Working Papers

1-Jan-2024          Armstrong, J; Brigo, D; Rossi Ferrucci, E
Projections of SDEs onto submanifolds

2-Jan-2024          Armstrong, J; Brigo, D; Hanzon, B
Optimal projection filters with information geometry

Feb-2024             Cass, T; Lyons, T; Xu, X
Weighted signature kernels

15-Feb-2024       Cass, T; Turner, W
Topologies on unparameterised path space

Jan-2023              Bellani, C; Brigo, D; Pakkanen, M; Sanchez-Betancourt, L
Price impact without averaging

1-Jan-2023          Li, Y; Pakkanen, M; Veraart, A
Limit theorems for the realised semicovariances of multivariate Brownian semistationary processes

27-Jan-2023        Cass, T; Pei, J
A Fubini type theorem for rough integration

Apr-2023             Chiu, H; Cont, R
A model-free approach to continuous-time finance

19-Jun-2023       Penn, M; Laydon, D; Penn, J; Whittaker, C; Morgenstern, C, et al
The uncertainty of infectious disease outbreaks is underestimated

Jul-2023               Neumann, E; Voss, M
Trading with the crowd

July-2023             Gonon, L
Random feature neural networks learn Black-Scholes type PDES without curse of dimensionality

1-Aug-2023         Bolko, AE; Christensen, K; Pakkanen, MS; Veliyev, B
A GMM approach to estimate the roughness of stochastic volatility

1-Aug-2023         Pakkanen, MS; Miscouridou, X; Penn, MJ; Whittaker, C; Berah, T, et al
Unifying incidence and prevalence under a time-varying general branching process

1-Sep-2023         Jialiang, L; Zheng, H
Deep neural network solution for finite state mean field game with error estimation

Oct-2023             Micheli, A; Muhle-Karbe, J; Neumann, E
Closed-loop nash competition for liquidity

1-Oct-2023          Dela Vega, EJ; Zheng, H
Duality method for multidimensional nonsmooth constrained linear convex stochastic control

Nov-2023             Tse, ASL; Zheng, H
Portfolio selection, periodic evaluations and risk taking

Dec-2023             Mueller, C; Neumann, E
The effective radius of self repelling elastic manifolds

Dec-2023             Bonesini, O; Callegaro, G; Jacquier, A
Functional quantization of rough volatility and applications to volatility derivatives

1-Dec-2023         Mostovyi, O; Siorpaes, P
Differentiation of measures on an arbitrary measurable space

2022      Bennedsen, M; Lunde, A; Pakkanen, MS
Decoupling the short- and long-term behavior of stochastic volatility

1-Jan-2022          Neumann, E; Schied, A
Protecting pegged currency markets from speculative investors 

26-Jan-2022        Cass, T; Driver, BK; Litterer, C; Ferrucci, ER;
A combinatorial approach to geometric rough paths and their controlled paths

1-Mar-2022         Morariu-Patrichi, M; Pakkanen, MS
State-dependent Hawkes processes and their application to limit order book modelling  

2-Mar-2022         Brigo, D; Buescu, C; Francischello, M; Pallavicini, A; Rutkowski, M, et al
Nonlinear valuation with XVAs: two converging approaches         

6-Apr-2022          Bingham, NH
Prediction theory for stationary functional time series

14-Apr-2022       Bingham, NH; Krzanowski, WJ
Linear algebra and multivariate analysis in statistics: development and interconnections in the twentieth century

5-May-2022        Neumann, E; Moritz, V
Optimal signal-adaptive trading with temporary and transient price impact

10-May-2022      Cesari, R; Zheng, H;
Stochastic maximum principle for optimal liquidation with control-dependent terminal time        

Jun-2022              Hager, P; Neumann, E
The multiplicative chaos of H=0 fractional Brownian fields

1-Jul-2022            Armstrong, J; Brigo, D
Coherent risk measures alone are ineffective in constraining portfolio losses        

1-Jul-2022            Jacquier, A; Pannier, A;
Large and moderate deviations for stochastic Volterra systems  

1-Jul-2022            Zhu, D; Zheng, H;
Effective approximation methods for constrained utility maximization with drift uncertainty         

Sep-2022             Armstrong, J; Brigo, D; Cass, T; Rossi Ferrucci, E;
Non-geometric rough paths on manifolds

17-Oct-2022       Mishra, S; Flaxman, S; Berah, T; Zhu, H; Pakkanen, MS, et al
πVAE: a stochastic process prior for Bayesian deep learning with MCMC

26-Oct-2022       Murray, P; Wood, B; Buehler, H; Wiese, M; Pakkanen, MS
Deep hedging: continuous reinforcement learning for hedging of general portfolios across multiple risk aversions

31-Oct-2022       Zheng, H; Jang, HJ; Xu, Z
Optimal investment, heterogeneous consumption and best time for retirement

28-Nov-2022      Salvi, C; Lemercier, M; Gerasimovics, A
Neural stochastic PDEs: resolution-invariant learning of continuous spatiotemporal dynamics

15-Dec-2022      Tse, ASL; Zheng, H
Speculative trading, prospect theory and transaction costs

Dec-2022             Mueller, C; Neumann, E
Scaling properties of a moving polymer

Dec-2022             Chiu, H; Cont, R
Causal functional calculus

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 Brigo, Xiaoshan Huang, Andrea Pallavicini, Haitz Saez de Ocariz Borde

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

2021-10 Thomas Cass and Nengli Lim

Skorohod and rough integration for stochastic differential equations driven by Volterra processes

2021-11 Cristopher Salvi, Thomas Cass, James Foster, Terry Lyons and Weixin Yang

The Signature Kernel is the solution of a Goursat PDE 

2021-12 Thomas Cass, Bruce Driver, Christian Litterer and Emilio Ferrucci

A combinatorial approach to geometric rough paths and their controlled paths 2021 (preprint, available on request) 

2021-13  Thomas Cass, Dan Crisan, Paul Dobson and Michela Ottobre

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

2021-14 Chan, J.R., Huckle, T., Jacquier, A., Muguruza, A.

Portfolio optimisation with options

2021-15 Geha, M., Jacquier, A., Zuric, Z.

Large and moderate deviations for importance sampling in the Heston model

2021-16 Assouel, A., Jacquier, A., Kondratyev, A.

A Quantum Generative Adversarial Network for distributions

2021-17 Bilokon, P., Jacquier, A., McIndoe, C.

Market regime classification with signatures

2021-18 Jacquier, A., Muguruza, A., Pannier, A.

Rough multifactor volatility for SPX and VIX options

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

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

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

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

IMPERIAL COLLEGE MATHEMATICAL FINANCE 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 Badikov, Antoine Jacquier, Daphne Qing Liu, Patrick 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

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 Brigo, Nicola 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

Imperial College Mathematical Finance Working Papers 2014

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)