S. M. Ould Aly

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Forward variance dynamics: Bergomi's model revisited Applied Mathematical Finance	2018-09-11	Paper
From moment explosion to the asymptotic behavior of the cumulative distribution for a random variable Theory of Probability & Its Applications	2017-10-16	Paper
Moment explosions, implied volatility and local volatility at extreme strikes	2016-01-26	Paper
On The Distribution Tail Of Stochastic Differential Equations: The One-Dimensional Case	2016-01-15	Paper
Option pricing for stochastic volatility models: vol-of-vol expansion SIAM Journal on Financial Mathematics	2015-01-20	Paper
Market making and portfolio liquidation under uncertainty International Journal of Theoretical and Applied Finance	2014-09-25	Paper
Parameter sensitivity of CIR process Electronic Communications in Probability	2014-09-22	Paper
A framework for the modeling of order book dynamics based on event sizes	2013-11-29	Paper
Monotonicity of prices in Heston model International Journal of Theoretical and Applied Finance	2013-07-24	Paper

Research outcomes over time

This page was built for person: S. M. Ould Aly