Items by Cox, Alexander
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Cox, A. M. G. and Obłój, J., 2015. Forthcoming. On joint distributions of the maximum, minimum and terminal value of a continuous uniformly integrable martingale. Stochastic Processes and their Applications
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 Hoeggerl, C., 2013. Forthcoming. Model-independent no-arbitrage conditions on American put options. Mathematical Finance
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., 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.
M. G. Cox, A. and Peskir, G., 2012. Forthcoming. Embedding laws in diffusions by functions of time. Working Paper. Annals of Probability.
Cox, A. M. G., 2004. Skorokhod Embeddings: Non-Centred Target Distributions, Diffusions and Minimality. Thesis (Doctor of Philosophy (PhD)). Department of Mathematical Sciences.