volatility (working paper). [PDF]

S. D. Howison, A. Rafailidis & H. O. Rasmussen (2005) On the Pricing and Hedging of Volatility Derivatives, Applied Mathematical Finance, Vol. 11, No. 4, 317 - 346. [PDF]

L.P. Hughston & A. Rafailidis (2005) A Chaotic Approach to Interest Rate Modelling, Finance and Stochastics, Vol. 9, No. 1, 43 - 65. [PDF]

T. C. Johnson & M. Zervos (2005) A discretionary stopping problem with applications to the optimal timing of investment decisions (submitted).

A. Lokka & M. Zervos (2005) Optimal dividend and issuance of equity policies in the presence of proportional costs ( submitted).

A. Lokka & M. Zervos (2005) A model for the long-term optimal capacity level of an investment project (submitted).

M. R. Pistorius (2005) American and barrier options under stochastic volatility and jumps (submitted). [PDF]

M.R. Pistorius (2005), A potential theoretical review of some exit problems of spectrally negative Lévy processes, Seminaire de Probabilites, Vol. 38, 30-41. [PS] [PDF]


2004

S. Asmussen, F. Avram & M.R. Pistorius (2004), Russian and American put options under exponential phase-type Lévy models. Stochastic Processes and their Applications, Vol.109, 79-111. [PS] [PDF]

F. Avram, A.E. Kyprianou & M.R. Pistorius (2004), Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options. The Annals of Applied Probability, Vol.14, 215-238. (Unabridged version: [PS] [PDF])

D. C. Brody, I. R. C. Buckley & B. K. Meister, Preposterior analysis for option pricing. Quantitative Finance, Vol. 4, No. 4., 465-477

D.C. Brody & L.P. Hughston (2004) Chaos and Coherence: a New Framework for Interest Rate Modelling. Proc. Roy. Soc. Lond. A, Vol. 460, 85-110. [PDF]

I. R. C. Buckley, D. Saunders & L. Seco (2004) Portfolio Optimization when Assets have the Gaussian Mixture Distribution. European Journal of Operations Research, to appear.

L.P. Hughston (2004) Axiomatic Interest Rate Theory, plenary lecture delivered at the Derivatives Day Amsterdam meeting, 3 June 2004, at ING Amsterdam, sponsored by the Derivatives Technology Foundation (based on work carried out in collaboration with D. C. Brody and A. Rafailidis). [PDF]

L. P. Hughston (2004) International Models for Interest rates and Foreign Exchange: A General Framework for the Unification of Interest Rate Dynamics and Stochastic Volatility Modelling, presentation made at the ICBI Global Derivatives and Risk Management 2004 conference in Madrid, 27 May 2004 (based in part on work carried out in collaboration with D. C. Brody and A. Rafailidis). [PDF]

L. P. Hughston (1998) Inflation Derivatives, working paper (with added note, 2004). [PDF]

G. Iori & V. Koulovassilopoulos (2004) Patterns of consumption in a discrete choice model with asymmetric interactions in Economic Complexity: Nonlinear Dynamics, Multiagent Economies, and Learning (W. Barnett, C. Deissenberg and G. Feichtinger, eds.) ISETE Vol. 14, Elsevier, Amsterdam. [PDF]

G. Iori, J. Ortin & L. Carrillo (2004) Statistics of avalanches in the $T=0$ Random Field Ising Model Driven at Finite Rate (working paper).

G. Iori, S. Jafarey & F. Padilla (2004). Inter Bank Lending, Reserve Requirements and Systemic Risk (submitted). [PDF]

G. Iori, F. Padilla & M. Zervos (2004) Optimal limit order strategies (working paper).

G. Iori (2004) An analysis of liquidity and systemic risk in alternative securities settlement architectures, working paper.

A. Lokka (2004), Martingale representation of functionals of Levy processes, Stochastic Analysis and Applications Vol. 22, No. 4.

A. Lokka, B. Oksendal & F. Proske (2004) Stochastic partial differential equations driven by Levy space-time white noise. The Annals of Applied Probability.

M.R. Pistorius (2004) On exit and ergodicity of the completely asymmetric Lévy process reflected at its infimum. Journal of Theoretical Probability, Vol. 17(1), 183-220. [PS] [PDF]

M.R. Pistorius (2004) Lévy processes. Entry in Encyclopedia of Actuarial Sciences, Vol. 2, 965-973.

O. Precup & G. Iori (2004) High-frequncy cross-correlations dynamics in US Equity Markets (working paper).


2003

F.Avram, M.R.Pistorius & M. Usabel (2003), The two barriers ruin problem via a Wiener Hopf decomposition approach. Annalele Universitatii din Craiova, Vol. 30(1), 38-44.

F. E. Benth & A. Lokka (2003) Anticipative calculus for Levy processes and stochastic differential equations (submitted).

F.E. Benth, G. Di Nunno, A. Lokka, B. Oksendal & F. Proske (2003). Explicit representation of the minimal variance portfolio in markets driven by Levy processes. Mathematical Finance Vol. 13, 55-72.

D.C. Brody, L.P. Hughston & J. Syroka (2003) Relaxation of Quantum States under Energy Perturbations. Proc. Roy. Soc. Lond. A, Vol. 459, 2297-2316. [PDF]

I. R. C. Buckley, G. Comeza˝a, B. Djerroud & L. Seco (2003) Portfolio optimization for alternative investments. In: Seminario de matematica Financiera Instituto MEFF-RiskLab, Madrid (Carrillo-Sanchez Calle, ed.) Vol. 3, 1-15. ISBN 84-688-2450-X.

Marcus G. Daniels, J. D. Farmer, L. Gillemot, G. Iori & E. Smith (2003) Quantitative model of price diffusion and market friction based on trading as a mechanistic random process. Phys. Rev. Lett. Vol. 90, No. 10, 108-102.[PDF]

L. P. Hughston (2003) The Past, Present, and Future of Term Structure Modelling, Chapter 7 in: Modern Risk Management: A History, introduced by Peter Field, ISBN 1-904339-05-0, Risk Publications. [PDF]

G. Iori, M.G.Daniel, J. D. Farmer, L.Gillemot, S. Krishnamurthy & E. Smith (2003) An analysis of price impact function in order driven markets, Physica A, Vol 324 146-151. [PDF]

A.E. Kyprianou & M.R. Pistorius (2003) Perpetual options and Canadization through fluctuation theory. The Annals of Applied Probability, Vol.13, 1077-1098.

M.R. Pistorius (2003) On doubly reflected completely asymmetric Lévy processes. Stochastic Processes and their Applications, Vol. 107, 131-143. [PS] [PDF]

M.R. Pistorius (2003) A direct approach to existence and characterization of optimal consumption and investment in semimartingale markets (submitted).

M. Zervos (2003) A Problem of Sequential Entry and Exit Decisions Combined with Discretionary Stopping. SIAM Journal on Control and Optimization, Vol.42, 397-421.


2002

D.C. Brody, J. Syroka & M. Zervos (2002) Dynamical Pricing of Weather Derivatives, Quanitative Finance, Vol.2, 189-198.

D. C. Brody & L. P. Hughston (2002) Stochastic Reduction Models in Nonlinear Quantum Mechanics, Proc. Roy. Soc. Lond. A458, 1117-1127. [PDF]

D.C. Brody & L. P. Hughston (2002) Entropy and Information in the Interest Rate Term Structure. Quantitative Finance, Vol. 2, 70-80. [PDF]

D.C. Brody & L. P. Hughston (2002) Efficient Simulation of Quantum State Reduction. J. Math. Phys., Vol. 43, No. 11, 5254-5261. [PDF]

C. Chiarella & G. Iori (2002), Simulation Analysis of the Microstructure of Double Auction Markets, Quantitative Finance, Vol. 2, No. 5, 346-353. A[PDF]

S. D. Howison, A. Rafailidis & H. O. Rasmussen (2002) A note on the Pricing and Hedging of Volatility Derivatives, Presented at the Bachelier Finance Society 2nd World Congress, Crete. [PDF]

L.P. Hughston (2002) Symbolic Meaning for Numbers, in GARP Risk Review, Issue 7, July/August 2002, p. 41, review of Mathematical Methods for Foreign Exchange, by A. Lipton, World Scientific Press.

L.P. Hughston & K.P. Tod (2002), Stochastic Schrodinger Evolution and Symmetric Kahler Manifolds of Low Dimension (quant-ph/0212107, submitted). [PDF]

G. Iori (2002) A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions, Journal of Economic Behaviour and Organization, Vol. 49, no. 1, 269-285. [PDF]

M.Q. Lopez-Salvans, G. Iori, J. Casademunt & F. Sagues (2002) Dynamics of finger arrays in a diffusion-limited growth model in the presence of a drift, Physica D, Vol. 164, 127-151. [PDF]


2001

S.A. Adler, D.C. Brody, L.P. Hughston & T.A. Brun (2001) Martingale Models for Quantum State Reduction, J. Phys. A, Vol. 34, 8795-8820. [PDF]

E.J. Balder & M.R. Pistorius (2001) On an optimal consumption problem for p-integrable consumption plans. Economic Theory, Vol.17, 721-737.

D.C. Brody & L.P. Hughston (2001) Applications of Information Geometry to Interest Rate Theory. In: Disordered and Complex Systems, P. Sollich, T. Coolen, L. P. Hughston & R. F. Streater, eds. (AIP), pp. 281-288. [PDF]

D. C. Brody & L. P. Hughston (2001) Interest Rates and Information Geometry, Proc. Roy. Soc. London A, Vol. 457, 1343-1363. [PDF]

D. C. Brody & L. P. Hughston (2001) Geometric Quantum Mechanics, J. Geom. and Phys., Vol. 38, No. 1, 19-53. [PDF]

D.C. Brody & L.P. Hughston (2001) Petrov Classification and Rational Quartic Curve, Imperial College and King's College London preprint. [PDF]

K. Duckworth & M. Zervos (2001), A Model for Investment Decisions with Switching Costs, The Annals of Applied Probability, Vol.11, No.1, 239-260.

L. P. Hughston (2001) A Novel Approach to Quantum Gravity. In: Further Advances in Twistor Theory, Vol. III: Curved Twistor Spaces, Research Notes in Mathematics 424, Chapman & Hall/CRC, 367-369.

L.P. Hughston, P.Z. Kobak, L.J. Mason & K. Pulverer, eds. (2001) Further Advances in Twistor Theory, Volume III: Curved Twistor Spaces, Research Notes in Mathematics, Vol. 424, xxii + 405, ISBN 1-58488-047-3, Chapman & Hall/CRC.

L.P. Hughston & S.M. Turnbull (2001) Credit Risk: Constructing the Basic Building Blocks. Economic Notes, Vol. 30, No. 2, 281-292.

L. P. Hughston & M. Zervos (2001) Martingale Approach to the Pricing of Real Options. In: Disordered and Complex Systems, P. Sollich, T. Coolen, L. P. Hughston & R. F. Streater, eds (AIP), pp. 325-330.

G.Iori (2001) Scaling and Multiscaling in Financial Markets, Disordered and Complex Systems, ed. P.Sollich et al., AIP Conference Proceedings, Vol 553, 297-302.[PDF]

G. Iori & S. Jafarey (2001), Criticality in a model of banking crisis. Physica A 299, 205-212. [PDF]

R.R. Lumley & M. Zervos (2001) A Model for Investments in the Natural Resource Industry with Switching Costs, Mathematics of Operations Research, vol.26, no.4, pp.637-653.

P. Sollich, T. Coolen, L.P. Hughston & R.F. Streater, eds (2001) Disordered and Complex Systems, xii + 332 pp., AIP Conference Proceedings, Vol. 553, ISBN 1-56396-983-1, American Institute of Physics.


2000

P. Balland & L. P. Hughston (2000) Markov Model Consistent with Caplet Smile, International Journal of Theoretical and Applied Finance, Vol. 3, No. 2, 161-181. [PDF]

D.C. Brody & L. P. Hughston (2000) Information Content for Quantum States J. Math. Phys., Vol. 41, No. 5, 2586-2592. [PDF]

K. Duckworth & M. Zervos (2000) An Investment Model with Entry and Exit Decisions, Journal of Applied Probability, Vol.37, No.2, 547-559.

K. Duckworth & M. Zervos (2000) A Problem of Stochastic Impulse Control with Discretionary Stopping, 39th IEEE Conference on Decision and Control, Sydney, Australia, 222-227, 12-15 December 2000.

L.P. Hughston, ed. (2000) The New Interest Rate Models: Recent Developments in the Theory and Application of Yield Curve Dynamics, xxxiv + 346 pp., ISBN 1-899-332-97-9, Risk Publications.

L.P. Hughston & S.M. Turnbull (2000) Credit Derivatives Made Simple, Risk, Vol. 13, No. 10, 36-43. Reprinted (2003) as Chapter 1 in: Credit Risk Modelling, The Cutting-edge Collection: Technical Papers published in Risk 1999-2003, edited by Michael Gordy, Risk Books ISBN 1 094 339 085. Japanese translation published as Credit Derivative no Kanryakuka, pp. 50-54 in Risk Japan, Vol. 1, No. 1 (2001).

L.P. Hughston (2000) Not for the Fainted-Hearted Risk, Vol. 13, No. 2, 59. Review of: a Non-Random Walk Down Wall Street by A.W. Lo & A.C. Mackinlay, Princeton University Press.

G.Iori (2000), A threshold model for stock return volatility and trading volume, International Journal of Theoretical and Applied Finance, Vol 3, No 3, 467-472.[PDF]

I. Karatzas, D. Ocone, H. Wang & M. Zervos (2000), Finite-Fuel Singular Control with Discretionary Stopping. Stochastics and Stochastics Reports, Vol.71, No.1-2, 1-50.

E.P.K. Tsang, J. Ki, S. Markose, H. Er, A. Salhi & G.Iori (2000) EDDIE In Financial Decision Making. Journal of Management and Economics, Vol. 4, No. 4. [PDF]

C. Voeltz, M. Schroter, G. Iori, A. Betat, A. Lange, A. Engel & I. Rehberg (2000). Finger-like Patterns in Sedimenting Water-Sand Suspensions, Phys. Rep. 337, 117-138. [PDF]

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