LSE creators

Number of items: 24.
Centre for Analysis of Time Series
  • Barrieu, Pauline, Veraart, Luitgard A. M. (2016). Pricing q-forward contracts: an evaluation of estimation window and pricing method under different mortality models. Scandinavian Actuarial Journal, 2016(2), 146-166. https://doi.org/10.1080/03461238.2014.916228
    • Management
  • Gandy, Axel, Veraart, Luitgard A. M. (2017). A Bayesian methodology for systemic risk assessment in financial networks. Management Science, 63(12), 4428 -4446. https://doi.org/10.1287/mnsc.2016.2546
    • Mathematics
  • Pang, Raymond, Veraart, Luitgard A. M. (2025). Collateralised networks with two interacting channels of fire sales. SIAM Journal on Financial Mathematics, picture_as_pdf
  • Veraart, Luitgard A. M., Zhang, Yuliang (2025). Post-trade netting and contagion. Operations Research, https://doi.org/10.1287/opre.2021.0800 picture_as_pdf
  • Veraart, Luitgard A. M., Aldasoro, Iñaki (2025). Systemic risk in markets with multiple central counterparties. Mathematical Finance, 35(1), 214 - 262. https://doi.org/10.1111/mafi.12446 picture_as_pdf
  • Hüser, Anne-Caroline, Lepore, Caterina, Veraart, Luitgard A. M. (2024). How does the repo market behave under stress? Evidence from the COVID-19 crisis. Journal of Financial Stability, 70, https://doi.org/10.1016/j.jfs.2023.101193 picture_as_pdf
  • Pang, Raymond Ka-Kay, Veraart, Luitgard A. M. (2023). Assessing and mitigating fire sales risk under partial information. Journal of Banking and Finance, 155, https://doi.org/10.1016/j.jbankfin.2023.106989 picture_as_pdf
  • Veraart, Luitgard A. M. (2022). When does portfolio compression reduce systemic risk? Mathematical Finance, 32(3), 727 - 778. https://doi.org/10.1111/mafi.12346 picture_as_pdf
  • Gandy, Axel, Veraart, Luitgard A. M. (2021). Compound poisson models for weighted networks with applications in finance. Mathematics and Financial Economics, 15(1), 131 - 153. https://doi.org/10.1007/s11579-020-00268-9 picture_as_pdf
  • Veraart, Luitgard A. M. (2020). Distress and default contagion in financial networks. Mathematical Finance, 30(3), 705 - 737. https://doi.org/10.1111/mafi.12247 picture_as_pdf
  • Kusnetsov, Michael, Veraart, Luitgard A. M. (2019). Interbank clearing in financial networks with multiple maturities. SIAM Journal on Financial Mathematics, 10(1), 37-67. https://doi.org/10.1137/18M1180542 picture_as_pdf
  • Gandy, Axel, Veraart, Luitgard A. M. (2018). Adjustable network reconstruction with applications to CDS exposures. Journal of Multivariate Analysis, https://doi.org/10.1016/j.jmva.2018.08.011
  • Dubois, Mathieu S., Veraart, Luitgard A. M. (2015). Optimal diversification in the presence of parameter uncertainty for a risk averse investor. SIAM Journal on Financial Mathematics, 6(1), 201-241. https://doi.org/10.1137/130942826
  • Veraart, Almut E. D., Veraart, Luitgard A. M. (2014). Modelling electricity day-ahead prices by multivariate Lévy semistationary processes. In Benth, Fred Espen, Kholodnyi, Valery A., Laurence, Peter (Eds.), Quantitative Energy Finance (pp. 157-188). Springer Berlin / Heidelberg. picture_as_pdf
  • Veraart, Almut E.D., Veraart, Luitgard A.M. (2013). Risk premiums in energy markets. Journal of Energy Markets, 6(4), 91-132. https://doi.org/10.21314/JEM.2013.102
  • Gandy, Axel, Veraart, Luitgard A. M. (2013). The effect of estimation in high-dimensional portfolios. Mathematical Finance, 23(3), 531-559. https://doi.org/10.1111/j.1467-9965.2011.00505.x
  • Rogers, L.C.G., Veraart, Luitgard A. M. (2013). Faliure and rescue in an interbank network. Management Science, 59(4), 882-898. https://doi.org/10.1287/mnsc.1120.1569
  • Veraart, Almut E. D., Veraart, Luitgard A. M. (2012). Stochastic volatility and stochastic leverage. Annals of Finance, 8(2-3), 205-233. https://doi.org/10.1007/s10436-010-0157-3
  • Bäuerle, Nicole, Urban, Sebastian, Veraart, Luitgard A. M. (2012). The relaxed investor with partial information. SIAM Journal on Financial Mathematics, 3(1), 304-327. https://doi.org/10.1137/100813646
  • Bauerle, N., Veraart, Luitgard A. M. (2011). Einblicke in die Finanzmathematik: Optionsbewertung und Portfolio-Optimierung. In Wendland, Katrin, Werner, Annette (Eds.), Facettenreiche Mathematik: Einblicke in Die Moderne Mathematische Forschung Für Alle, Die Mehr Von Mathematik Verstehen Wollen . Vieweg & Teubner.
  • Veraart, Luitgard A. M. (2011). Optimal investment in the foreign exchange market with proportional transaction costs. Quantitative Finance, 11(4), 631-640. https://doi.org/10.1080/14697680903460150
  • Veraart, Luitgard A. M. (2010). Optimal market making in the foreign exchange market. Applied Mathematical Finance, 17(4), 359-372. https://doi.org/10.1080/13504860903387588
  • Kiesel, Rüdiger, Veraart, Luitgard A. M. (2008). A note on the survival probability in CreditGrades. Journal of Credit Risk, 4(2).
  • Rogers, L.C.G., Veraart, Luitgard A. M. (2008). A stochastic volatility alternative to SABR. Journal of Applied Probability, 45(4), 1071-1085. https://doi.org/10.1239/jap/1231340234
    • Statistics
  • Barrieu, Pauline, Veraart, Luitgard A. M. (2016). Pricing q-forward contracts: an evaluation of estimation window and pricing method under different mortality models. Scandinavian Actuarial Journal, 2016(2), 146-166. https://doi.org/10.1080/03461238.2014.916228