E. Robert Fernholz
- Volatility and Arbitrage
2016/08/22 by E. Robert Fernholz, Ioannis Karatzas, Fernholz, E. Robert +3 · 3 citations
Economics, Econometrics and Finance · Mathematics · #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Portfolio Management (q-fin.PM) #Probability (math.PR) #math.PR #q-fin.MF #q-fin.PM
- Planar Diffusions with Rank-Based Characteristics: Transition Probabilities, Time Reversal, Maximality and Perturbed Tanaka equations
2011/08/19 by E. Robert Fernholz, Tomoyuki Ichiba, Fernholz, E. Robert +5 · 2 citations
Economics, Econometrics and Finance · Mathematics · #Stochastic processes and financial applications #Stochastic processes and statistical mechanics #advanced mathematical theories #math.PR #msc:60G44 #msc:60H10 #msc:60J55 #msc:60J60