15 citations · 36 across the 11 of their papers we have counts for
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math.PR2018
Asymptotic expansion for some local volatility models arising in finance
Sergio ALbeverio, Francesco Cordoni, Luca Di Persio +1
In this paper we study the small noise asymptotic expansions for certain classes of local volatility models arising in finance. We provide explicit expressions for the involved coe…
math.OC2018
A maximum principle for a stochastic control problem with multiple random terminal times
Francesco Cordoni, Luca Di Persio
In the present paper we derive, via a backward induction technique, and ad hoc maximum principle for an optimal control problem with multiple random terminal times. Therefore we ap…