Research Papers
Pricing path-dependent options in a Black-Scholes market from the distribution of homogeneous Brownian functionals
- Part of:
-
- Published online by Cambridge University Press:
- 14 July 2016, pp. 1-18
-
- Article
- Export citation
Change-point models and conditionally pure birth processes: an inequality on the stochastic intensity
- Part of:
-
- Published online by Cambridge University Press:
- 14 July 2016, pp. 939-952
-
- Article
- Export citation
A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
- Part of:
-
- Published online by Cambridge University Press:
- 14 July 2016, pp. 601-622
-
- Article
- Export citation
Other
Christopher Charles Heyde, AM, DSc, FAA, FASSA
-
- Published online by Cambridge University Press:
- 14 July 2016, pp. vii-x
-
- Article
- Export citation
Research Papers
A revenue-equivalence theorem for electricity auctions
- Part of:
-
- Published online by Cambridge University Press:
- 14 July 2016, pp. 299-312
-
- Article
- Export citation
A class of complete benchmark models with intensity-based jumps
- Part of:
-
- Published online by Cambridge University Press:
- 14 July 2016, pp. 19-34
-
- Article
- Export citation
Other
Publications of Christopher Charles Heyde
-
- Published online by Cambridge University Press:
- 14 July 2016, pp. xi-xviii
-
- Article
- Export citation
Research Papers
Limit theorems for continuous-time random walks with infinite mean waiting times
- Part of:
-
- Published online by Cambridge University Press:
- 14 July 2016, pp. 623-638
-
- Article
- Export citation
Properties of classes of life distribution based on the conditional variance
- Part of:
-
- Published online by Cambridge University Press:
- 14 July 2016, pp. 953-960
-
- Article
- Export citation
Russian options with a finite time horizon
- Part of:
-
- Published online by Cambridge University Press:
- 14 July 2016, pp. 313-326
-
- Article
- Export citation
Part 1. Branching processes
A mosaic of triangular cells formed with sequential splitting rules
- Part of:
-
- Published online by Cambridge University Press:
- 14 July 2016, pp. 3-15
-
- Article
- Export citation
Research Papers
Limiting distributions for minimum relative entropy calibration
- Part of:
-
- Published online by Cambridge University Press:
- 14 July 2016, pp. 35-50
-
- Article
- Export citation
Recurrence properties of autoregressive processes with super-heavy-tailed innovations
- Part of:
-
- Published online by Cambridge University Press:
- 14 July 2016, pp. 639-653
-
- Article
- Export citation
The spectral representation of Bessel processes with constant drift: applications in queueing and finance
- Part of:
-
- Published online by Cambridge University Press:
- 14 July 2016, pp. 327-344
-
- Article
- Export citation
Preservation of positive and negative orthant dependence concepts under mixtures and applications
- Part of:
-
- Published online by Cambridge University Press:
- 14 July 2016, pp. 961-974
-
- Article
- Export citation
On the martingale property of stochastic exponentials
- Part of:
-
- Published online by Cambridge University Press:
- 14 July 2016, pp. 654-664
-
- Article
- Export citation
Path reversal, islands, and the gapped alignment of random sequences
- Part of:
-
- Published online by Cambridge University Press:
- 14 July 2016, pp. 975-983
-
- Article
- Export citation
On the optimal allocation of service to impatient tasks
- Part of:
-
- Published online by Cambridge University Press:
- 14 July 2016, pp. 51-72
-
- Article
- Export citation
Distribution of the amount of genetic material from a chromosomal segment surviving to the following generation
- Part of:
-
- Published online by Cambridge University Press:
- 14 July 2016, pp. 345-354
-
- Article
- Export citation
Part 1. Branching processes
Branching processes in near-critical random environments
- Part of:
-
- Published online by Cambridge University Press:
- 14 July 2016, pp. 17-23
-
- Article
- Export citation