# Items by Cox, Alexander

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**21**.## Book Sections

Cox, A., 2010. Arbitrage bounds.

*In*: Cont, R., ed.*Encyclopedia of Quantitative Finance.*Chichester, UK: John Wiley & Sons.## Articles

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., 2016. Optimal transport and Skorokhod embedding.

*Inventiones Mathematicae*Item availability may be restricted.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 Hoeggerl, C., 2016. Model-independent no-arbitrage conditions on American put options.

*Mathematical Finance*, 26 (2).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).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. 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.