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Peter Laurence
Peter Laurence
Professor of Applied Mathematics, Universita di Roma 1 and Courant Institute, NYU
Geverifieerd e-mailadres voor courant.nyu.edu
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Quantitative modeling of derivative securities: from theory to practice
M Avellaneda, P Laurence
Chapman & Hall, 2000
198*2000
Asymptotics of implied volatility in local volatility models
J Gatheral, EP Hsu, P Laurence, C Ouyang, TH Wang
Mathematical Finance, 2010
1822010
ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
THW Jim Gatheral1, Elton P. Hsu, Peter Laurence, Cheng
Mathematical Finance 22 (4), 591-620, 2010
182*2010
Static-arbitrage upper bounds for the prices of basket options
D Hobson, P Laurence, TH Wang
Quantitative finance 5 (4), 329-342, 2005
1322005
The ballooning instability in space plasmas
E Hameiri, P Laurence, M Mond
Journal of Geophysical Research: Space Physics 96 (A2), 1513-1526, 1991
1181991
Static-arbitrage optimal subreplicating strategies for basket options
D Hobson, P Laurence, TH Wang
Insurance: Mathematics and Economics 37 (3), 553-572, 2005
672005
Existence of three‐dimensional toroidal MHD equilibria with nonconstant pressure
OP Bruno, P Laurence
Communications on pure and applied mathematics 49 (7), 717-764, 1996
671996
Sharp upper and lower bounds for basket options
P Laurence, TH Wang
Applied Mathematical Finance 12 (3), 253-282, 2005
642005
On Woltjer’s variational principle for force‐free fields
P Laurence, M Avellaneda
Journal of mathematical physics 32 (5), 1240-1253, 1991
541991
Quantitative energy finance
FE Benth, VA Kholodnyi, P Laurence
Modelling, pricing, and hedging in energy and commodity markets, Springer, 2014
472014
Regularity of the free boundary of an American option on several assets
P Laurence, S Salsa
Communications on Pure and Applied Mathematics: A Journal Issued by the …, 2009
472009
The ballooning spectrum of rotating plasmas
E Hameiri, P Laurence
Journal of mathematical physics 25 (2), 396-405, 1984
461984
What’sa basket worth
P Laurence, TH Wang
Risk 17 (2), 73-77, 2004
402004
A new approach to queer differential equations
P Laurence, EW Stredulinsky
Communications on Pure and Applied Mathematics 38 (3), 333-355, 1985
361985
Asymptotics beats Monte Carlo: The case of correlated local vol baskets
C Bayer, P Laurence
Communications on Pure and Applied Mathematics 67 (10), 1618-1657, 2014
352014
On the convexity of geometric functional of level for solutions of certain elliptic partial differential equations
P Laurence
Zeitschrift für angewandte Mathematik und Physik ZAMP 40 (2), 258-284, 1989
261989
Asymptotic Massey products, induced currents and Borromean torus links
P Laurence, E Stredulinsky
Journal of Mathematical Physics 41 (5), 3170-3191, 2000
252000
Existence of Regular Solutions with Convex Levels for Semilinear Elliptic Equations with Nonmonotone L 1 Nonlinearities: Part I: An Approximating Free Boundary Problem
P Laurence, E Stredulinsky
Indiana University Mathematics Journal 39 (4), 1081-1114, 1990
251990
Multi‐asset stochastic local variance contracts
P Carr, P Laurence
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2011
242011
Sharp distribution free lower bounds for spread options and the corresponding optimal subreplicating portfolios
P Laurence, TH Wang
Insurance: Mathematics and Economics 44 (1), 35-47, 2009
242009
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