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Financial modelling with jump processes
Cont, Rama, (2004)
Lévy processes in finance : the change of measure and non-linear dependence
Wannenwetsch, Jens, (2005)
On the running maximum of brownian motion and associated lookback options
Ho, Tak Yui, (2018)
Market structure and instability artifacts in heterogeneous agent models : lessons from implicit discretizations of stiff equations
Baumann, Michael, (2023)
Simultaneously long short trading in discrete and continuous time
Baumann, Michael, (2016)
"Performance and effects of linear feedback stock trading strategies"
Baumann, Michael, (2018)