34 citations · 85 across the 36 of their papers we have counts for
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q-fin.PR2015
A pricing formula for delayed claims: Appreciating the past to value the future
Enrico Biffis, Beniamin Goldys, Cecilia Prosdocimi +1
We consider the valuation of contingent claims with delayed dynamics in a Black&Scholes complete market model. We find a pricing formula that can be decomposed into terms reflectin…
q-fin.MF2015★ 1 cited
A Market Model for VIX Futures
Alexander Badran, Beniamin Goldys
A new modelling approach that directly prescribes dynamics to the term structure of VIX futures is proposed in this paper. The approach is motivated by the tractability enjoyed by…
math.PR2015
Rescaling nonlinear noise for 1D stochastic parabolic equations
B. Goldys, M. Neklyudov
In this paper we will show that the solution of 1D stochastic parabolic equation with additive noise converges to a martingale (independent upon space variable) when we rescale noi…