Research
Articles
|
| Samperi, D. (2002), Calibrating a Diffusion Pricing
Model with Uncertain Volatility: Regularization and Stability,
Mathematical Finance 12(1), 71-87.
|
| Delbaen, F., Grandits, P.,
Rheinländer,
T., Samperi, D., Schweizer, M., Stricker, C. (2002), Exponential Hedging and Entropic
Penalties, Mathematical Finance, 12(2), 99-123.
|
| Samperi, D. (1998), Inverse Problems, Model
Selection and Entropy in Derivative Security Pricing,
Ph.D. thesis, New York University.
|
| Avellaneda, M., Friedman, C.,
Holmes, R.,
Samperi, D. (1997), Calibrating
Volatility Surfaces via Relative-Entropy Minimization,
Applied Mathematical Finance, 4(1), 37-64.
|
| Samperi, D. (1995), Implied Binomial and Trinomial
Trees, Citibank research report. |
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