Quantitative modeling of derivative securities: from theory to practice M Avellaneda, P Laurence
Chapman & Hall, 2000
183 2000 Asymptotics of implied volatility in local volatility models J Gatheral, EP Hsu, P Laurence, C Ouyang, TH Wang
Mathematical Finance, 2010
162 2010 ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS THW Jim Gatheral1, Elton P. Hsu, Peter Laurence, Cheng
Mathematical Finance 22 (4), 591-620, 2010
162 * 2010 Static-arbitrage upper bounds for the prices of basket options D Hobson, P Laurence, TH Wang
Quantitative finance 5 (4), 329-342, 2005
118 2005 The ballooning instability in space plasmas E Hameiri, P Laurence, M Mond
Journal of Geophysical Research: Space Physics 96 (A2), 1513-1526, 1991
105 1991 Sharp upper and lower bounds for basket options P Laurence, TH Wang
Applied Mathematical Finance 12 (3), 253-282, 2005
57 2005 Static-arbitrage optimal subreplicating strategies for basket options D Hobson, P Laurence, TH Wang
Insurance: Mathematics and Economics 37 (3), 553-572, 2005
54 2005 Existence of three‐dimensional toroidal MHD equilibria with nonconstant pressure OP Bruno, P Laurence
Communications on pure and applied mathematics 49 (7), 717-764, 1996
49 1996 On Woltjer’s variational principle for force‐free fields P Laurence, M Avellaneda
Journal of mathematical physics 32 (5), 1240-1253, 1991
46 1991 The ballooning spectrum of rotating plasmas E Hameiri, P Laurence
Journal of mathematical physics 25 (2), 396-405, 1984
44 1984 What’sa basket worth P Laurence, TH Wang
Risk 17 (2), 73-77, 2004
38 2004 Regularity of the free boundary of an American option on several assets P Laurence, S Salsa
Communications on Pure and Applied Mathematics: A Journal Issued by the …, 2009
36 2009 A new approach to queer differential equations P Laurence, EW Stredulinsky
Communications on Pure and Applied Mathematics 38 (3), 333-355, 1985
36 1985 Quantitative energy finance FE Benth, VA Kholodnyi, P Laurence
Modelling, pricing, and hedging in energy and commodity markets, 2014
35 2014 Gradient bounds and rigidity results for singular, degenerate, anisotropic partial differential equations M Cozzi, A Farina, E Valdinoci
arXiv preprint arXiv:1305.2303, 2013
32 2013 Asymptotics beats Monte Carlo: The case of correlated local vol baskets C Bayer, P Laurence
Communications on Pure and Applied Mathematics 67 (10), 1618-1657, 2014
28 2014 Existence of Regular Solutions with Convex Levels for Semilinear Elliptic Equations with Nonmonotone L 1 Nonlinearities: Part I: An Approximating Free Boundary Problem P Laurence, E Stredulinsky
Indiana University Mathematics Journal 39 (4), 1081-1114, 1990
26 1990 Asymptotic Massey products, induced currents and Borromean torus links P Laurence, E Stredulinsky
Journal of Mathematical Physics 41 (5), 3170-3191, 2000
24 2000 Second Order Expansion for Implied Volatility in Two Factor Local Stochastic Volatility Models and Applications to the Dynamic GB Arous, P Laurence
Large Deviations and Asymptotic Methods in Finance, 89-136, 2015
21 2015 On the convexity of geometric functional of level for solutions of certain elliptic partial differential equations P Laurence
Zeitschrift für angewandte Mathematik und Physik ZAMP 40 (2), 258-284, 1989
21 1989 