papers
Publications (15)
q-fin.MF2018
On representing and hedging claims for coherent risk measures
Saul Jacka, Seb Armstrong, Abdelkarem Berkaoui
math.PR2008
No-arbitrage and closure results for trading cones with transaction costs
Saul Jacka, Abdelkarem Berkaoui, Jon Warren
math.PR2006
On decomposing risk in a financial-intermediate market and reserving
Saul Jacka, Abdel Berkaoui
math.PR2007
On the density of properly maximal claims in financial markets with transaction costs
Saul Jacka, Abdelkarem Berkaoui
math.PR2009
Markov chains conditioned never to wait too long at the origin
Saul Jacka
math.PR2014
Monotonicity of the value function for a two-dimensional optimal stopping problem
Sigurd Assing, Saul Jacka, Adriana Ocejo
math.PR2018
Minimising the expected commute time
Saul Jacka, Ma. Elena Hernandez-Hernandez
math.PR2011
Minimizing the time to a decision
Saul Jacka, Jon Warren, Peter Windridge
math.PR2015
Markov chain approximations to scale functions of Lévy processes
Aleksandar MijatoviÄ, Matija Vidmar, Saul Jacka
math.PR2005
Random orderings of the integers and card shuffling
Saul Jacka, Jon Warren
q-fin.MF2017
Multi-currency reserving for coherent risk measures
Saul Jacka, Seb Armstrong, Abdel Berkaoui
math.PR2007
On representing claims for coherent risk measures
Saul Jacka, Abdelkarem Berkaoui
math.PR2018
On the informational structure in optimal dynamic stochastic control
Saul Jacka, Matija Vidmar
math.PR2013
Markov chain approximations for transition densities of Lévy processes
Aleksandar MijatoviÄ, Matija Vidmar, Saul Jacka
math.PR2008
The noisy veto-voter model: a Recursive Distributional Equation on [0,1]
Saul Jacka, Marcus Sheehan