Working Papers Series from the Mathematical Finance Group

Working Papers 2021

2021-1 Hans Buehler, Phillip Murray, Mikko S. Pakkanen, Ben Wood
Deep Hedging: Learning Risk-Neutral Implied Volatility Dynamics
2021-2 Mueller C. and Neuman, E.

Scaling properties of a moving polymer

2021-3 Hager P. and Neuman E. 

The multiplicative chaos of H=0 fractional Brownian fields

2021-4 Brigo D., Graceffa F. and Neuman E.

Price Impact on Term Structure

2021-5 Jacquier, A. and Raval, V.
The Log Moment formula for implied volatility
2021-6 Jacquier, A. and Pannier, A.

Large and moderate deviations for stochastic Volterra systems

2021-7 Muhle-Karbe, J., Shi, X., Yang, C.

An Equilibrium Model for the Cross-Section of Liquidity Premia

2021-8 Bonesini, O., Callegaro, G., Jacquier, A.

Functional quantization of rough volatility and applications to the VIX

2021-9 Damiano BrigoXiaoshan HuangAndrea PallaviciniHaitz Saez de Ocariz Borde

Interpretability in deep learning for finance: a case study for the Heston model 

Working Papers 2020

2020-1    Antoine Jacquier, Chloe Lacombe.
Path-dependent volatility models
2020-2    Peter Bank, Ibrahim Ekren, Johannes Muhle-Karbe. 
Liquidity in Competitive Dealer Markets
2020-3    Eyal Neuman, Moritz Voß, 
Optimal signal-adaptive trading with temporary and transient price impact
2020-4    Tiziano De Angelis , Alessandro Milazzo
Optimal stopping for the exponential of a Brownian bridge
2020-5   John Armstrong, Damiano Brigo, Thomas Cass, Emilio Rossi Ferruci

Non-Geometric Rough Paths on Manifolds

2020-6  Anthony Belloti, Damiano Brigo, Paolo Gambetti, Frederic D. Virns

Forecasting Recovery Rates on Non-Performing Loans with Machine Learning

2020-7 Emilio Barucci, Damiano Brigo, Marco Francischelo, Daniele Marazzina

On the Design of Sovereign Bond-Backed Securities

2020-8 John Armstrong, Damiano Brigo

The ineffectiveness of coherent risk measures

2020-9 Damiano Brigo, Federico Graceffa, Eyal Neuman

Price Impact on Term Structure

2020-10 John Armstrong, Damiano Brigo, Alex S. L. Tse

The importance of dynamic risk constraints for limited liability operators

2020-11 Johannes Muhle-Karbe, Xiaofei Shi and Chen Yang

An Equilibrium Model for the Cross-Section of Liquidity Premia, Reprint 2020

2020-12 Peter Bank, Ibrahim Ekren and Johannes Muhle-Karbe

Liquidity in Competitive Dealer Markets

2020-13 Lukas Gonon, Johannes Muhle-Karbe and Xiaofei Shi

Asset Pricing with General Transaction Costs: Theory and Numerics

2020-14 Martin Herdegen, Johannes Muhle-Karbe and Dylan Possamaï  

Equilibrium Asset Pricing with Transaction Costs

2020-15 Phillip Murray, Riccardo Passeggeri, Almut E. D. Veraart, Mikko S. Pakkanen

Feasible Inference for Stochastic Volatility in Brownian Semistationary Processes

2020-16 Mikko S. Pakkanen, Riccardo Passeggeri, Orimar Sauri, Almut E. D. Veraart

Limit Theorems for Trawl Processes

2020-17 Anine E. Bolko, Kim Christensen, Mikko S. Pakkanen, Bezirgen Veliyev

Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures

2020-18 John Armstrong, Claudio Bellani, Damiano Brigo, Thomas Cass

Option pricing models without probability: a rough paths approach

2020-19 T. Cass, D. Crisan, P. Dobson, M. Ottobre

Long-time behaviour of degenerate diffusions: UFG-type SDEs and time-inhomogeneous hypoelliptic processes

2020-20 Thomas Cass, Goncalo dos Reis, William Salkeld

Rough functional quantization and the support of McKean-Vlasov equations

2020-21 Thomas Cass Terry Lyons Weixin Yang and Cristopher Salvi

Computing the untruncated signature kernel as the solution of a Goursat problem

2020-22 A Sojmark, S Ledger

At the mercy of the common noise: blow-ups in a conditional McKean-Vlasov problem

2020-23 A Sojmark, Z Feinstein

Dynamic default contagion in interbank systems

2020-24 Łochowski, Rafał M., Jan Obłój, David J. Prömel, and Pietro Siorpaes
Local times and Tanaka--Meyer formulae for c\adl\ag paths

2020-25 Mostovyi, Oleksii, and Pietro Siorpaes
Differentiation of measures on a non-separable space, and the Radon-Nikodym theorem

Working Papers 2019

2019-1    Antoine Jacquier, Alexandre Pannier.

On the uniqueness of solutions of stochastic Volterra equations.

2019-2    Filipe Fontanela, Antoine Jacquier, Mugad Oumgari.

A Quantum algorithm for linear PDEs arising in Finance.

2019-3    Mehdi El Amrani, Antoine Jacquier, Claude Martini.

Dynamics of symmetric SSVI smiles and implied volatility bubbles.

2019-4    Antoine Jacquier, Lorenzo Torricelli.
Anomalous diffusions in option prices: connecting trade duration and the volatility term structure.
2019-5    Antoine Jacquier, Mugad Oumgari.
Deep PPDEs for rough local stochastic volatility.
2019-6    Antoine Jacquier, Emma Malone, Mugad Oumgari.
Stacked Monte Carlo for option pricing.
2019-7    Antoine Jacquier, Fangwei Shi.
Small-time moderate deviations for the randomised Heston model.
2019-9    Sergey Badikov, Mark .H.A. Davis, Antoine Jacquier.
Perturbation analysis of sub/super hedging problems.
2019-10    Johannes Muhle-Karbe, Marcel Nutz, , Xiaowei Tan.
Asset Pricing with Heterogenous Beliefs and Illiquidity
2019-11    Lukas Gonon, Johannes Muhle-Karbe, Xiaofei Shi
Asset Pricing with General Transaction Costs: Theory and Numerics
2019-12    Martin Herdegen, Johannes Muhle-Karbe, Dylan Possamaï
Equilibrium Asset Pricing with Transaction Costs
2019-13    Eyal Neuman, Xinghua Zheng
On the maximal displacement of near-critical branching random walks
2019-14    Claudio Bellani, Damiano Brigo, Alex Done, Eyal Neuman  
Static vs adaptive strategies for optimal execution with signals
2019-15    Eyal Neuman, Alexander Schied  
A control problem for a speculative investor in a target zone model
2019-16    C. Mueller, E. Neuman, M. Salins, G.Truong  
An improved uniqueness result for a system of stochastic differential equations related to the stochastic wave equation
2019-17    Jong Jun Lee, Carl Mueller, Eyal Neuman
Hitting probabilities of a Brownian flow with radial drift
2019-18    John Armstrong, Damiano Brigo, Emilio Rossi Ferrucci  
Projections of SDEs onto Submanifolds
2019-19    John Armstrong, Claudio Bellani, Damiano Brigo, Thomas Cass  
Option pricing models without probability
2019-20    Claudio Bellani, Damiano Brigo, Alex Done, Eyal Neuman
Static vs Adaptive Strategies for Optimal Execution with Signals
2019-21    John Armstrong, Damiano Brigo  
Statistical arbitrage of coherent risk measures
2019-22    Damiano Brigo.
Probability-free models in option pricing: statistically indistinguishable dynamics and historical vs implied volatility
2019-23    Federico Graceffa, Damiano Brigo, Andrea Pallavicini
On the consistency of jump-diffusion dynamics for FX rates under inversion
2019-24    Claudio Bellani, Damiano Brigo
Mechanics of good trade execution in the framework of linear temporary market impact
2019-25    Chloe Lacombe, Aitor Muguruza and Henry Stone
Asymptotics for volatility derivatives in multi-factor rough volatility models

Working Papers 2018

2018-01    Blanka Horvath, Antoine Jacquier, Peter Tankov
Volatility options in rough volatility models

2018-02    Antoine Jacquier, Kostas Spiliopulos
Pathwise moderate deviations for option pricing

2018-03    Damiano Brigo, Cristin Buescu, Marco Francischello, Andrea Pallavicini, Marek Rutkowski
Risk-Neutral Valuation Under Differential Funding Costs, Defaults and Collateralization

2018-04    John Armstrong, Damiano Brigo
Optimizing S-Shaped Utility and Implications for Risk Management

2018-05    Sergey Badikov, Mark H.A. Davis, Antoine Jacquier
Perturbation analysis of sub/super hedging problems

2018-06    Thomas Cass, Dan Crisan, P. Dobson, M. Ottobre
Long-time behaviour of degenerate diffusions: UFG-type SDEs and time-inhomogeneous hypoelliptic processes

2018-07    Thomas Cass, Nengli Lim
A Stratonovich-Skorohod integral formula for Volterra Gaussian rough paths

2018-08    Ryan McCrickerd, Mikko S. Pakkanen
Turbocharging Monte Carlo pricing for the rough Bergomi model

2018-09   Antoine Jacquier, Mikko S. Pakkanen, Henry Stone
Pathwise large deviations for the Rough Bergomi model

2018-10    Rama Cont, Alexander Kalinin
On the support of solutions of stochastic differential equations with path-dependent coefficients

2018-11    Henry Chiu, Rama Cont
On pathwise quadratic variation for cadlag functions

2018-12    Rama Cont, Nicolas Perkowski
Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity

2018-13   Justin Sirignano, Rama Cont
Universal features of price formation in financial markets: perspectives from Deep Learning

2018-14    Damiano Brigo, Cristin Buescu, Marco Francischello, Andrea Pallavicini, Marek Rutkowski
Risk-neutral valuation under differential funding costs, defaults and collateralization

2018-15   Jong Jun Lee, Carl Mueller, Eyal Neuman
Hitting Probabilities of a Brownian flow with Radial Drift

2018-16    Eyal Neuman, Alexander Schied
Protecting Target Zone Currency Markets from Speculative Investors

2018-17    Eyal Neuman, Mathieu Rosenbaum
Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint

2018-18    Charles-Albert Lehalle, Eyal Neuman
Incorporating Signals into Optimal Trading

2018-19    Olivier Bokanowski, Athena Picarelli, Christoph Reisinger
Stability and convergence of second order backward differentiation schemes for parabolic Hamilton-Jacobi-Bellman equations

2018-20    Athena Picarelli, Christoph Reisinger, Julen Rotaetxe Arto
Error bounds for monotone schemes for parabolic Hamilton-Jacobi-Bellman equations in bounded domains

2018-21    Jan Obloj, Pietro Siorpaes
Structure of martingale transports in finite dimensions

2018-22    Blanka Horvath, Antoine Jacquier, Chloe Lacombe
Asymptotic behaviour of randomised fractional volatility models

2018-23    Maxime Morariu-Patrichi, Mikko S. Pakkanen
State-dependent Hawkes processes and their application to limit order book modelling

2018-24    Eyal Neuman 
Pathwise uniqueness of the stochastic heat equation with spatially inhomogeneous white noise

Working Papers 2017

2017-01 Rama Cont
Central clearing and risk transformation

2017-02 Ilya Chevyrev and Marcel Ogrodnik
A support and density theorem for Markovian rough paths

2017-03 Antoine Jacquier, Claude Martini, Aitor Muguruza
On VIX Futures in the Rough Bergomi Model

2017-04 Antoine Jacquier, Hao Liu
Optimal Liquidation in a Level-I Limit Order Book for Large Tick Stocks

2017-05 Antoine Jacquier, Mikko S. Pakkanen, Henry Stone
Pathwise large deviations for the Rough Bergomi model

2017-06 Maxime Morariu-Patrichi, Mikko S. Pakkanen
Hybrid marked point processes: characterisation, existence and uniqueness

2017-07 Ryan McCrickerd, Mikko S. Pakkanen
Turbocharging Monte Carlo pricing for the rough Bergomi model

2017-08 Blanka Horvath, Antoine Jacquier, Chloe Lacombe
Asymptotic behaviour of randomised fractional volatility models

2017-09 Antoine Jacquier and Louis Jeannerod
How many paths to simulate correlated Brownian motions?

2017-10 Damiano Brigo, Marco Francischello, Andrea Pallavicini
An indifference approach to the cost of capital constraints: KVA and beyond 

2017-11 Damiano Brigo and Giovanni Pistone
Optimal approximations of the Fokker-Planck-Kolmogorov equation: projection, maximum likelihood eigenfunctions and Galerkin methods

 2017-12 Chris Lamberton, Damiano Brigo and Dave Hoy
Impact of Robotics, RPA and AI on the insurance industry: challenges and opportunities

2017-13 Elisa Alos, Antoine Jacquier and Jorge Leon
The implied volatility of Forward-Start options: ATM short-time level, skew and curvature

2017-14 Claudio Heinrich, Mikko S. Pakkanen, Almut E.D. Veraart
Hybrid simulation scheme for volatility modulated moving average fields

Working Papers 2016


2016-01 Damiano Brigo and Giovanni Pistone
Projection based dimensionality reduction for measure valued evolution equations in statistical manifolds

2016-02 Martin Gould and Julius Bonart
Queue Imbalance as a One-Tick-Ahead Price Predictor in a Limit Order Book

2016-03 Rama Cont and Lakshithe Wagalath 
Risk management for whales

2016-04 Anna Ananova and Rama Cont 
Pathwise integration with respect to paths of finite quadratic variation

2016-05 Pierre M. Blacque-Florentin and Rama Cont 
Functional calculus and martingale representation formula for integer-valued measures.

2016-06 Mark Davis and Sebastian Lleo
A Simple Procedure to Incorporate Predictive Models in a Continuous Time Asset Allocation

2016-07 Mark Davis, Jan Obłój, Pietro Siorpaes
Pathwise Stochastic Calculus with Local Times

2016-08 Sergey BadikovAntoine JacquierDaphne Qing LiuPatrick Roome
No-arbitrage bounds for the forward smile given marginals

2016-09 Thomas Cass and Martin P. Weidner
Hörmander's theorem for rough differential equations on manifolds

2016-10 Thomas Cass and Nengli Lim
A Stratonovich-Skorohod integral formula for Gaussian rough path 

2016-11 Mikko S. Pakkanen, Tommi Sottinen, Adil Yazigi 
On the conditional small ball property of multivariate Lévy-driven moving average processes

2016-12 Jani Lukkarinen, Mikko S. Pakkanen
Arbitrage without borrowing or short selling?

2016-13 Mikkel Bennedsen, Ulrich Hounyo, Asger Lunde, Mikko S. Pakkanen
The local fractional bootstrap

2016-14 M. Pistorius and M. Stadje 
On Dynamic Deviation Measures and Continuous-Time Portfolio Optimisation 

2016-15 Mikkel Bennedsen, Asger Lunde, Mikko S. Pakkanen
Decoupling the short- and long-term behavior of stochastic volatility

2016-16 Rama Cont and Eric Schaanning
Fire sales, indirect contagion and systemic stress-testing

2016-17 Archil Gulisashvili, Blanka Horvath, Antoine Jacquier
On the probability of hitting the boundary of a Brownian motion on the SABR plane

2016-18 Archil Gulisashvili, Blanka Horvath, Antoine Jacquier
Mass at zero in the uncorrelated SABR model and implied volatility asymptotics

2016-19 Antoine Jacquier, Fangwei Shi
The randomised Heston model

 2016-20 John Armstrong and Damiano Brigo
Coordinate-free stochastic differential equations as jets 

2016-21 John Armstrong and Damiano Brigo
Optimal approximation of SDEs on submanifolds: the Ito-vector and Ito-jet projections

2016-22 Damiano Brigo, Monique Jeablanc and Frederic Vrins
SDEs with uniform distributions: Peacocks, Conic martingales and mean reverting uniform diffusions

2016-23 Damiano Brigo and Giovanni Pistone
Maximum likelihood eigenfunctions of the Fokker Planck equation and Hellinger projection

2016-24 Damiano Brigo, Clement Piat
Static vs adapted optimal execution strategies in two benchmark trading models

2016-25 Damiano Brigo and Frederic Vrins
Disentangling wrong-way risk: pricing CVA via change of measures and drift adjustment

2016-26 Damiano Brigo, Cristin Buescu, Marek Rutkowski
Funding, Repo and Credit Inclusion in Option Pricing via Dividends

2016-27 Damiano Brigo, Nicola Pede, Andrea Petrelli
Multi Currency Credit Default Swaps Quanto effects and FX devaluation jumps

2016-28 Pietro Siorpaes
Applications of pathwise Burkholder-Davis-Gundy inequalities


Working Papers 2015

Imperial College Mathematical Finance Working Papers 2015

2015-01 Rama Cont and Massoud Heidari
Optimal rounding under integer constraints

2015-02 Rama Cont and Yi Lu
Weak approximation of martingale representations

2015-03 Martin D. Gould, Mason A. Porter, Sam D. Howison
Quasi-Centralized Limit Order Books

2015-04 Archil Gulisashvili, Blanka Horvath, Antoine Jacquier
Mass at zero and small-strike implied volatility expansion in the SABR model

2015-05 Mark Davis
Model-free methods in valuation and hedging of derivative securities

2015-06 Dirk Tasche
The Numerics of Premium Bonds

2015-07 Dirk Tasche
Fitting a distribution to Value-at-Risk and Expected Shortfall, with an application to covered bonds

2015-08 Thomas Cass and Marcel Ogrodnik
Tail estimates for Markovian rough paths to appear in Annals of Probability

2015-09 Thomas Cass, Bruce K. Driver, Nengli Lim and Christian Litterer
On the integration of weakly geometric rough paths

2015-10 Mikkel Bennedsen, Asger Lunde, Mikko S. Pakkanen
Hybrid scheme for Brownian semistationary processes

2015-11 Antoine Jacquier and Martin Keller-Ressel
Implied volatility in strict local martingale models

2015-12 Geraldine Bouveret and Jean-Francois Chassagneux
A comparison principle for PDEs arising in approximate hedging problems: application to Bermudan options

2015- 13 Damiano BrigoNicola Pede and Andrea Petrelli
Multi Currency Credit Default Swaps Quanto effects and FX devaluation jumps

2015- 14 Damiano Brigo, Camilla Pisani and Francesco Rapisarda 
The Multivariate Mixture Dynamics Model: Shifted dynamics and correlation skew

2015- 15 Giacomo Bormetti, Damiano Brigo, Marco Francischello and Andrea Pallavicin
Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under Collateralization

2015-16 Damiano Brigo, Marco Francischello and Andrea Pallavicini
Invariance, existence and uniqueness of solutions of nonlinear valuation PDEs and FBSDEs inclusive of credit risk, collateral and funding costs

2015-17 Martin Gould, Mason Porter and Sam Howison
The Long Memory of Order Flow in the Foreign Exchange Spot Market

2015-18 Dilip Madan, Martijn Pistorius and Mitja Stadje
On dynamic spectral risk measures and a limit theorem

Working Papers 2014

Imperial College Mathematical Finance Working Papers 2014

2014-01 Damiano Brigo and Andrea Pallavicini
CCP Cleared or Bilateral CSA Trades with Initial/Variation Margins under credit, funding and wrong-way risks: A Unified Valuation Approach

2014-02 Thomas Cass, Bruce K. Driver and Christian Litterer 
Constrained rough paths

2014-03 Jean-Francois Chassagneux, Antoine Jacquier and Ivo Mihaylov
An explicit Euler scheme with strong rate of convergence for non-Lipschitz SDEs.

2014-04 Rama Cont and Andreea Minca
Credit default swaps and systemic risk.

2014-05 Gabriele Sarais and Damiano Brigo
Inflation securities valuation with macroeconomic-based no-arbitrage dynamics.

2014-06 Damiano Brigo, Qing Liu, Andrea Pallavicini, David Sloth
Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes.

2014-07 Damiano Brigo, Cyril Durand
An initial approach to Risk Management of Funding Costs.

2014-08 Mark H.A. Davis
Consistency of internal risk measure estimates

2014-09 Dirk Tasche
Exact fit of simple finite mixture models

2014-10 Antoine Jacquier, Patrick Roome
Large-Maturity Regimes of the Heston Forward Smile

2014-11 Bruno Bouchard, Geraldine Bouveret, Jean-Francois Chassagneux
A backward dual representation for the quantile hedging of Bermudan options

2014-12 William McGhee and Romano Trabalzini
Deconstructing the Volatility Smile

2014-13 A. Mijatovic, M.R. Pistorius and J. Stolte
Randomisation and recursion methods for mixed-exponential Levy models, with financial applications

2014-14 D. Madan, M.R. Pistorius and M. Stadje
Convergence of BSΔEs driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver

2014-15 Z. Michna, Z. Palmowski and M.R. Pistorius
The distribution of the supremum for spectrally asymmetric Levy processes

2014-16 E.J. Baurdoux, Z. Palmowski and M.R. Pistorius
On Future Drawdowns of Lévy processes

2014-17 Stefano De Marco, Antoine Jacquier and Patrick Roome
Two examples of non strictly convex large deviations

2014-18 Hamza Guennoun, Antoine Jacquier and Patrick Roome 
Asymptotic behaviour of the fractional Heston model

2014-19 Xing Dong and Harry Zheng
Intensity Process for a Pure Jump Levy Structural Model with Incomplete Information

2014-20 Jonathan Donier and Julius Bonart
A fully consistent, minimal model for non-linear market impact

2014-21 Jonathan Donier and Julius Bonart
A million Metaorder Analysis of Market Impact on the Bitcoin

2014-22 Thomas Cass and Marcel Ogrodnik
Tail estimates for Markovian rough paths

2014-23 Heather Battey and Han Liu
Smooth projected density estimation

2014-24 Alicia Nieto-Reyes and Heather Battey
A topologically valid definition of depth for functional data

Working Papers 2013

Imperial College Mathematical Finance Working Papers 2013

2013-01 Florin Avram, Zbigniew Palmowski and Martijn R. Pistorius 
On Gerber-Shiu functions and optimal dividend distribution for a Levy risk-process in the presence of a penalty function

2013-02 Dilip Madan, Martijn Pistorius and Mitja Stadje 
On consistent valuations based on distorted expectations: from multinomial random walks to Lévy processes

2013-03 Damiano Brigo, Joao Garcia and Nicola Pede
CoCo Bonds Valuation with Equity- and Credit-Calibrated First Passage Structural Models

2013-04 Damiano Brigo, Francesco Rapisarda and Abir Sridi 
The arbitrage-free Multivariate Mixture Dynamics Model: Consistent single-assets and index volatility smiles

2013-05 Rama Cont and Thomas Kokholm
Central clearing of over-the-counter derivatives: bilateral vs multilateral netting.

2013-06 Fatma Haba and Antoine Jacquier 
Asymptotic arbitrage in the Heston model

2013-07 Antoine Jacquier and Patrick Roome
The Small-Maturity Heston Forward Smile

2013-08 John Armstrong and Damiano Brigo
Stochastic filtering via L2 projection on mixture manifolds with computer algorithms and numerical examples

2013-09 Andrea Pallavicini and Damiano Brigo
Interest-Rate Modelling in Collateralized Markets: Multiple curves, credit-liquidity effects, CCPs

2013-10 Damiano Brigo and Giuseppe Di Graziano
Optimal execution comparison across risks and dynamics, with solutions for displaced diffusions

2013-11 Antoine Jacquier and Matthew Lorig
The Smile of certain Lévy-type Models

2013-12 Mark Davis and Martijn Pistorius
Explicit solution to an inverse first-passage time problem for  Levy processes. Application to counterparty credit risk

2013-13 Aleksandar Mijatović and Peter Tankov 
A new look at short-term implied volatility in asset price models with jumps

2013-14 Damiano Brigo, Jan-Frederik Mai and Matthias Scherer
Consistent iterated simulation of multi-variate default times: a Markovian indicators characterization

2013-15 Antoine Jacquier and Matthew Lorig
From characteristic functions to implied volatility expansions

2013-16 Stefano De Marco, Caroline Hillairet and Antoine Jacquier
Shapes of implied volatility with positive mass at zero

2013-17 Dirk Tasche
The Law of Total Odds

2013-18 Susanne Emmer, Marie Kratz and Dirk Tasche
What is the best risk measure in practice? A comparison of standard measures

2013-19 Mark Davis
Consistency of risk measure estimates

2013-20 Damiano Brigo and Andrea Pallavicini
CCPs, Central Clearing, CSA, Credit Collateral and Funding Costs Valuation FAQ: Re-hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk, Initial and Variation Margins, Multiple Discount Curves, FVA?

2013-21 Thomas Cass and Terry Lyons
Evolving communities with individual preferences

2013-22 Thomas Cass and Christian Litterer 
A gradient estimate for the heat semigroup without hypoellipticity assumptions 
(available upon request)

Working Papers 2012

Imperial College Mathematical Finance Working Papers 2012

2012-01 Florin Avram, Andras Horvath and Martijn Pistorius
On matrix exponential approximations of the infimum of a spectrally negative Levy process

2012-02 Antoine Jacquier and Jim Gatheral
Arbitrage-free SVI volatility surfaces 

2012-03  Antoine Jacquier and Aleksandar Mijatovic.
Large deviations for the extended Heston model: the large-time case

2012-04 Jean-Francois Chassagneux, Romuald Elie and Idris Kharroubi
Discrete-time approximation of multidimensional BSDEs with oblique reflections

2012-05 Rama Cont and Lakshithe Wagalath
Fire sales forensics: measuring endogenous risk 

2012-06 Rama Cont and Arseniy Kukanov
Optimal order placement in limit order markets 

2012-07 Thomas Cass, Martin Hairer, Christian Litterer and Samy Tindel
Smoothness of the density for solutions to Gaussian Rough Differential Equations

2012-08 Jia-Wen Gu, Wai-Ki Ching, Tak-Kuen Siu and Harry Zheng
On Pricing Basket Credit Default Swaps 

2 012-09 Martijn Pistorius an d Johannes Stolte
Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations

2012-10 N.H. Bingham 
Multivariate prediction and matrix Szegö theory

2012-11 Gaoyue Guo, Antoine Jacquier, Claude Martini and Leo Neufcourt
Generalised arbitrage-free SVI volatility surfaces

2012-12 Andrea Pallavi cini,& nbsp;Daniele Perini, Damiano Brigo
Funding, Collateral and Hedging: uncovering the mechanics and the subtleties of funding valuation adjustments

2012-13 Damiano Brigo, Cristin Buescu, Andrea Pallavicini, and Qing Liu
Illustrating a problem in the self-financing condition in two 2010-2011 papers on funding, collateral and discounting

2012-14 Damiano Brigo and Kyriakos Chourdakis
Consistent single- and multi-step sampling of multivariate arrival times: characterization of self -chaining copulas. 

2012-15 Albanese, C., Brigo, D., and Oertel, F. 
Restructuring Counterparty Credit Risk

2012-16 Damiano Brigo
The direct L2 geometric structure on a manifold of probability de nsities with applications to Filtering

2012-17 Alexander Lipton and Ioana Savescu
Pricing credit default swaps with bilateral value adjustments

2012-18 Alexander Lipton and Ioana Savescu
A structural approach to pricing credit default swaps with credit and debt value adjustments

2012-19 Antoine Jacquier and Patrick Roome
Asymptotics of forward implied volatility

2012-20 Almut E. D. Veraart and Luitgard A. M. Veraart 
Modelling electricity day-ahead prices by multivariate Lévy semistationary processes

2012-21 Ole E. Barndorff-Nielsen, Fred Espen Benth, Jan Pedersen and Almut E. D. Veraart 
On stochastic integration for volatility modulated Lévy-driven Volterra processes

2012-22 Ole E. Barndorff-Nielsen, Fred Espen Benth and Almut E. D. Veraart 
Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency