Browsing 01 Mathematical Sciences by Author "Glover, Kristoffer"

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Browsing 01 Mathematical Sciences by Author "Glover, Kristoffer"

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  • Glover, Kristoffer; Peskir, Goran; Samee, F (Taylor and Francis, 2011)
    Following the economic rationale of the British put and call option, we present a new class of lookback options (by first studying the canonical 'Russian' variant) where the holder enjoys the early exercise feature of ...
  • Glover, Kristoffer; Duck, Peter; Newton, David (SIAM Publishing, 2010)
    The recent financial crisis and related liquidity issues have illuminated an urgent need for a better understanding of the effects of limited liquidity on all aspects of the financial system. This paper considers such ...
  • Glover, Kristoffer; Hulley, Hardy; Peskir, Goran (Inst Mathematical Statistics, 2013)