Centre for Quantitative Finance and Investment Strategies

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  • 2019

    Local Volatility Calibration by Optimal Transport

    Guo, I., Loeper, G. & Wang, S., 2019, 2017 MATRIX Annals. Wood, D., de Gier, J., Praeger, C. E. & Tao, T. (eds.). 1 ed. Springer, Vol. 2. p. 51-64 13 p. (MATRIX Book Series; vol. 2).

    Research output: Chapter in Book/Report/Conference proceeding › Chapter (Book) › Research › peer-review

  • 2017

    Option Pricing and Hedging with Liquidity Costs and Market Impact

    Abergel, F. & Loeper, G., 2017, Econophysics and Sociophysics: Recent Progress and Future Directions. Abergel, F., Aoyama, H., Chakrabarti, B. K., Chakraborti, A., Deo, N., Raina, D. & Vodenska, I. (eds.). Cham Switzerland: Springer, p. 19-40 22 p. (New Economic Windows; vol. 6901).

    Research output: Chapter in Book/Report/Conference proceeding › Chapter (Book) › Research › peer-review