Concepedia

Peter Laurence

PL

19

Publications

907

Citations

16

H-Index

1984

Active since

Affiliations

Sapienza University of Rome(Current)

Courant Institute of Mathematical Sciences

New York University

National Chung Cheng University

Baruch College

Peter Laurence is an author at Sapienza University of Rome specializing in business, option pricing, and finance.

Top concepts

BusinessFinanceEngineeringAsset PricingOption PricingProbabilityFunctional AnalysisMathematical ProgrammingPhysicsFinancial Engineering

Publications per year

1984–2013

19

Publications

19

ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS

Jim Gatheral, Elton P. Hsu, Peter Laurence et al. · Mathematical Finance · 2010 · 170 citations

Option Prices Approximations, Volatility Modeling, Option Pricing +7

Static-arbitrage upper bounds for the prices of basket options

David Hobson, Peter Laurence, Tai‐Ho Wang · Quantitative Finance · 2005 · 137 citations

Mathematical Programming, Engineering, Basket Option +18

The ballooning instability in space plasmas

Eliezer Hameiri, Peter Laurence, M. Mond · Journal of Geophysical Research Atmospheres · 1991 · 103 citations

Ballooning Instability, Space Plasma Physics, Engineering +11

Static-arbitrage optimal subreplicating strategies for basket options

David Hobson, Peter Laurence, Tai‐Ho Wang · Insurance Mathematics and Economics · 2005 · 60 citations

Mathematical Programming, Economics, Basket Options +8

Sharp Upper and Lower Bounds for Basket Options

Peter Laurence, Tai‐Ho Wang · Applied Mathematical Finance · 2005 · 53 citations

Mathematical Programming, Sharp Upper Bounds, Engineering +17

Rows per page

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