6 citations · 7 across the 3 of their papers we have counts for
3 papers
q-fin.MF2023★ 1 cited
Inefficiency of CFMs: hedging perspective and agent-based simulations
Samuel Cohen, Marc Sabaté Vidales, David Šiška +1
We investigate whether the fee income from trades on the CFM is sufficient for the liquidity providers to hedge away the exposure to market risk. We first analyse this problem thro…
math.PR2022
Decaying derivative estimates for functions of solutions to non-autonomous SDEs
Maria Lefter, David Šiška, Łukasz Szpruch
We produce uniform and decaying bounds in time for derivatives of the solution to the backwards Kolmogorov equation associated to a stochastic processes governed by a time dependen…
math.PR2016★ 6 cited
Itô Formula for Processes Taking Values in Intersection of Finitely Many Banach Spaces
István Gyöngy, David Šiška
Motivated by applications to SPDEs we extend the Itô formula for the square of the norm of a semimartingale from Gyöngy and Krylov (Stochastics 6(3):153-173, 1982) to the ca…