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Department of Mathematics
Associate Professor
+44 (0) 207 107 5062
l.veraart@lse.ac.uk
Gandy, Axel and Veraart, Luitgard A. M. (2016) A Bayesian methodology for systemic risk assessment in financial networks Management Science. ISSN 0025-1909
Dubois, Mathieu S. and Veraart, Luitgard A. M. (2015) Optimal diversification in the presence of parameter uncertainty for a risk averse investor SIAM Journal on Financial Mathematics, 6 (1). 201-241. ISSN 1945-497X
Gandy, Axel and Veraart, Luitgard A. M. (2013) The effect of estimation in high-dimensional portfolios Mathematical Finance, 23 (3). 531-559. ISSN 0960-1627
Rogers, L.C.G. and Veraart, Luitgard A. M. (2013) Faliure and rescue in an interbank network Management Science, 59 (4). 882-898. ISSN 0025-1909
Veraart, Almut E. D. and Veraart, Luitgard A. M. (2012) Stochastic volatility and stochastic leverage Annals of Finance, 8 (2-3). 205-233. ISSN 1614-2446
Bäuerle, Nicole and Urban, Sebastian and Veraart, Luitgard A. M. (2012) The relaxed investor with partial information SIAM Journal on Financial Mathematics, 3 (1). 304-327. ISSN 1945-497X
Bauerle, N. and Veraart, Luitgard A. M. (2011) Einblicke in die Finanzmathematik: Optionsbewertung und Portfolio-Optimierung In: Wendland, Katrin and Werner, Annette , (eds.) Facettenreiche Mathematik: Einblicke in Die Moderne Mathematische Forschung Für Alle, Die Mehr Von Mathematik Verstehen Wollen. Vieweg & Teubner. ISBN 9783834814142
Veraart, Luitgard A. M. (2011) Optimal investment in the foreign exchange market with proportional transaction costs Quantitative Finance, 11 (4). 631-640. ISSN 1469-7688
Veraart, Luitgard A. M. (2010) Optimal market making in the foreign exchange market Applied Mathematical Finance, 17 (4). 359-372. ISSN 1350-486X
Kiesel, Rüdiger and Veraart, Luitgard A. M. (2008) A note on the survival probability in CreditGrades Journal of Credit Risk, 4 (2). ISSN 1744-6619
Rogers, L.C.G. and Veraart, Luitgard A. M. (2008) A stochastic volatility alternative to SABR Journal of Applied Probability, 45 (4). 1071-1085. ISSN 0021-9002
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