A.E.D. Veraart & L.A.M. Veraart. Modelling Electricity Day-Ahead Prices by Multivariate Lévy Semistationary Processes.
Accepted for publication in: F. E. Benth, V. Kholodnyi, P. Laurence (Eds.), Wolfgang Pauli Proceedings, Springer. 2012.
L.C.G. Rogers & L.A.M. Veraart. Failure and Rescue in an Interbank Network. Accepted for publication in Management Science 2012.
Preprint
N. Bäuerle & S.P. Urban & L.A.M. Veraart. The Relaxed Investor with Partial Information. SIAM Journal on Financial Mathematics 3(1): 304-327. 2012.
Preprint .
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A. Gandy & L.A.M. Veraart. The Effect of Estimation in High-dimensional Portfolios. Accepted for publication in Mathematical Finance 2011.
Preprint .
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A.E.D. Veraart & L.A.M. Veraart. Stochastic Volatility and Stochastic Leverage. Annals of Finance 8(2): 205-233. 2012.
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N. Bäuerle & L.A.M. Veraart. Einblicke in die Finanzmathematik:
Optionsbewertung und Portfolio-Optimierung. In: Wendland, K., Werner, A. (Eds.) Facettenreiche Mathematik
- Einblicke in die moderne mathematische Forschung für alle, die mehr von Mathematik verstehen wollen.
Vieweg-Teubner. ISBN: 978-3-8348-1414-2. 2011.
publisher
L.A.M. Veraart. Optimal Investment in the Foreign Exchange Market with Proportional Transaction Costs. Quantitative Finance 11(4): 631-640. 2011.
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L.A.M. Veraart. Optimal Market Making in the Foreign Exchange Market. Applied Mathematical Finance 17(4): 359-372. 2010.
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L.C.G. Rogers & L.A.M. Veraart. A Stochastic Volatility Alternative to SABR. Journal of Applied Probability 45(4):1071-1085. 2008.
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R. Kiesel & L.A.M. Veraart. A Note on Survival Probability in CreditGrades. Journal of Credit Risk 4(2): 65-74. 2008.
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