Presidential Chair in Mathematics
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
Publications>Preprints>Technical Reports
On Gatheral's model: revision, reformulation and extensions
(238k PDF), (with M. Musiela), (2022)
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)