Items by Cox, Alexander

Book Sections

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

Articles

M. G. Cox, A. and Wang, J., 2013. Root's barrier: construction, optimality and applications to variance options. Annals of Applied Probability, 23 (3), pp. 859-894.

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. M. G. and Hobson, D. G., 2007. A unifying class of Skorokhod embeddings: connecting the Azéma–Yor and Vallois embeddings. Bernoulli, 13 (1), pp. 114-130.

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. Embedding laws in diffusions by functions of time. Working Paper.

M. G. Cox, A., Hobson, D. and Obloj, J., 2011. Utility theory front to back: inferring utility from agents' choices. Working Paper.

Thesis

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