7 citations · 7 across the 7 of their papers we have counts for
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math.PR2013
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…
q-fin.PR2013
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_…
math.PR2013
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…