40 citations · 40 across the 1 of their papers we have counts for
3 papers
q-fin.MF2019
Short Selling with Margin Risk and Recall Risk
Kristoffer Glover, Hardy Hulley
Short sales are regarded as negative purchases in textbook asset pricing theory. In reality, however, the symmetry between purchases and short sales is broken by a variety of costs…
math.PR2019
Optimally Stopping a Brownian Bridge with an Unknown Pinning Time: A Bayesian Approach
Kristoffer Glover
We consider the problem of optimally stopping a Brownian bridge with an unknown pinning time so as to maximise the value of the process upon stopping. Adopting a Bayesian approach,…
math.PR2013★ 40 cited
Three-dimensional Brownian motion and the golden ratio rule
Kristoffer Glover, Hardy Hulley, Goran Peskir
Let be a transient diffusion process in with the diffusion coefficient and the scale function such that as $t\righta…