40 citations · 40 across the 1 of their papers we have counts for
Showing 2019Show all
2 papers · 1 filter
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,…