30 citations · 110 across the 29 of their papers we have counts for
Showing 2016Show all
2 papers · 1 filter
math.PR2016
Polynomial jump-diffusions on the unit simplex
Christa Cuchiero, Martin Larsson, Sara Svaluto-Ferro
Polynomial jump-diffusions constitute a class of tractable stochastic models with wide applicability in areas such as mathematical finance and population genetics. We provide a ful…
q-fin.MF2016
The space of outcomes of semi-static trading strategies need not be closed
Beatrice Acciaio, Martin Larsson, Walter Schachermayer
Semi-static trading strategies make frequent appearances in mathematical finance, where dynamic trading in a liquid asset is combined with static buy-and-hold positions in options…