Carolyn E. Phelan

Publication Activity (10 Years)

Years Active: 2018-2021
Publications (10 Years): 3

Top Topics

Black Scholes Model

Polynomial Equations

Hilbert Transform

Top Venues

Ann. Oper. Res.

Eur. J. Oper. Res.

University College London, UK (PHD)

Education History

University College London, UK

PHD

Publications

Guido Germano, Carolyn E. Phelan, Daniele Marazzina, Gianluca Fusai
Solution of Wiener-Hopf and Fredholm integral equations by fast Hilbert and Fourier transforms. CoRR (2021)
Carolyn E. Phelan, Daniele Marazzina, Gianluca Fusai, Guido Germano
Hilbert transform, spectral filters and option pricing. Ann. Oper. Res. 282 (1-2) (2019)
Carolyn E. Phelan, Daniele Marazzina, Gianluca Fusai, Guido Germano
Fluctuation identities with continuous monitoring and their application to the pricing of barrier options. Eur. J. Oper. Res. 271 (1) (2018)