227 citations · 354 across the 14 of their papers we have counts for
3 papers · 1 filter
Semi-Closed Form Cubature and Applications to Financial Diffusion Models
Christian Bayer, Peter Friz, Ronnie Loeffen
Cubature methods, a powerful alternative to Monte Carlo due to Kusuoka~[Adv.~Math.~Econ.~6, 69--83, 2004] and Lyons--Victoir~[Proc.~R.~Soc.\\Lond.~Ser.~A 460, 169--198, 2004], invo…
Optimal control with absolutely continuous strategies for spectrally negative Levy processes
Andreas E. Kyprianou, Ronnie Loeffen, Jose-Luis Perez
In the last few years there has been renewed interest in the classical control problem of de Finetti for the case that underlying source of randomness is a spectrally negative Levy…
Absolute ruin in the Ornstein-Uhlenbeck type risk model
Ronnie L. Loeffen, Pierre Patie
We start by showing that the finite-time absolute ruin probability in the classical risk model with constant interest force can be expressed in terms of the transition probability…