28 citations · 58 across the 11 of their papers we have counts for
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q-fin.PR2015
Financial Models with Defaultable Numéraires
Travis Fisher, Sergio Pulido, Johannes Ruf
Financial models are studied where each asset may potentially lose value relative to any other. Conditioning on non-devaluation, each asset can serve as proper numéraire and classi…
math.PR2015
Polynomial diffusions on compact quadric sets
Martin Larsson, Sergio Pulido
Polynomial processes are defined by the property that conditional expectations of polynomial functions of the process are again polynomials of the same or lower degree. Many fundam…