751 citations · 3.2k across the 102 of their papers we have counts for
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Optimal hedging of Derivatives with transaction costs
Erik Aurell, Paolo Muratore-Ginanneschi
We investigate the optimal strategy over a finite time horizon for a portfolio of stock and bond and a derivative in an multiplicative Markovian market model with transaction costs…
"Locally homogeneous turbulence" Is it an inconsistent framework?
Uriel Frisch, Jeremie Bec, Erik Aurell
In his first 1941 paper Kolmogorov assumed that the velocity has increments which are homogeneous and independent of the velocity at a suitable reference point. This assumption of…
A Statistical Theory of Chord under Churn
Supriya Krishnamurthy, Sameh El-Ansary, Erik Aurell +1
Most earlier studies of Distributed Hash Tables (DHTs) under churn have either depended on simulations as the primary investigation tool, or on establishing bounds for DHTs to func…