Antonis Papapantoleon

Available identifiers

zbMath Open papapantoleon.antonisWikidataQ102305978 ScholiaQ102305978MaRDI QIDQ356478

List of research outcomes

Publication	Date of Publication	Type
Old and new approaches to LIBOR modeling	2024-07-16	Paper
Stability of backward stochastic differential equations: the general Lipschitz case	2023-07-04	Paper
Detection of arbitrage opportunities in multi-asset derivatives markets	2022-03-01	Paper
Marginal and Dependence Uncertainty: Bounds, Optimal Transport, and Sharpness	2022-03-01	Paper
An Equilibrium Model for Spot and Forward Prices of Commodities	2020-03-11	Paper
Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA	2020-02-17	Paper
Stability results for martingale representations: The general case	2019-10-24	Paper
Model-free bounds on value-at-risk using extreme value information and statistical distances	2019-05-23	Paper
Existence and uniqueness results for BSDE with jumps: the whole nine yards	2019-02-14	Paper
Multivariate Shortfall Risk Allocation and Systemic Risk	2018-04-16	Paper
EXPANSION FORMULAS FOR EUROPEAN QUANTO OPTIONS IN A LOCAL VOLATILITY FX-LIBOR MODEL	2018-04-11	Paper
Improved Fréchet-Hoeffding bounds on \(d\)-copulas and applications in model-free finance	2018-03-08	Paper
A Unified View of LIBOR Models	2017-07-31	Paper
Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration	2015-10-21	Paper
The affine LIBOR models	2013-10-11	Paper
A tractable LIBOR model with default risk	2013-07-25	Paper
A Fourier Approach to the Computation of CV@R and Optimized Certainty Equivalents	2012-12-30	Paper
Analyticity of the Wiener–Hopf Factors and Valuation of Exotic Options in Lévy Models	2011-08-08	Paper
Efficient and accurate log-L\'evy approximations to L\'evy driven LIBOR models	2011-06-04	Paper
Analysis of Fourier Transform Valuation Formulas and Applications	2010-09-21	Paper
Picard approximation of stochastic differential equations and application to LIBOR models	2010-07-20	Paper
Esscher transform and the duality principle for multidimensional semimartingales	2010-07-13	Paper
On the valuation of compositions in Lévy term structure models	2010-02-05	Paper
Old and new approaches to LIBOR modeling	2009-10-26	Paper
Strong Taylor approximation of stochastic differential equations and application to the L\'evy LIBOR model	2009-06-30	Paper
On the duality principle in option pricing: semimartingale setting	2008-06-18	Paper
An introduction to L\'{e}vy processes with applications in finance	2008-04-03	Paper
Computation of copulas by Fourier methods	2007-05-09	Paper
SYMMETRIES IN LÉVY TERM STRUCTURE MODELS	2006-09-12	Paper
Equivalence of floating and fixed strike Asian and lookback options	2005-08-05	Paper
A time-stepping deep gradient flow method for option pricing in (rough) diffusion models	N/A	Paper

Research outcomes over time

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