Publications

Ewald, C.O., Menkens, O. & Ting, S. H. (2013). Asian and Australian options: A common perspective. Journal of Economic Dynamics and Control, 37(5), 1001  1018.
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Appleby, J., Krol, K. & Daniels, J. (2013). A BlackScholes Model with Long Memory. Statistics and Probability Letters, 11pp.
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Appleby, J., Riedle, M. & Swords, C. (2013). Bubbles and crashes in a BlackScholes model with delay. Finance and Stochastics, 17(1), 130.
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Appleby, J. & Daniels, J. (2012). Necessary and sufficient conditions for periodic decaying resolvents in linear discrete convolution Volterra equations and applications to ARCH(∞) processes. Computers and Mathematics with Applications, 64(7), 23122325.
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Appleby, J. & McCarthy, M. (2012). Preservation of the growth rates of delay differential equations by Euler schemes with nonuniform step sizes. Computers and Mathematics with Applications, 64(7), 22512261.
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Appleby, J. & Daniels, J. (2012). Long run behaviour of the autocovariance function of ARCH infinity models. Journal of Mathematical Analysis and Applications, 392(2), 148170.
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Korn, R., Menkens, O. & Steffensen, M. (2012). Worst–CaseOptimal Dynamic Reinsurance for Large Claims. European Actuarial Journal, 2(1), 21–48.
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Appleby, J. & Cheng, J (2011). On the Asymptotic Stability of a Class of Perturbed Ordinary Differential Equations with Weak Asymptotic Mean Reversion. In, pages 136.
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Appleby, J., Cheng, J. & Rodkina, A. (2011). Characterisation of the Asymptotic Behaviour of Scalar Linear Differential Equations with Respect to a Fading Stochastic Perturbation. Discrete and Continuous Dynamical Systems, Supplement, 7990.
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Appleby, J. & Daniels, J. (2011). Exponential growth in the solution of an affine stochastic differential equation with an average functional. Discrete and Continuous Dynamical Systems, Supplement, 91101.
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Sexton, C., Hanzon, B. & Olivi, M. (2011). Rational Approximation of Transfer Functions for NonNegative EPT Densities.
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Hanzon, B. & Holland, F. (2011). Nonnegativity analysis for ExponentialPolynomialTrigonometric Functions on the nonnegative real halfline.
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Forde, M. & Jacquier, A. (2011). Smalltime asymptotics for an uncorrelated LocalStochastic volatility model. Applied Mathematical Finance.
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Yang, Z., Ewald, C.O. & Menkens, O. (2011). Pricing and Hedging of Asian Options: QuasiExplicit Solutions via Malliavin Calculus. Mathematical Methods of Operations Research, 74(1), 93120.
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Forde, M. (2011). Largetime asymptotics for general stochastic volatility and timechanged Lévy models.
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Forde, M., FigueroaLópez, J. E. & Jacquier, A. (2011). The largetime smile and skew for exponential Lévy models.
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Appleby, J., Reynolds, D. & Gyori, I. (2011). Historydependent decay rates for a logistic equation with infinite delay. Proceedings of the Royal Society of Edinburgh, 141A, 2344.
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Appleby, J. & Krol, K. (2011). Long Memory in a Linear Stochastic Volterra Differential Equation. Journal of Mathematical Analysis and Applications, 380(2), 814830.
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Amann, A., Brokate, M., Rachinskii, D. & Temnov, G. (2011). Distribution of return point memory states for systems with stochastic inputs. Journal of Physics: Conference Series, 268(1).
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Carroll, T. & O'Connor, T. (2011). GARCHtype volatility models and the ISEQ Index.
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Hanzon, B. & Sexton, C. (2011). State Space Calculations for twosided EPT Densities with Financial Modelling Applications.
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Guasoni, P., Huberman, G. & Wang, Z. (2011). Performance Maximization of Actively Managed Funds. Journal of Financial Economics.
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Guasoni, P. & Robertson, S. (2011). Portfolios and Risk Premia for the Long Run. Annals of Applied Probability.
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Denis, E., Guasoni, P. & Rasonyi, M. (2011). The Fundamental Theorem of Asset Pricing under Transaction Costs.
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Obloj, J. & Guasoni, P. (2011). The Incentives of Hedge Fund Fees and HighWater Marks.
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Forde, M., Jacquier, A. & Mijatovic, A. (2011). A note on essential smoothness in the Heston model. Finance and Stochastics.
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Forde, M. (2011). Largetime asymptotics for an uncorrelated stochastic volatility model. Statistics and Probability Letters.
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Hutchinson, M. C. & Gallagher, L. (2010). Convertible Bond Arbitrage: Risk and Return. Journal of Business Finance & Accounting, 37(12), 206241.
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Jablonska, M., Mayrhofer, A. & Gleeson, J. P. (2010). Stochastic simulation of the uplift process for the Irish electricity market. MathematicsinIndustry Case Studies Journal. Retrieved from http://www.micsjournal.ca/index.php/mics/article/view/23/23.
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Hanzon, B. & Holland, F. (2010). BFS Toronto Poster 429: Nonnegativity of Exponential Polynomial Trigonometric Functionsa BF sequence approach.
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Hanzon, B. & Holland, F. (2010). On a PerronFrobenius type result for nonnegative impulse response functions.
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Hanzon, B. & Holland, F. (2010). The longterm behaviour of Markov sequences. Mathematical Proceedings of the Royal Irish Academy, 110A(1), 163185.
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Devin, S., Hanzon, B. & Ribarits, T. (2010). A finitedimensional HJM model: How important is arbitragefree evolution?. International Journal of Theoretical and Applied Finance, 13(8), 12411263.
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Forde, M. & FigueroaLópez, J. E. (2010). The smallmaturity smile for exponential Lévy models.
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Forde, M. (2010). Hitting times, boundary classifications and the occupation time formula for a simple onedimensional stochastic functional differential equation.
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Forde, M. (2010). A onedimensional stochastic functional differential equation with a given joint law for the terminal level and the supremum at an independent exponential time.
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Forde, M., Jacquier, A. & Lee, R. (2010). The smalltime smile and term structure of implied volatility under the Heston model.
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Forde, M. (2010). The Largematurity smile for the SABR model with nonzero correlation.
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Appleby, J., Cheng, J. & Rodkina, A (2010). The splitstep EulerMaruyama method preserves asymptotic stability for simulated annealing problems. In Proceedings of Neural, Parallel and Scientific Computations, pages 3136.
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Appleby, J. (2010). On the positivity and zero crossings of solutions of stochastic Volterra integrodifferential equations. International Journal of Differential Equations, 2010(Article ID), 25 pp..
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Appleby, J., Kelly, C. & Rodkina, A. (2010). On the Use of Adaptive Meshes to Counter Overshoot in Solutions of Discretised Nonlinear Stochastic Differential Equations. International Journal of Difference Equations, 5(2), 129148.
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Appleby, J., Kelly, C., Rodkina, A. & Guzowska, M. (2010). Preservation of positivity in the solution of discretised stochastic differential equation. Applied Mathematics and Computation, 217(2), 763774.
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Appleby, J. & Lynch, T. (2010). On the pathwise large fluctuations of discretised SDEs.
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Appleby, J., Rodkina, A. & McCarthy, M (2010). Exact growth rates of solutions of delaydominated differential equations. In Proceedings of Neural, Parallel and Scientific Computations, pages 3742.
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Appleby, J. & Lynch, T. (2010). Asymptotic consistency in the large fluctuations of continuous and discretised market models with Markovian switching_1.
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Appleby, J., Wu, H. & Mao, X. (2010). On the almost sure partial maxima of solutions of affine stochastic functional differential equations. SIAM Journal of Mathematical Analysis, 42(2), 646–678.
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Appleby, J. & Riedle, M. (2010). Stochastic Volterra differential equations in weighted spaces _1_1. Journal of Integral Equations and Applications, 22(1), 117.
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Appleby, J. (2010). On Regularly Varying and HistoryDependent Convergence Rates of Solutions of a Volterra Equation with Infinite Memory. Advances in Difference Equations, 2010(Article ID), 31pp.
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Appleby, J., Wu, H. & Mao, X. (2010). Solutions of Stochastic Differential Equations obeying the Law of the Iterated Logarithm with Applications to Financial Markets_1. Electronic Journal of Probability, 24(Paper 13), 912959.
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Grandits, P., Kainhofer, R. & Temnov, G. (2010). On the impact of hidden trends for a compound Poisson model with Paretotype claims. International Journal of Theoretical and Applied Finance, 13(6), 959978.
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Grandits, P. & Temnov, G. (2010). A consistency result for the Pareto distribution in the presence of inflation. Finance & Stochastics, 14(4), 569591.
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Forde, M. & Jacquier, A. (2010). The Largematurity smile for the Heston model. Finance and Stochastics.
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Forde, M., Jacquier, A. & Mijatovic, A. (2010). Asymptotic formulae for implied volatility in the Heston model. Proceedings of the Royal Society A, 466(2124), 35933620.
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Guasoni, P., Rasonyi, M. & Schachermayer, W. (2010). The Fundamental Theorem of Asset Pricing for Continuous Processes under Small Transaction Costs. Annals of Finance, 6(2), 157191.
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Forde, M. (2010). Exact pricing and largetime asymptotics for the modified SABR model and the Brownian exponential functional. International Journal of Theoretical and Applied Finance.
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Hanzon, B., Olivi, M. & Peeters, R (2009). Subdiagonal pivot structures and associated canonical forms under state isometries. In Proceedings of the 15th IFAC Symposium on System Identification SaintMalo, France, July 68, 2009, pages 16201625.
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Appleby, J., Mao, X. & Riedle, M. (2009). Geometric Brownian Motion with delay: mean square characterisation. Proceedings of the American Mathematical Society, 137, 339348.
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Temnov, G. & Kucherenko, S. (2009). An approach to actuarial modelling with QuasiMonte Carlo: simulation of random sums depending on stochastic factors. Informatics and its Applications, 3(3), 40–46.
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Shevchenko, P. & Temnov, G. (2009). Modelling operational risk data reported above a time varying threshold. Journal of Operational Risk, 4(2), 19–42.
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Forde, M. & Jacquier, A. (2009). Robust approximations for pricing Asian options and volatility swaps under stochastic volatility. Applied Mathematical Finance, 17(3), 241259.
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Forde, M. & Jacquier, A. (2009). Smalltime asymptotics for implied volatility under the Heston model. International Journal of Theoretical and Applied Finance, 12(6), 861876.
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Forde, M., Fouque, J.P. & Feng, J. (2009). Short maturity asymptotics for a fast meanreverting Heston stochastic volatility model. SIAM Journal on Financial Mathematics, 1, 126141.
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