LSE creators

Number of items: 8.
2021
  • Gapeev, Pavel V., Rodosthenous, Neofytos (2021). Optimal stopping games in models with various information flows. Stochastic Analysis and Applications, 39(6), 1050 - 1094. https://doi.org/10.1080/07362994.2020.1871013 picture_as_pdf
    • 2019
  • Zervos, Mihail, Rodosthenous, Neofytos, Lon, Pui Chan, Bernhardt, Thomas (2019). Discretionary stopping of stochastic differential equations with generalised drift. Electronic Journal of Probability, 24, 1 - 39. https://doi.org/10.1214/19-EJP377 picture_as_pdf
  • Gapeev, Pavel V., Rodosthenous, Neofytos, Chinthalapati, V.L Raju (2019). On the Laplace transforms of the first hitting times for drawdowns and drawups of diffusion-type processes. Risks, 7(3). https://doi.org/10.3390/risks7030087 picture_as_pdf
    • 2017
  • Rodosthenous, Neofytos, Zervos, Mihail (2017). Watermark options. Finance and Stochastics, 21(1), 157-186. https://doi.org/10.1007/s00780-016-0319-x
    • 2016
  • Gapeev, Pavel V., Rodosthenous, Neofytos (2016). Perpetual American options in diffusion-typemodels with running maxima and drawdowns. Stochastic Processes and Their Applications, 126(7), 2038-2061. https://doi.org/10.1016/j.spa.2016.01.003
    • 2015
  • Gapeev, Pavel V., Rodosthenous, Neofytos (2015). On the drawdowns and drawups in diffusion-type models with running maxima and minima. Journal of Mathematical Analysis and Applications, 434(1), 413-431. https://doi.org/10.1016/j.jmaa.2015.09.013
    • 2014
  • Gapeev, Pavel V., Rodosthenous, Neofytos (2014). Optimal stopping problems in diffusion-type models with running maxima and drawdowns. Journal of Applied Probability, 51(3), 799-817. https://doi.org/10.1239/jap/1409932675
    • 2013
  • Rodosthenous, Neofytos (2013). Optimal stopping problems in mathematical finance [Doctoral thesis]. London School of Economics and Political Science. picture_as_pdf