LSE creators

Number of items: 6.
LSE
  • Feinstein, Zachary, Sojmark, Andreas (2021). Short communication: dynamic default contagion in heterogeneous interbank systems. SIAM Journal on Financial Mathematics, 12(4), SC83-SC97. https://doi.org/10.1137/20M1376765 picture_as_pdf
  • Ledger, Sean, Søjmark, Andreas (2021). At the mercy of the common noise: blow-ups in a conditional McKean–Vlasov Problem. Electronic Journal of Probability, 26(none). https://doi.org/10.1214/21-EJP597 picture_as_pdf
    • Mathematics
  • Feinstein, Zachary, Sojmark, Andreas (2021). Short communication: dynamic default contagion in heterogeneous interbank systems. SIAM Journal on Financial Mathematics, 12(4), SC83-SC97. https://doi.org/10.1137/20M1376765 picture_as_pdf
    • Statistics
  • Hambly, Ben, Petronilia, Aldaïr, Reisinger, Christoph, Rigger, Stefan, Søjmark, Andreas (2025). Contagious McKean–Vlasov problems with common noise: from smooth to singular feedback through hitting times. Electronic Journal of Probability, 30, https://doi.org/10.1214/25-EJP1347 picture_as_pdf
  • Hambly, Ben, Meier, Julian, Sojmark, Andreas (2025). An SPDE with Robin-type boundary for a system of elastically killed diffusions on the positive half-line. Stochastic Processes and Their Applications, 179, https://doi.org/10.1016/j.spa.2024.104520 picture_as_pdf
  • Horvath, Blanka, Jacquier, Antoine, Muguruza, Aitor, Søjmark, Andreas (2024). Functional central limit theorems for rough volatility. Finance and Stochastics, 28(3), 615 - 661. https://doi.org/10.1007/s00780-024-00533-5 picture_as_pdf
  • Feinstein, Zachary, Sojmark, Andreas (2023). Contagious McKean–Vlasov systems with heterogeneous impact and exposure. Finance and Stochastics, 27(3), 663 - 711. https://doi.org/10.1007/s00780-023-00504-2 picture_as_pdf