David C. Heath

Available identifiers

zbMath Open heath.david-cWikidataQ21823339 ScholiaQ21823339MaRDI QIDQ1169393

List of research outcomes

Publication	Date of Publication	Type
A variance reduction technique based on integral representations	2019-01-14	Paper
Consistent pricing and hedging for a modified constant elasticity of variance model	2019-01-14	Paper
Pricing of index options under a minimal market model with log-normal scaling	2019-01-14	Paper
Valuation of FX barrier options under stochastic volatility	2009-02-06	Paper
Coherent multiperiod risk adjusted values and Bellman's principle	2008-03-31	Paper
Consistency among trading desks	2006-12-08	Paper
A benchmark approach to quantitative finance	2006-10-18	Paper
CURRENCY DERIVATIVES UNDER A MINIMAL MARKET MODEL WITH RANDOM SCALING	2006-10-16	Paper
Local volatility function models under a benchmark approach	2006-08-21	Paper
Understanding the implied volatility surface for options on a diversified index	2005-12-09	Paper
PERFECT HEDGING OF INDEX DERIVATIVES UNDER A MINIMAL MARKET MODEL	2005-06-22	Paper
Pareto Equilibria with coherent measures of risk	2004-11-16	Paper
VALUATION AND HEDGING OF OPTIONS WITH GENERAL PAYOFF UNDER TRANSACTIONS COSTS	2004-10-25	Paper
A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets	2004-03-16	Paper
Modelling the stochastic dynamics of volatility for equity indices	2003-12-09	Paper
Discrete and continuous ratchets: From coin toss to molecular motor	2003-04-14	Paper
https://portal.mardi4nfdi.de/entity/Q4792529	2003-02-11	Paper
https://portal.mardi4nfdi.de/entity/Q2771115	2003-02-03	Paper
Martingales versus PDEs in finance: an equivalence result with examples	2002-11-06	Paper
https://portal.mardi4nfdi.de/entity/Q2760384	2002-01-03	Paper
Efficient option valuation using trees	2002-01-01	Paper
Coherent Measures of Risk	2001-11-26	Paper
Heavy Tails and Long Range Dependence in On/Off Processes and Associated Fluid Models	2001-11-26	Paper
https://portal.mardi4nfdi.de/entity/Q4495099	2000-08-10	Paper
How system performance is affected by the interplay of averages in a fluid queue with long range dependence induced by heavy tails	1999-11-14	Paper
Patterns of buffer overflow in a class of queues with long memory in the input stream	1999-01-19	Paper
Bandit problems with infinitely many arms	1998-02-22	Paper
APPROXIMATE COMPLETENESS WITH MULTIPLE MARTINGALE MEASURES	1997-10-01	Paper
Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation	1992-09-26	Paper
Coherent inference from improper priors and from finitely additive priors	1989-01-01	Paper
Leaving an interval in limited playing time	1988-01-01	Paper
Minimizing or Maximizing the Expected Time to Reach Zero	1987-01-01	Paper
On the adequacy of pseudy-random number generators (or: How big a period do we need?)	1986-01-01	Paper
Linear subdivision is strictly a polynomial phenomenon	1984-01-01	Paper
On Means with Countably Additive Continuities	1984-01-01	Paper
With Respect to Tail Sigma Fields, Standard Measures Possess Measurable Disintegrations	1983-01-01	Paper
A note on the performance of limited entry queuing systems	1982-01-01	Paper
Allocation of Shared Costs: A Set of Axioms Yielding A Unique Procedure	1982-01-01	Paper
On finitely additive priors, coherence, and extended admissibility	1978-01-01	Paper
Internal Telephone Billing Rates—A Novel Application of Non-Atomic Game Theory	1978-01-01	Paper
Interpolation of martingales	1977-01-01	Paper
De Finetti's Theorem on Exchangeable Variables	1976-01-01	Paper
https://portal.mardi4nfdi.de/entity/Q4107275	1975-01-01	Paper
Red-and-black with unknown win probability	1974-01-01	Paper
Continuous-time gambling problems	1974-01-01	Paper
https://portal.mardi4nfdi.de/entity/Q4057387	1974-01-01	Paper
Searching for a particle on the real line	1974-01-01	Paper
Functions Possessing Restricted Mean Value Properties	1973-01-01	Paper
On a Theorem of De Finetti, Oddsmaking, and Game Theory	1972-01-01	Paper
Subfair Red-and-Black with a Limit	1972-01-01	Paper
Almost Sure Convergence of Uniform Transport Processes to Brownian Motion	1971-01-01	Paper

Research outcomes over time

Doctoral students

No records found.

Known relations from the MaRDI Knowledge Graph

Property	Value
MaRDI profile type	MaRDI person profile
instance of	human

This page was built for person: David C. Heath