14 citations · 24 across the 13 of their papers we have counts for
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math.PR2017★ 6 cited
On Skorokhod Embeddings and Poisson Equations
Leif Doering, Lukas Gonon, David J. Prömel +1
The classical Skorokhod embedding problem for a Brownian motion asks to find a stopping time so that is distributed according to a prescribed probability distribution…
q-fin.MF2017
Functional Analytic (Ir-)Regularity Properties of SABR-type Processes
Leif Doering, Blanka Horvath, Josef Teichmann
The SABR model is a benchmark stochastic volatility model in interest rate markets, which has received much attention in the past decade. Its popularity arose from a tractable asym…