Alexandre F. Roch

Publication Activity (10 Years)

Years Active: 2011-2021
Publications (10 Years): 1

Top Topics

Numerical Solution

Difference Equations

Top Venues

SIAM J. Financial Math.

Publications

Hitoshi Ishii, Alexandre F. Roch
Existence and Uniqueness of Viscosity Solutions of an Integro-differential Equation Arising in Option Pricing. SIAM J. Financial Math. 12 (2) (2021)
Alexandre F. Roch
Liquidity risk, price impacts and the replication problem. Finance Stochastics 15 (3) (2011)