IDEAS home Printed from https://ideas.repec.org/e/ply46.html
   My authors  Follow this author

Terry John Lyons

Personal Details

First Name:Terry
Middle Name:John
Last Name:Lyons
Suffix:
RePEc Short-ID:ply46
[This author has chosen not to make the email address public]

Affiliation

(50%) Oxford-Man Institute of Quantitative Finance
Oxford University

Oxford, United Kingdom
http://www.oxford-man.ox.ac.uk/

: +44 (0)1865 616600
+44 (0)1865 616601
Blue Boar Court, 9 Alfred Street, Oxford, OX1 4EH
RePEc:edi:omioxuk (more details at EDIRC)

(50%) Mathematical and Computational Finance Group
Oxford University

Oxford, United Kingdom
http://www.maths.ox.ac.uk/mcfg/

: +44 1865 280612
+44 1865 270515
Mathematical Institute, 24-29 St. Giles', Oxford, OX1 3LB
RePEc:edi:ccfoxuk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. G. Liang & T. Lyons & Z. Qian, 2010. "A Functional Approach to FBSDEs and Its Application in Optimal Portfolios," Papers 1011.4499, arXiv.org.

Articles

  1. Lyons, T. J. & Röckner, M. & Zhang, T. S., 1996. "Martingale decomposition of Dirichlet processes on the Banach space C0[0, 1]," Stochastic Processes and their Applications, Elsevier, vol. 64(1), pages 31-38, November.
  2. T. J. Lyons, 1995. "Uncertain volatility and the risk-free synthesis of derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 2(2), pages 117-133.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. G. Liang & T. Lyons & Z. Qian, 2010. "A Functional Approach to FBSDEs and Its Application in Optimal Portfolios," Papers 1011.4499, arXiv.org.

    Cited by:

    1. Vicky Henderson & Gechun Liang, 2011. "A Multidimensional Exponential Utility Indifference Pricing Model with Applications to Counterparty Risk," Papers 1111.3856, arXiv.org, revised Sep 2015.

Articles

  1. T. J. Lyons, 1995. "Uncertain volatility and the risk-free synthesis of derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 2(2), pages 117-133.

    Cited by:

    1. Antoine Jacquier & Patrick Roome, 2015. "Black-Scholes in a CEV random environment," Papers 1503.08082, arXiv.org, revised Nov 2017.
    2. Li, Xinpeng & Peng, Shige, 2011. "Stopping times and related Itô's calculus with G-Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 121(7), pages 1492-1508, July.
    3. Daniel Fernholz & Ioannis Karatzas, 2012. "Optimal arbitrage under model uncertainty," Papers 1202.2999, arXiv.org.
    4. Mahayni, Antje & Schneider, Judith C., 2012. "Variable annuities and the option to seek risk: Why should you diversify?," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2417-2428.
    5. Kim Weston, 2016. "Stability of utility maximization in nonequivalent markets," Finance and Stochastics, Springer, vol. 20(2), pages 511-541, April.
    6. Peter Bank & Yan Dolinsky & Selim Gokay, 2014. "Super-replication with nonlinear transaction costs and volatility uncertainty," Papers 1411.1229, arXiv.org, revised Jun 2015.
    7. Jean-Pierre Fouque & Ning Ning, 2017. "Uncertain Volatility Models with Stochastic Bounds," Papers 1702.05036, arXiv.org.
    8. Nicolas Perkowski & David J. Promel, 2013. "Pathwise stochastic integrals for model free finance," Papers 1311.6187, arXiv.org, revised Jun 2016.
    9. Chen An & Mahayni Antje B., 2008. "Endowment Assurance Products: Effectiveness of Risk-Minimizing Strategies under Model Risk," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 2(2), pages 1-29, March.
    10. Sergey Nadtochiy & Jan Obloj, 2016. "Robust Trading of Implied Skew," Papers 1611.05518, arXiv.org.
    11. Branger, Nicole & Mahayni, Antje, 2006. "Tractable hedging: An implementation of robust hedging strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 30(11), pages 1937-1962, November.
    12. Dylan Possamai & Guillaume Royer & Nizar Touzi, 2013. "On the Robust superhedging of measurable claims," Papers 1302.1850, arXiv.org, revised Feb 2013.
    13. Zhaoxu Hou & Jan Obloj, 2015. "On robust pricing-hedging duality in continuous time," Papers 1503.02822, arXiv.org, revised Jul 2015.
    14. Wei Chen, 2013. "Fractional G-White Noise Theory, Wavelet Decomposition for Fractional G-Brownian Motion, and Bid-Ask Pricing Application to Finance Under Uncertainty," Papers 1306.4070, arXiv.org.
    15. Amine Ismail & Huy^en Pham, 2016. "Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix ," Papers 1610.06805, arXiv.org, revised Mar 2017.
    16. Umberto Cherubini, 1997. "Fuzzy measures and asset prices: accounting for information ambiguity," Applied Mathematical Finance, Taylor & Francis Journals, vol. 4(3), pages 135-149.
    17. Marcel Nutz & Jianfeng Zhang, 2012. "Optimal stopping under adverse nonlinear expectation and related games," Papers 1212.2140, arXiv.org, revised Sep 2015.
    18. Sebastian Herrmann & Johannes Muhle-Karbe, 2017. "Model uncertainty, recalibration, and the emergence of delta–vega hedging," Finance and Stochastics, Springer, vol. 21(4), pages 873-930, October.
    19. Ali Bora Yigibasioglu & Carol Alexandra, 2004. "An Uncertain Volatility Explanation for Delayed Calls of Convertible Bonds," ICMA Centre Discussion Papers in Finance icma-dp2004-07, Henley Business School, Reading University.
    20. Joel Vanden, 2006. "Exact Superreplication Strategies for a Class of Derivative Assets," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(1), pages 61-87.
    21. David Hobson, 2010. "Comparison results for stochastic volatility models via coupling," Finance and Stochastics, Springer, vol. 14(1), pages 129-152, January.
    22. Sebastian Herrmann & Johannes Muhle-Karbe & Frank Thomas Seifried, 2017. "Hedging with small uncertainty aversion," Finance and Stochastics, Springer, vol. 21(1), pages 1-64, January.
    23. Simone Scotti, 2012. "Asset Pricing under uncertainty," Papers 1203.5664, arXiv.org.
    24. Drapeau, Samuel & Heyne, Gregor & Kupper, Michael, 2015. "Minimal supersolutions of BSDEs under volatility uncertainty," Stochastic Processes and their Applications, Elsevier, vol. 125(8), pages 2895-2909.
    25. Erhan Bayraktar & Alexander Munk, 2017. "Mini-Flash Crashes, Model Risk, and Optimal Execution," Papers 1705.09827, arXiv.org.
    26. Nicole Branger & Antje Mahayni, 2011. "Tractable hedging with additional hedge instruments," Review of Derivatives Research, Springer, vol. 14(1), pages 85-114, April.
    27. Giorgio Fabbri & Fausto Gozzi & Andrzej Swiech, 2017. "Stochastic Optimal Control in Infinite Dimensions - Dynamic Programming and HJB Equations," Post-Print hal-01505767, HAL.
    28. Simone Scotti, 2010. "The impact of uncertainties on the pricing of contingent claims," Papers 1001.5202, arXiv.org.
    29. Daniel Bartl & Michael Kupper & Ariel Neufeld, 2017. "Pathwise superhedging on prediction sets," Papers 1711.02764, arXiv.org.
    30. H. A. Windcliff & P. A. Forsyth & K. R. Vetzal, 2006. "Numerical Methods and Volatility Models for Valuing Cliquet Options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(4), pages 353-386.
    31. Johannes Muhle-Karbe & Marcel Nutz, 2018. "A risk-neutral equilibrium leading to uncertain volatility pricing," Finance and Stochastics, Springer, vol. 22(2), pages 281-295, April.
    32. Johannes Muhle-Karbe & Marcel Nutz, 2016. "A Risk-Neutral Equilibrium Leading to Uncertain Volatility Pricing," Papers 1612.09152, arXiv.org, revised Jan 2018.
    33. Larry G. Epstein & Shaolin Ji, 2013. "Ambiguous volatility and asset pricing in continuous time," Papers 1301.4614, arXiv.org.
    34. Rafa{l} M. {L}ochowski & Nicolas Perkowski & David J. Promel, 2016. "A superhedging approach to stochastic integration," Papers 1609.02349, arXiv.org, revised Sep 2017.
    35. Vladimir Vovk, 2012. "Continuous-time trading and the emergence of probability," Finance and Stochastics, Springer, vol. 16(4), pages 561-609, October.
    36. Peter Carr & Travis Fisher & Johannes Ruf, 2012. "On the Hedging of Options On Exploding Exchange Rates," Papers 1202.6188, arXiv.org, revised Nov 2013.
    37. Daniel Bartl & Michael Kupper & David J. Promel & Ludovic Tangpi, 2017. "Duality for pathwise superhedging in continuous time," Papers 1705.02933, arXiv.org, revised Sep 2017.
    38. Yulian Fan & Huadong Zhang, 2017. "The pricing of average options with jump diffusion processes in the uncertain volatility model," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 1-31, March.
    39. Sergey Nadtochiy & Jan Obłój, 2017. "Robust Trading Of Implied Skew," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(02), pages 1-41, March.
    40. Gapeev Pavel V. & Sottinen Tommi & Valkeila Esko, 2011. "Robust replication in H-self-similar Gaussian market models under uncertainty," Statistics & Risk Modeling, De Gruyter, vol. 28(1), pages 37-50, March.
    41. Peng, Shige, 2008. "Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation," Stochastic Processes and their Applications, Elsevier, vol. 118(12), pages 2223-2253, December.
    42. Timothy C. Johnson, 2012. "Ethics and Finance: the role of mathematics," Papers 1210.5390, arXiv.org.
    43. Sebastian Herrmann & Johannes Muhle-Karbe, 2017. "Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging," Papers 1704.04524, arXiv.org.
    44. RØdiger Frey, 2000. "Superreplication in stochastic volatility models and optimal stopping," Finance and Stochastics, Springer, vol. 4(2), pages 161-187.
    45. Adam Smith, 2002. "American options under uncertain volatility," Applied Mathematical Finance, Taylor & Francis Journals, vol. 9(2), pages 123-141.
    46. Yuhong Xu, 2014. "Robust valuation and risk measurement under model uncertainty," Papers 1407.8024, arXiv.org.
    47. Rüdiger Frey & Carlos A. Sin, 1999. "Bounds on European Option Prices under Stochastic Volatility," Mathematical Finance, Wiley Blackwell, vol. 9(2), pages 97-116.
    48. Dirk Becherer & Klebert Kentia, 2017. "Good Deal Hedging and Valuation under Combined Uncertainty about Drift and Volatility," Papers 1704.02505, arXiv.org.
    49. Kaj Nystrom & Mikko Parviainen, 2014. "Tug-of-war, market manipulation and option pricing," Papers 1410.1664, arXiv.org.
    50. Sebastian Herrmann & Johannes Muhle-Karbe & Frank Thomas Seifried, 2016. "Hedging with Small Uncertainty Aversion," Papers 1605.06429, arXiv.org.
    51. Dylan Possamai & Xiaolu Tan & Chao Zhou, 2015. "Stochastic control for a class of nonlinear kernels and applications," Papers 1510.08439, arXiv.org, revised Jul 2017.
    52. Balder, Sven & Brandl, Michael & Mahayni, Antje, 2009. "Effectiveness of CPPI strategies under discrete-time trading," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 204-220, January.
    53. Romain Blanchard & Laurence Carassus, 2017. "Convergence of utility indifference prices to the superreplication price in a multiple-priors framework," Papers 1709.09465, arXiv.org.
    54. Rosella Castellano & Roy Cerqueti, 2013. "Roots and effects of financial misperception in a stochastic dominance framework," Quality & Quantity: International Journal of Methodology, Springer, vol. 47(6), pages 3371-3389, October.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 1 paper announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. No paper was announced in a field specific NEP report

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Terry John Lyons should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.