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Research portal

Financial Mathematics

Organisational unit: Research Group

  1. Accepted/In press

    Convex duality in nonlinear optimal transport

    Pennanen, T. A. & Perkkio, A-P., 19 Apr 2019, (Accepted/In press) In : JOURNAL OF FUNCTIONAL ANALYSIS.

    Research output: Contribution to journalArticle

  2. Risk managing tail-risk seekers: VaR and expected shortfall vs S-shaped utility

    Armstrong, J. & Brigo, D., 1 Apr 2019, In : Journal of Banking and Finance. 101, p. 122-135 14 p.

    Research output: Contribution to journalArticle

  3. Econophysics and sociophysics: their milestones & challenges

    Kutner, R., Ausloos, M., Grech, D., Di Matteo, T., Schinckus, C. & Stanley, H. E., 15 Feb 2019, In : PHYSICA A. 516, p. 240-253 14 p.

    Research output: Contribution to journalEditorial

  4. Accepted/In press

    Optimal approximation of SDEs on submanifolds: the Ito-vector and Ito-jet projections

    Armstrong, J., Brigo, D. & Rossi-Ferrucci, E., 11 Dec 2018, (Accepted/In press) In : PROCEEDINGS OF THE LONDON MATHEMATICAL SOCIETY.

    Research output: Contribution to journalArticle

  5. Accepted/In press

    Complexity of products: the effect of data regularisation

    Angelini, O. & Di Matteo, T., 15 Oct 2018, (Accepted/In press) In : Entropy.

    Research output: Contribution to journalArticle

  6. Convex duality in optimal investment and contingent claim valuation in illiquid markets

    Pennanen, T. & Perkkiö, A-P., Oct 2018, In : Finance and Stochastics . 22, 4, p. 733–771

    Research output: Contribution to journalArticle

  7. Blockchain Inefficiency in the Bitcoin Peers Network

    Pappalardo, G., Di Matteo, T., Caldarelli, G. & Aste, T., 5 Sep 2018, In : EPJ Data Science. 12 p.

    Research output: Contribution to journalArticle

  8. The Markowitz Category

    Armstrong, J., 1 Aug 2018, In : SIAM Journal on Financial Mathematics.

    Research output: Contribution to journalArticle

  9. Stable cylindrical Lévy processes and the stochastic Cauchy problem

    Riedle, M., 7 Jun 2018, In : Electronic Communications in Probability. 23, 12 p., 36.

    Research output: Contribution to journalArticle

  10. Dirichlet Forms and Finite Element Methods for the SABR Model

    Horvath, B. N. & Reichmann, O., 31 May 2018, In : SIAM Journal on Financial Mathematics. p. 716-754 2.

    Research output: Contribution to journalArticle

  11. Basel risk limits will not curb rogue traders

    Armstrong, J. & Brigo, D., 1 May 2018, The Banker.

    Research output: Contribution to specialist publicationFeatured article

  12. Large deviations for stochastic heat equations with memory driven by Lévy-type noise

    Riedle, M. & Zhai, J., 1 Apr 2018, In : Discrete and Continuous Dynamical Systems - Series A. 38, 4, p. 1983-2005 23 p.

    Research output: Contribution to journalArticle

  13. Curbing Rogue Behaviour

    Armstrong, J. & Brigo, D., Apr 2018, Risk Magazine.

    Research output: Contribution to specialist publicationFeatured article

  14. Duality and optimality conditions in stochastic optimization and mathematical finance

    Biagini, S., Pennanen, T. & Perkkio, A-P., Apr 2018, In : JOURNAL OF CONVEX ANALYSIS. 25, 2, p. 403-420

    Research output: Contribution to journalArticle

  15. Rogue traders versus value-at-risk and expected shortfall

    Armstrong, J. & Brigo, D., Apr 2018, Risk Magazine.

    Research output: Contribution to specialist publicationArticle

  16. Dynamic correlations at different time-scales with empirical mode decomposition

    Nava, N., Di Matteo, T. & Aste, T., 3 Mar 2018, In : PHYSICA A.

    Research output: Contribution to journalArticle

  17. Risk-neutral valuation under differential funding costs, defaults and collateralization

    Brigo, D., Buescu, C., Francischello, M., Pallavicini, A. & Rutkowski, M., 28 Feb 2018.

    Research output: Working paper

  18. Mass at zero in the uncorrelated SABR model and implied volatility asymptotics

    Gulisashvili, A., Horvath, B. N. & Jacquier, A., 22 Feb 2018, In : Quantitative Finance. 18, 10, p. 1753–1765

    Research output: Contribution to journalArticle

  19. Convex Integral Functionals of Processes of Bounded Variation

    Pennanen, T. & Perkkio, A-P., Feb 2018, In : JOURNAL OF CONVEX ANALYSIS. 25, 1, p. 161-179

    Research output: Contribution to journalArticle

  20. Accepted/In press

    Financial time series forecasting using Empirical Mode Decomposition and Support Vector Regression

    Di Matteo, T., 31 Jan 2018, (Accepted/In press) In : risks.

    Research output: Contribution to journalArticle

  21. Stochastic integration with respect to cylindrical Lévy processes

    Riedle, M. & Jakubowski, A., 12 Dec 2017, In : ANNALS OF PROBABILITY. 68, p. 4273-4306 34 p.

    Research output: Contribution to journalArticle

  22. Funding, repo and credit inclusive valuation as modified option pricing

    Brigo, D., Buescu, C. & Rutkowski, M., Nov 2017, In : OPERATIONS RESEARCH LETTERS. 45, 6, p. 665-670

    Research output: Contribution to journalArticle

  23. Itô stochastic differential equations as 2-jets

    Armstrong, J. & Brigo, D., 24 Oct 2017, Geometric Science of Information - 3rd International Conference, GSI 2017, Proceedings. Springer Verlag, Vol. 10589 LNCS. p. 543-551 9 p. (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics); vol. 10589 LNCS).

    Research output: Chapter in Book/Report/Conference proceedingOther chapter contribution

  24. Accepted/In press

    Ito Stochastic Dierential Equations as 2-Jets

    Armstrong, J. & Brigo, D., 27 Sep 2017, (Accepted/In press) Geometric Science of Information 2017: LNCS 10589.

    Research output: Chapter in Book/Report/Conference proceedingConference paper

  25. Blockchain Technologies: The Foreseeable Impact on Society and Industry

    Aste, T., Tasca, P. & Di Matteo, T., 22 Sep 2017, COMPUTER, 50, 9, p. 18-28 11 p.

    Research output: Contribution to specialist publicationArticle

  26. The multiplex dependency structure of financial markets

    Musmeci, N., Nicosia, V., Aste, T., Di Matteo, T. & Latora, V., 20 Sep 2017, In : COMPLEXITY.

    Research output: Contribution to journalArticle

  27. Accepted/In press

    SPARSE CAUSALITY NETWORK RETRIEVAL FROM SHORT TIME SERIES

    Aste, T. & Di Matteo, T., 6 Sep 2017, (Accepted/In press) In : COMPLEXITY. 16 p.

    Research output: Contribution to journalArticle

  28. Convex integral functionals of regular processes

    Pennanen, T. A. & Perkkio, A-P., 24 Aug 2017, In : Stochastic Processes and Their Applications.

    Research output: Contribution to journalArticle

  29. In preparation

    Working Paper-Simulating SDEs on Manifolds

    Armstrong, J. & Mijatovic, A., 6 Jul 2017, (In preparation).

    Research output: Working paperPre-print

  30. Shadow price of information in discrete time stochastic optimization

    Pennanen, T. A. & Perkkio, A-P., 30 May 2017, In : MATHEMATICAL PROGRAMMING. p. 1-21

    Research output: Contribution to journalArticle

  31. Accepted/In press

    Future impact of Blockchain technologies on services, businesses and regulation

    Di Matteo, T., Aste, T. & Tasca, P., 4 May 2017, (Accepted/In press) In : COMPUTER. 10 p.

    Research output: Contribution to journalArticle

  32. FUNCTIONAL ANALYTIC (IR-)REGULARITY PROPERTIES OF SABR-TYPE PROCESSES

    Doering, L., Horvath, B. N. & Teichmann, J., 7 Mar 2017, In : International Journal of Theoretical and Applied Finance. 20, 3, p. 48

    Research output: Contribution to journalArticle

  33. Accepted/In press

    Asymptotic scaling properties and estimation of the generalised Hurst exponents in financial data

    Buonocore, R. J., Aste, T. & Di Matteo, T., 28 Feb 2017, (Accepted/In press) In : PHYSICAL REVIEW E.

    Research output: Contribution to journalArticle

  34. C++ for Financial Mathematics

    Armstrong, J., 2017, Chapman & Hall/CRC Press.

    Research output: Book/ReportBook

  35. Parsimonious Modelling with Information Filtering Networks

    Wolfram, B., Previde Massara, G., Di Matteo, T. & Aste, T., 13 Dec 2016, In : PHYSICAL REVIEW E.

    Research output: Contribution to journalArticle

  36. Two different flavours of complexity in financial data

    Buonocore, R. J., Musmeci, N., Aste, T. & Di Matteo, T., Dec 2016, In : European physical journal-Special topics. 225, 17-18, p. 3105-3113 9 p.

    Research output: Contribution to journalArticle

  37. Interplay between past market correlation structure changes and future volatility outbursts

    Musmeci, N., Aste, T. & Di Matteo, T., 18 Nov 2016, In : Scientific Reports. 12 p.

    Research output: Contribution to journalArticle

  38. On the probability of hitting the boundary for Brownian motions on the SABR plane

    Gulisashvili, A., Horvath, B. N. & Jacquier, A., 27 Oct 2016, In : Electronic Communications in Probability. 21, 75, p. 1-13 13 p.

    Research output: Contribution to journalArticle

  39. Accepted/In press

    Extrinsic projection of Ito SDEs on submanifolds with applications to non-linear filtering

    Armstrong, J. & Brigo, D., 15 Aug 2016, (Accepted/In press) Computational information geometry for image and signal processing. Critchley, F. & Dodson, K. (eds.). Springer

    Research output: Chapter in Book/Report/Conference proceedingConference paper

  40. Measuring multiscaling in financial time-series

    Buonocore, R. J., Aste, T. & Di Matteo, T., Jul 2016, In : CHAOS SOLITONS AND FRACTALS. 88, p. 38–47 10 p.

    Research output: Contribution to journalArticle

  41. Optimal Switching at Poisson Random Intervention Times

    Liang, G. & Wei, W., Jul 2016, In : Discrete and continuous dynamical systems-Series b. 21, 5, p. 1483-1505 23 p.

    Research output: Contribution to journalArticle

  42. Existence of solutions in non-convex dynamic programming and optimal investment

    Pennanen, T. A., Perkkiö, A-P. & Rasonyi, M., 29 Jun 2016, In : Mathematics and Financial Economics. 16 p.

    Research output: Contribution to journalArticle

  43. Accepted/In press

    Time-dependent scaling patterns in high frequency financial data

    Nava, N., Di Matteo, T. & Aste, T., 9 May 2016, (Accepted/In press) In : European physical journal-Special topics.

    Research output: Contribution to journalArticle

  44. Small-time asymptotics for basket options - the bi-variate SABR model and the hyperbolic heat kernel on H3

    Forde, M. & Zhang, H., 21 Apr 2016, In : SIAM Journal on Financial Mathematics. 7, 1, p. 448-476 29 p.

    Research output: Contribution to journalArticle

  45. Accepted/In press

    Network Filtering for Big Data: Triangulated Maximally Filtered Graph

    Previde Massara, G., Di Matteo, T. & Aste, T., 6 Apr 2016, (Accepted/In press) In : Journal of complex Networks.

    Research output: Contribution to journalArticle

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