7 citations · 7 across the 7 of their papers we have counts for
7 papers
From minimal embeddings to minimal diffusions
Alexander M. G. Cox, Martin Klimmek
There is a natural connection between the class of diffusions, and a certain class of solutions to the Skorokhod Embedding Problem (SEP). We show that the important concept of mini…
Robust price bounds for the forward starting straddle
David Hobson, Martin Klimmek
In this article we consider the problem of giving a robust, model-independent, lower bound on the price of a forward starting straddle with payoff where $0<T_…
Parameter dependent optimal thresholds, indifference levels and inverse optimal stopping problems
Martin Klimmek
Consider the classic infinite-horizon problem of stopping a one-dimensional diffusion to optimise between running and terminal rewards and suppose we are given a parametrised famil…
The Wronskian parameterizes the class of diffusions with a given distribution at a random time
Martin Klimmek
We provide a complete characterization of the class of one-dimensional time-homogeneous diffusions consistent with a given law at an exponentially distributed time using classical…
Model independent hedging strategies for variance swaps
David Hobson, Martin Klimmek
A variance swap is a derivative with a path-dependent payoff which allows investors to take positions on the future variability of an asset. In the idealised setting of a continuou…
Maximizing functionals of the maximum in the Skorokhod embedding problem and an application to variance swaps
David Hobson, Martin Klimmek
The Azéma-Yor solution (resp., the Perkins solution) of the Skorokhod embedding problem has the property that it maximizes (resp., minimizes) the law of the maximum of the stopped…