Browsing byAuthorHulley, H

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Showing results 1 to 19 of 19
Issue DateTitleAuthor(s)
2023-09-10A market consistent approach to the valuation of no-negative equity guarantees and equity release mortgagesBuckner, D; Dowd, K; Hulley, H
2024Arbitrage Problems with Reflected Geometric Brownian motionBuckner, D; Dowd, K; Hulley, H
2018Are mutual fund investors paying for noise?Casavecchia, L; Hulley, H
2005-01Benchmarking and fair pricing applied to two market modelsHulley, H; Miller, S; Platen, E
2010The Economic Plausibility of Strict Local Martingales in Financial ModellingHulley, H
2010-01The effect of idiosyncratic risk-taking on mutual fund performance and feesCasavecchia, L; Hulley, H; al, AAE
2022Financially Constrained Index Futures ArbitrageGlover, KJ; Hulley, H
2022-01-01Financially constrained index futures arbitrageGlover, K; Hulley, H
2012-05-01Hedging for the long runHulley, H; Platen, E
2008-01Laplace transform identities for diffusions, with applications to rebates and barrier optionsHulley, H; Platen, E; Stettner, L
2010-01-01M-6-On Minimal Market Models and Minimal Martingale MeasuresHulley, H; Schweizer, M; Chiarella, C; Novikov, A
2013-01-01Means-Tested Public Pensions, Portfolio Choice and Decumulation in RetirementHulley, H; McKibbin, R; Pedersen, A; Thorp, S
2014-01-01Optimal prediction of the last-passage time of a transient diffusionGlover, K; Hulley, H
2015-03-02Quadratic hedging of basis riskHulley, H; McWalter, T
2022Short Selling with Margin Risk and Recall RiskGlover, K; Hulley, H
2009Strict local martingales in continuous financial market modelsHulley, H
2013-06-01Three-dimensional brownian motion and the golden ratio ruleGlover, K; Hulley, H; Peskir, G
2011-01A visual criterion for identifying Ito diffusions as martingales or strict local martingalesHulley, H; Platen, E; Dalang, R; Sozzi, M; Russo, F
2019-05-01Weak tail conditions for local martingalesHulley, H; Ruf, J