5 citations · 22 across the 15 of their papers we have counts for
Showing 2016Show all
2 papers · 1 filter
math.PR2016
Polynomial jump-diffusions on the unit simplex
Christa Cuchiero, Martin Larsson, Sara Svaluto-Ferro
Polynomial jump-diffusions constitute a class of tractable stochastic models with wide applicability in areas such as mathematical finance and population genetics. We provide a ful…
q-fin.MF2016★ 3 cited
Cover's universal portfolio, stochastic portfolio theory and the numeraire portfolio
Christa Cuchiero, Walter Schachermayer, Ting-Kam Leonard Wong
Cover's celebrated theorem states that the long run yield of a properly chosen "universal" portfolio is as good as the long run yield of the best retrospectively chosen constant re…