Showing 1–19 of 19 results
/ Date/ Name
Jun 28, 2015On magnitude, asymptotics and duration of drawdowns for Lévy modelsFeb 24, 2017A Unified Approach for Drawdown (Drawup) of Time-Homogeneous Markov ProcessesOct 31, 2014Robustness of the ${N}$-CUSUM stopping rule in a Wiener disorder problemMay 27, 2015Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy ModelsSep 6, 2014Large deviations for the boundary local time of doubly reflected Brownian MotionOct 27, 2016Asymptotics for rough stochastic volatility modelsDec 8, 2013Small-time asymptotics for a general local-stochastic volatility model with a jump-to-default: curvature and the heat kernel expansionOct 14, 2013Stochastic Modeling and Fair Valuation of Drawdown InsuranceApr 30, 2013Occupation times, drawdowns, and drawups for one-dimensional regular diffusionsJan 14, 2017Optimal Trading with a Trailing StopMay 28, 2015An analytic recursive method for optimal multiple stopping: Canadization and phase-type fittingMay 30, 2020When to sell an asset amid anxiety about drawdownsJun 12, 2017Beating the Omega Clock: An Optimal Stopping Problem with Random Time-horizon under Spectrally Negative Lévy ModelsMar 16, 2014Quickest detection in coupled systemsMar 5, 2014On the Frequency of Drawdowns for Brownian Motion ProcessesMar 9, 2016Small-time asymptotics for basket options -- the bi-variate SABR model and the hyperbolic heat kernel on $\mathbb{H}^3$Jul 25, 2017On the optimality of threshold type strategies in single and recursive optimal stopping under Lévy modelsNov 9, 2009Formulas for the Laplace Transform of Stopping Times based on Drawdowns and DrawupsAug 3, 2008One shot schemes for decentralized quickest change detection