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Efficient computation of the optimal strikes in the comonotonic upper bound for an arithmetic Asian option
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Uncertainty quantification of derivative instruments
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Model risk and discretisation of locally risk-minimising strategies
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- PhD Thesis
- open access
Quantifying model uncertainty in financial markets
(2016) -
- Journal Article
- A1
- open access
Analytical approximation for distorted expectations
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Comment: 'On approximating deep in-the-money Asian options under exponential Lévy processes'
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An efficient semi-analytical simulation for the Heston model