# Items by Cox, Alexander

Up a level |

**16**.

## Book Sections

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

## Articles

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 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. 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.