4 papers
Geometric Step Options with Jumps. Parity Relations, PIDEs, and Semi-Analytical Pricing
Walter Farkas, Ludovic Mathys
The present article studies geometric step options in exponential Lévy markets. Our contribution is manifold and extends several aspects of the geometric step option pricing litera…
Intra-Horizon Expected Shortfall and Risk Structure in Models with Jumps
Walter Farkas, Ludovic Mathys, Nikola Vasiljević
The present article deals with intra-horizon risk in models with jumps. Our general understanding of intra-horizon risk is along the lines of the approach taken in Boudoukh, Richar…
Traces of anisotropic Besov--Lizorkin--Triebel spaces---a complete treatment of the borderline cases
Walter Farkas, Jon Johnsen, Winfried Sickel
Including the previously untreated borderline cases, the trace spaces in the distributional sense of the Besov--Lizorkin--Triebel spaces are determined for the anisotropic (or quas…
On the Hartree-Fock equations of the electron/positron field
J. -M. Barbaroux, W. Farkas, B. Helffer +1
We study the energy of relativistic electrons and positrons interacting via the second quantized Coulomb potential in the field of a nucleus of charge Z within the Hartree-Fock app…