V.F. Neuhaus Centennial Professor
Department of Mathematics, College of Natural Sciences
Department of Information, Risk, and Operations Management
Red McCombs School of Business |
The University of Texas at Austin
Research>Preprints>Technical Reports
A note on the minimal martingale and the minimal entropy measures
in incomplete binomial models
(164k PDF), (2009)
Investments and forward utilities
(173k PDF), (with M. Musiela), (2006)
A note on the term structure of risk aversion in utility-based pricing systems
(107k PDF), (with M. Musiela), (2002)
Remarks on hedging and numeraire consistency in an incomplete binomial model
(146k PDF), (with M. Musiela), (2002)
Indifference prices and related measures
(248k PDF), (with M. Musiela), (2001)
Closed Form Option Valuation with Smiles
(4,607k PDF), (with P. Carr and M. Tari), (1999)