Items by Cox, Alexander

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Number of items: 18.

Book Sections

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


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.

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. 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.


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.

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