Browsing by Author Hulley, H

Showing results 1 to 15 of 15
Issue DateTitleAuthor(s)
1-May-2019Weak tail conditions for local martingalesHulley, H; Ruf, J
2019Weak tail conditions for local martingalesHulley, H; Ruf, J
2018Are mutual fund investors paying for noise?Casavecchia, L; Hulley, H
2-Mar-2015Quadratic hedging of basis riskHulley, H; McWalter, T
1-Jan-2014Optimal prediction of the last-passage time of a transient diffusionGlover, K; Hulley, H
1-Jun-2013Three-dimensional brownian motion and the golden ratio ruleGlover, K; Hulley, H; Peskir, G
1-Jan-2013Means-Tested Public Pensions, Portfolio Choice and Decumulation in RetirementHulley, H; McKibbin, R; Pedersen, A; Thorp, S
1-May-2012Hedging for the long runHulley, H; Platen, E
Jan-2011A visual criterion for identifying Ito diffusions as martingales or strict local martingalesHulley, H; Platen, E; Dalang, R; Sozzi, M; Russo, F
1-Jan-2010M-6-On Minimal Market Models and Minimal Martingale MeasuresHulley, H; Schweizer, M; Chiarella, C; Novikov, A
Jan-2010The effect of idiosyncratic risk-taking on mutual fund performance and feesCasavecchia, L; Hulley, H; al, AAE
2010The Economic Plausibility of Strict Local Martingales in Financial ModellingHulley, H
2009Strict local martingales in continuous financial market modelsHulley, H
Jan-2008Laplace transform identities for diffusions, with applications to rebates and barrier optionsHulley, H; Platen, E; Stettner, L
Jan-2005Benchmarking and fair pricing applied to two market modelsHulley, H; Miller, S; Platen, E