Anthropelos, Michail; Robertson, Scott; Spiliopoulos, Konstantinos Optimal investment, derivative demand, and arbitrage under price impact. (English) Zbl 1522.91204 Math. Finance 31, No. 1, 3-35 (2021). MSC: 91G10 PDFBibTeX XMLCite \textit{M. Anthropelos} et al., Math. Finance 31, No. 1, 3--35 (2021; Zbl 1522.91204) Full Text: DOI arXiv
Jacquier, Antoine; Spiliopoulos, Konstantinos Pathwise moderate deviations for option pricing. (English) Zbl 1508.91562 Math. Finance 30, No. 2, 426-463 (2020). MSC: 91G20 PDFBibTeX XMLCite \textit{A. Jacquier} and \textit{K. Spiliopoulos}, Math. Finance 30, No. 2, 426--463 (2020; Zbl 1508.91562) Full Text: DOI arXiv
Robertson, Scott; Spiliopoulos, Konstantinos Indifference pricing for contingent claims: large deviations effects. (English) Zbl 1403.91324 Math. Finance 28, No. 1, 335-371 (2018). MSC: 91G10 60G44 60F10 PDFBibTeX XMLCite \textit{S. Robertson} and \textit{K. Spiliopoulos}, Math. Finance 28, No. 1, 335--371 (2018; Zbl 1403.91324) Full Text: DOI arXiv
Giesecke, Kay; Spiliopoulos, Konstantinos; Sowers, Richard B.; Sirignano, Justin A. Large portfolio asymptotics for loss from default. (English) Zbl 1314.91228 Math. Finance 25, No. 1, 77-114 (2015). MSC: 91G40 91G10 60F99 60H15 91G60 PDFBibTeX XMLCite \textit{K. Giesecke} et al., Math. Finance 25, No. 1, 77--114 (2015; Zbl 1314.91228) Full Text: DOI arXiv