Sergey Badikov

Imperial College London

South Kensington Campus

Exhibition Road

London, Greater London SW7 2AZ

United Kingdom

SCHOLARLY PAPERS

2

DOWNLOADS

88

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

No-Arbitrage Bounds for the Forward Smile Given Marginals

Number of pages: 20 Posted: 28 Mar 2016 Last Revised: 07 Oct 2016
Imperial College London, Imperial College London, Imperial College London-Department of Mathematics and Imperial College London - Department of Mathematics
Downloads 48 (472,258)
Citation 2

Abstract:

Loading...

Optimal transport, forward smile, linear programme

2.

Perturbation Analysis of Sub/Super Hedging Problems

Number of pages: 29 Posted: 28 Jun 2018
Sergey Badikov, Mark Davis and Antoine (Jack) Jacquier
Imperial College London, Imperial College London and Imperial College London
Downloads 40 (507,213)

Abstract:

Loading...

duality, infinity-dimensional linear programming, super-hedging, perturbation methods