24 citations · 83 across the 28 of their papers we have counts for
4 papers · 1 filter
Asymptotic analysis of ruin in CEV model
F. Klebaner, R. Liptser
We give asymptotic analysis for probability of absorbtion on the interval , where and is a nonnegative diffusion process…
Cramer's theorem for nonnegative multivariate point processes with independent increments
F. Klebaner, R. Liptser
We consider a continuous time version of Cramer's theorem with nonnegative summands where is a sequence o…
Likely path to extinction for simple branching model (Large Deviations approach)
F. Klebaner, R. Liptser
We give an explicit formula for the most likely path to extinction for the Galton-Watson processes with large initial population. We establish this result with the help of the larg…
On nonexistence of non-constant volatility in the Black-Scholes formula
K. Hamza, F. C. Klebaner
We prove that if the Black-Scholes formula holds with the spot volatility for call options with all strikes, then the volatility parameter is constant. The proof relies some result…