Research

Items by Cox, Alexander

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Number of items: 23.

Book Sections

Cox, A., 2010. Arbitrage bounds. In: Cont, R., ed. Encyclopedia of Quantitative Finance. Chichester, UK: John Wiley & Sons.

Articles

Beiglböck, M., Cox, A. M. G., Huesmann, M. and Källblad, S., 2017. Measure-valued martingales and optimality of Bass-type solutions to the Skorokhod Embedding Problem. Submitted to: Preprint on arXiv

Cox, A. and Källblad, S., 2017. Forthcoming. Model-independent bounds for Asian options:A dynamic programming approach. SIAM Journal on Control and Optimization (SICON)

Beiglboeck, M., Cox, A. M. G. and Huesmann, M., 2017. Optimal transport and Skorokhod embedding. Inventiones Mathematicae, 208 (2), pp. 327-400.

Cox, A. M. G., Hou, Z. and Obloj, J., 2016. Robust pricing and hedging under trading restrictions and the emergence of local martingale models. Finance and Stochastics, 20 (3), pp. 669-704.

Cox, A. M. G. and Obłój, J., 2015. On joint distributions of the maximum, minimum and terminal value of a continuous uniformly integrable martingale. Stochastic Processes and their Applications, 125 (8), 3280–3300.

M. G. Cox, A. and Peskir, G., 2015. Embedding laws in diffusions by functions of time. Annals of Probability, 43 (5), pp. 2481-2510.

Cox, A.M.G. and Klimmek, M., 2014. From minimal embeddings to minimal diffusions. Electronic Communications in Probability, 19, 34.

Cox, A.M.G., Hobson, D. and Obłój, J., 2014. Utility theory front to back:Inferring utility from agents' choices. International Journal of Theoretical and Applied Finance, 17 (3).

Cox, A. M. G. and Obłój, J., 2011. Robust pricing and hedging of double no-touch options. Finance and Stochastics, 15 (3), pp. 573-605.

Cox, A. M. G., Hobson, D. and Obłój, J., 2011. Time-homogeneous diffusions with a given marginal at a random time. ESAIM: Probability and Statistics, 15, S11-S24.

Cox, A. M. G. and Obloj, J., 2011. Robust hedging of double touch barrier options. SIAM Journal on Financial Mathematics, 2 (1), pp. 141-182.

Cox, A. M. G., Hobson, D. and Obloj, J., 2008. Pathwise inequalities for local time: applications to Skorokhod embeddings and optimal stopping. Annals of Applied Probability, 18 (5), pp. 1870-1896.

Cox, A. M. and Obloj, J., 2008. Classes of measures which can be embedded in the Simple Symmetric Random Walk. Electronic Journal of Probability, 13, pp. 1203-1228.

Cox, A., 2008. Extending Chacon-Walsh: Minimality and Generalised Starting Distributions. Seminaire de Probabilities (Strasbourg), XLI, pp. 233-264.

Cox, A. M. G. and Hobson, D. G., 2006. Skorokhod embeddings, minimality and non-centred target distributions. Probability Theory and Related Fields, 135, 395--414.

Cox, A. M. G. and Hobson, D. G., 2005. Local martingales, bubbles and option prices. Finance and Stochastics, 9, 477--492.

Cox, A. M. G. and Hobson, D. G., 2004. An optimal Skorokhod embedding for diffusions. Stochastic Processes and their Applications, 111, p. 17.

Reports/Papers

M. G. Cox, A. and Peskir, G., 2012. Forthcoming. Embedding laws in diffusions by functions of time. Working Paper. Annals of Probability.

Thesis

Cox, A. M. G., 2004. Skorokhod Embeddings: Non-Centred Target Distributions, Diffusions and Minimality. Thesis (Doctor of Philosophy (PhD)). Department of Mathematical Sciences.

This list was generated on Thu Nov 23 01:02:58 2017 GMT.