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  1. No Access

    Article

    The space of outcomes of semi-static trading strategies need not be closed

    Semi-static trading strategies make frequent appearances in mathematical finance, where dynamic trading in a liquid asset is combined with static buy-and-hold positions in options on that asset. We show that t...

    Beatrice Acciaio, Martin Larsson, Walter Schachermayer in Finance and Stochastics (2017)

  2. No Access

    Article

    Polynomial diffusions and applications in finance

    This paper provides the mathematical foundation for polynomial diffusions. They play an important role in a growing range of applications in finance, including financial market models for interest rates, credi...

    Damir Filipović, Martin Larsson in Finance and Stochastics (2016)

  3. No Access

    Article

    Will banning naked CDS impact bond prices?

    We develop a tractable partial equilibrium model to analyze the impact on the bond market generated by a ban on naked credit default swaps (CDS). We demonstrate that such a ban will have a negligible impact on...

    Agostino Capponi, Martin Larsson in Annals of Finance (2014)

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    Article

    Discretely sampled variance and volatility swaps versus their continuous approximations

    Discretely sampled variance and volatility swaps trade actively in OTC markets. To price these swaps, the continuously sampled approximation is often used to simplify the computations. The purpose of this pape...

    Robert Jarrow, Younes Kchia, Martin Larsson, Philip Protter in Finance and Stochastics (2013)