Peter Laurence
Sapienza University of Rome
37 Papers
400 Citations
Peter Laurence is an academic researcher from Sapienza University of Rome. The author has contributed to research in topics: Basket option & Local volatility. The author has an hindex of 18, co-authored 37 publications. Previous affiliations of Peter Laurence include Pennsylvania State University & Worcester Polytechnic Institute.
Chat about Author
Papers
Asymptotics of implied volatility in local volatility models
TL;DR: In this paper, an expansion of the transition density function of a one-dimensional time inhomogeneous diffusion is used to obtain the first and second-order terms in the short time asymptotics of European call option prices.
•Book
Quantitative Modeling of Derivative Securities: From Theory To Practice
Marco Avellaneda,Peter Laurence,Peter Laurence,Peter Laurence +3 more
- 17 Sep 1999
TL;DR: Arbitrage Pricing Theory: The One-Period Model Binomial Option Pricing Model Analysis of the Black-Scholes Formula Refinements of the Binomial Model American-Style Options and Time-Optionality Trinomial Trees and Finite-Difference Schemes Brownian Motion and Ito Calculus An Introduction to Exotic Options Ito Processes, Continuous-Time Martingales, and Girsanov's Theorem Continuous Time Finance: An Introduction Valuation of Derivative Securities Fixed-Income Securities and the Term-Structure of Interest Rates RE
98
Existence of three‐dimensional toroidal MHD equilibria with nonconstant pressure
Oscar P. Bruno,Peter Laurence +1 more
TL;DR: In this paper, the existence of sharp boundary solutions for tori whose departure from axisymmetry is sufficiently small is established, allowing for solutions to be constructed with an arbitrary number of pressure jumps.
71
Quantitative energy finance
TL;DR: Quantitative energy finance as mentioned in this paper, Quantitative Energy finance :, کتابخانه مرکزی دانشگاه علوم پزش-کی ایران
53
Sharp Upper and Lower Bounds for Basket Options
Peter Laurence,Tai-Ho Wang +1 more
TL;DR: In this paper, the problem of maximizing and minimizing the basket option price subject to the constraints of known option prices on the component stocks and consistency with forward prices is treated as an optimization problem.
53