2 papers
math.PR2025
An injective martingale coupling
David Hobson, Dominykas Norgilas
We give an injective martingale coupling; in particular, given measures and in convex order on such that is continuous, we construct a martingale transpo…
q-fin.MF2024
Callable convertible bonds under liquidity constraints and hybrid priorities
David Hobson, Gechun Liang, Edward Wang
This paper investigates the callable convertible bond problem in the presence of a liquidity constraint modelled by Poisson signals. We assume that neither the bondholder nor the f…