38 citations · 44 across the 17 of their papers we have counts for
Showing 2013Show all
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q-fin.PR2013
Local Variance Gamma and Explicit Calibration to Option Prices
Peter Carr, Sergey Nadtochiy
In some options markets (e.g. commodities), options are listed with only a single maturity for each underlying. In others, (e.g. equities, currencies), options are listed with mult…
q-fin.PM2013
Optimal investment for all time horizons and Martin boundary of space-time diffusions
Sergey Nadtochiy, Michael Tehranchi
This paper is concerned with the axiomatic foundation and explicit construction of a general class of optimality criteria that can be used for investment problems with multiple tim…
math.PR2013★ 3 cited
Weak reflection principle for Lévy processes
Erhan Bayraktar, Sergey Nadtochiy
In this paper, we develop a new mathematical technique which allows us to express the joint distribution of a Markov process and its running maximum (or minimum) through the margin…