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20022020
most citedPathwise inequalities for local time: Applications to Skorokhod embeddings and optimal stopping

39 citations · 45 across the 12 of their papers we have counts for

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Showing 2011Show all

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q-fin.PR2011

Model independent hedging strategies for variance swaps

David Hobson, Martin Klimmek

A variance swap is a derivative with a path-dependent payoff which allows investors to take positions on the future variability of an asset. In the idealised setting of a continuou…

math.PR2011★ 3 cited

Can time-homogeneous diffusions produce any distribution?

Erik Ekström, David Hobson, Svante Janson +1

Given a centred distribution, can one find a time-homogeneous martingale diffusion starting at zero which has the given law at time 1? We answer the question affirmatively if gener…