University of Limerick Institutional Repository

Browsing Mathematics & Statistics by Author "Mayerhofer, Eberhard"

DSpace Repository

Browsing Mathematics & Statistics by Author "Mayerhofer, Eberhard"

Sort by: Order: Results:

  • Guasoni, Paolo; Mayerhofer, Eberhard (Wiley and Sons Ltd, 2019)
    When trading incurs proportional costs, leverage can scale an asset's return only up to a maximum multiple, which is sensitive to its volatility and liquidity. In a model with one safe and one risky asset, with constant ...
  • Mayerhofer, Eberhard (MDPI, 2019)
    First, we give a closed-form formula for first passage time of a reflected Brownian motion with drift. This corrects a formula by Perry et al. (2004). Second, we show that the maximum before a fixed drawdown is exponentially ...

Search ULIR


Browse

My Account

Statistics