"Veraart, Luitgard A. M."

Article

Gandy, Axel and Veraart, Luitgard A. M. (2013) The effect of estimation in high-dimensional portfolios. Mathematical finance, 23 (3). pp. 531-559. ISSN 0960-1627

Rogers, L.C.G. and Veraart, Luitgard A. M. (2013) Faliure and rescue in an interbank network. Management science, 59 (4). pp. 882-898. ISSN 0025-1909

Veraart, Almut E. D. and Veraart, Luitgard A. M. (2012) Stochastic volatility and stochastic leverage. Annals of finance, 8 (2-3). pp. 205-233. ISSN 1614-2446

Bäuerle, Nicole, Urban, Sebastian and Veraart, Luitgard A. M. (2012) The relaxed investor with partial information. SIAM journal on financial mathematics, 3 (1). pp. 304-327. ISSN 1945-497X

Veraart, Luitgard A. M. (2011) Optimal investment in the foreign exchange market with proportional transaction costs. Quantitative finance, 11 (4). pp. 631-640. ISSN 1469-7688

Veraart, Luitgard A. M. (2010) Optimal market making in the foreign exchange market. Applied mathematical finance, 17 (4). pp. 359-372. ISSN 1350-486X

Kiesel, Rüdiger and Veraart, Luitgard A. M. (2008) A note on the survival probability in CreditGrades. Journal of credit risk, 4 (2). ISSN 1744-6619

Rogers, L.C.G. and Veraart, Luitgard A. M. (2008) A stochastic volatility alternative to SABR. Journal of applied probability, 45 (4). pp. 1071-1085. ISSN 0021-9002

Book Section

Bauerle, N. and Veraart, Luitgard A. M. (2011) Einblicke in die Finanzmathematik: Optionsbewertung und Portfolio-Optimierung. In: Wendland, Katrin and Werner, Annette , (eds.) Facettenreiche Mathematik: Einblicke in die moderne mathematische Forschung für alle, die mehr von Mathematik verstehen wollen. Vieweg & Teubner. ISBN 9783834814142