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Article
Open AccessPropagation of chaos for maxima of particle systems with mean-field drift interaction
We study the asymptotic behavior of the normalized maxima of real-valued diffusive particles with mean-field drift interaction. Our main result establishes propagation of chaos: in the large population limit, ...
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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...
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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...
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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...
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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...
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Chapter and Conference Paper
Linking Progressive and Initial Filtration Expansions
In this article, we study progressive filtration expansions with random times. We show how semimartingale decompositions in the expanded filtration can be obtained using a natural link between progressive and ...