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[ v1] Modelling Information Flows in Financial Markets
arxiv.org
Authors: Dorje C. Brody, Lane P. Hughston, Andrea Macrina. (Submitted on 27 Apr 2010). Abstract: ... Methods for Finance", p , (Berlin: Springer 2011).
Inventory Management in Customised Liquidity Pools by M. Alessandra...
papers.ssrn.com
Andrea Macrina. University College London; University of Cape Town (UCT). Date Written: January 30,
Conference on Current Topics in Mathematical Finance | Vienna
mafin2013.wu.ac.at
The Vienna University of Business and Economics is proud to host the Conference on Current Mathematical Topics on April ,2013.
Applied and Numerical Harmonic Analysis doc - Tài liệu text
text.123docz.net
Berlin Michael C. Fu Robert H. Smith School of Business Van Munching Hall introduced in the piece by Dorje Brody, Lane Hughston, and Andrea Macrina.
[ ] Consistent Valuation Across Curves Using Pricing Kernels
arxiv.org
Submission history. From: Andrea Macrina [view email] [v1] Mon, 15 Jan :42:26 UTC (35 KB) [v2] Fri, 16 Feb :33:30 UTC (
Emerging Issues In Quantitative Finance And Risk ...metrolagu.site › download › emerg...
metrolagu.site
Download lagu Emerging Issues In Quantitative Finance And Risk Management Andrea Macrina 6.3MB dan Streaming Kumpulan Lagu Emerging Issues In ...
[ v1] Credit Risk, Market Sentiment and Randomly-Timed Default
arxiv.org
Authors: Dorje C. Brody, Lane P. Hughston, Andrea Macrina. (Submitted on 15 Jun 2010) ... "Stochastic Analysis 2010", p (Berlin: Springer 2011).
AAD and Least-Square Monte Carlo: Fast Bermudan-Style Options and XVA...
papers.ssrn.com
Andrea Macrina. University College London; University of Cape Town (UCT). Date Written: September 23,
5th Winter school on Financial Mathematics, abstracts
staff.fnwi.uva.nl
[1] Dorje C. Brody, Lane P. Hughston and Andrea Macrina (2005), Beyond hazard rates: a new framework for credit-risk modelling. Monique Jeanblanc: Pricing ...
[ ] Multiple barrier-crossings of an Ornstein-Uhlenbeck...
arxiv.org
Authors:Yupeng Jiang, Andrea Macrina, Gareth W. Peters. (Submitted on 14 Feb 2019). Abstract: We investigate the joint distribution and the ...
Continuous Equilibrium in Affine and Information-Based Capital Asset...
papers.ssrn.com
We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may no
[ ] Conditional Density Models for Asset Pricing
arxiv.org
Submission history. From: Andrea Macrina [view email] [v1] Thu, 21 Oct :46:54 GMT (18kb) [v2] Fri, 11 Nov :36:55 GMT (19kb).
Credit Risk, Market Sentiment and Randomly-Timed Default – ScienceOpen
www.scienceopen.com
We propose a model for the credit markets in which the random default times
of bonds are assumed to be given as functions of one or more independent
[ ] Heat Kernel Framework for Asset Pricing in Finite Time
arxiv.org
Submission history. From: Andrea Macrina [view email] [v1] Mon, 5 Nov :06:26 GMT (53kb,D) [v2] Thu, 26 Sep :18:03 GMT ...
Multiple Barrier-Crossings of an Ornstein-Uhlenbeck Diffusion in...
papers.ssrn.com
See all articles by Yupeng Jiang · Yupeng Jiang. University College London. Andrea Macrina. University College London; University of Cape ...
Program Abstract - Monte Carlo Dynamic Classifierwww.ismvideo.org › STM2018
www.ismvideo.org
Dr. Andrea Macrina (UCL). Time. 09: :30 on 27 February (Tue). Title. Multiple barrier-crossings of an Ornstein-Uhlenbeck diffusion in consecutive periods.
[ v1] Heat Kernel Interest Rate Models with...
arxiv.org
Title: Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes. Authors: Jiro Akahori, Andrea Macrina. (Submitted on
Stable-½ Bridges and Insurance by Edward Hoyle, Lane Hughston, Andrea...
papers.ssrn.com
We develop a class of non-life reserving models using a stable-½ random bridge to simulate the accumulation of paid claims, allowing for an essentially arb
[ ] Modelling Information Flows in Financial Markets
arxiv.org
... Flows in Financial Markets. Authors:Dorje C. Brody, Lane P. Hughston, Andrea Macrina ... for Finance", p , (Berlin: Springer 2011).
participants - Homepages of UvA/FNWI staff - Universiteit van ...staff.fnwi.uva.nl › winterschool
staff.fnwi.uva.nl
... Groningen Wuerth Andreas UvT Tilburg ... Mr. Andrea Macrina Department of Mathematics London ...
Quantitative Finance authors/titles May (5 skipped)
arxiv.org
Authors: M. Alessandra Crisafi, Andrea Macrina. Subjects: Mathematical Finance (q-fin.MF); Trading and Market Microstructure (q-fin.TR). [11] arXiv:
[ ] Rational Multi-Curve Models with Counterparty-Risk...
arxiv.org
... Models with Counterparty-Risk Valuation Adjustments. Authors: Stephane Crepey, Andrea Macrina, Tuyet Mai Nguyen, David Skovmand.
[ ] Stochastic Modelling with Randomised Markov Bridges
arxiv.org
Submission history. From: Andrea Macrina [view email] [v1] Wed, 5 Nov :19:03 UTC (8 KB) [v2] Thu, 14 Sep :54:51 UTC ( Missing: Ministerio relaciones Exteriores"
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