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Antonis Papapantoleon

Identifiers

  • name variant Antonis Papapantoleon 0.60 · backfill

Papers (23)

  1. Expansion formulas for European quanto options in a local volatility FX-LIBOR model q-fin.PR · 2018 · author #3
  2. Marginal and dependence uncertainty: bounds, optimal transport, and sharpness math.PR · 2017 · author #4
  3. Model-free bounds on Value-at-Risk using extreme value information and statistical distances q-fin.RM · 2016 · author #2
  4. Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA q-fin.PR · 2016 · author #1
  5. Improved Fr\'echet$-$Hoeffding bounds on $d$-copulas and applications in model-free finance math.PR · 2016 · author #2
  6. A unified view of LIBOR models q-fin.MF · 2016 · author #3
  7. Multivariate Shortfall Risk Allocation and Systemic Risk q-fin.RM · 2015 · author #4
  8. An equilibrium model for spot and forward prices of commodities q-fin.EC · 2015 · author #3
  9. Affine LIBOR models with multiple curves: theory, examples and calibration q-fin.MF · 2014 · author #2
  10. A Fourier Approach to the Computation of CV@R and Optimized Certainty Equivalents q-fin.RM · 2012 · author #3
  11. A tractable LIBOR model with default risk q-fin.PR · 2012 · author #2
  12. Computation of copulas by Fourier methods math.PR · 2011 · author #1
  13. Efficient and accurate log-L\'evy approximations to L\'evy driven LIBOR models q-fin.CP · 2011 · author #1
  14. Picard approximation of stochastic differential equations and application to LIBOR models q-fin.CP · 2010 · author #1
  15. Numerical methods for the L\'evy LIBOR model q-fin.CP · 2010 · author #1
  16. Analyticity of the Wiener-Hopf factors and valuation of exotic options in L\'evy models q-fin.PR · 2009 · author #3
  17. Old and new approaches to LIBOR modeling q-fin.PR · 2009 · author #1
  18. Strong Taylor approximation of stochastic differential equations and application to the L\'evy LIBOR model math.PR · 2009 · author #1
  19. The affine LIBOR models q-fin.PR · 2009 · author #2
  20. On the valuation of compositions in L\'evy term structure models q-fin.PR · 2009 · author #2
  21. Analysis of Fourier transform valuation formulas and applications q-fin.PR · 2008 · author #3
  22. Esscher transform and the duality principle for multidimensional semimartingales math.PR · 2008 · author #2
  23. An introduction to L\'{e}vy processes with applications in finance q-fin.PR · 2008 · author #1

Mentions

  • 1212.6732 #3 · backfill · confidence 0.70 Antonis Papapantoleon
  • 1202.0587 #2 · backfill · confidence 0.70 Antonis Papapantoleon
  • 1108.1216 #1 · backfill · confidence 0.70 Antonis Papapantoleon
  • 1106.0866 #1 · backfill · confidence 0.70 Antonis Papapantoleon
  • 1007.3362 #1 · backfill · confidence 0.70 Antonis Papapantoleon
  • 1006.3340 #1 · backfill · confidence 0.70 Antonis Papapantoleon
  • 0911.0373 #3 · backfill · confidence 0.70 Antonis Papapantoleon
  • 0910.4941 #1 · backfill · confidence 0.70 Antonis Papapantoleon
  • 0906.5581 #1 · backfill · confidence 0.70 Antonis Papapantoleon
  • 0904.0555 #2 · backfill · confidence 0.70 Antonis Papapantoleon
  • 0902.3456 #2 · backfill · confidence 0.70 Antonis Papapantoleon
  • 0809.3405 #3 · backfill · confidence 0.70 Antonis Papapantoleon
  • 0809.0301 #2 · backfill · confidence 0.70 Antonis Papapantoleon
  • 0804.0482 #1 · backfill · confidence 0.70 Antonis Papapantoleon

Frequent Coauthors