Veraart, Luitgard A. M.


Dr Luitgard A. M. Veraart  

Department

Position held

Department of Mathematics

Associate Professor

Experience keywords:

statistics in finance; systemic risk; modelling of energy markets; pricing of derivatives; financial mathematics; risk management in financial markets; stochastic volatility models; optimal investment problems

Sectors and industries to which research relates:

BankingFinancial Services

Languages:

German [Spoken: Fluent, Written: Fluent]; French [Spoken: Basic, Written: Basic]

Contact Points

LSE phone number:

+44 (0) 207 107 5062

Publications

LSE Research Online, Funnelback Search

2013

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

2012

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

2011

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

2010

Veraart, Luitgard A. M. (2010) Optimal market making in the foreign exchange market Applied Mathematical Finance, 17 (4). 359-372. ISSN 1350-486X

2008

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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