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Publications

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Roux A.  2011.  The fundamental theorem of asset pricing under bid-ask and interest rate spreads. Journal of Mathematical Economics. 47
Roux A, Zastawniak T.  2006.  A counter-example to an option pricing formula under transaction costs. Finance and Stochastics. 10:575-578. Abstract
Roux A.  2008.  Options under transaction costs. Abstract
Roux A, Zastawniak T.  2009.  American options under proportional transaction costs: Pricing, hedging and stopping algorithms for long and short positions. Acta Applicandae Mathematicae. 106:199-228. Abstract
Roux A, Tokarz K, Zastawniak T.  2008.  Options under proportional transaction costs: An algorithmic approach to pricing and hedging. Acta Applicandae Mathematicae. 103:201-209. Abstract
Roux A.  2006.  European and American options under proportional transaction costs. Abstract
Roux A.  2007.  The fundamental theorem of asset pricing under proportional transaction costs. Abstract
Roux A, Zastawniak T, Zhang N.  2012.  Parallel Binomial American Option Pricing under Proportional Transaction Costs. Applied Mathematics. 3(11)
Roux A, Tien C-Y, Zastawniak T.  2011.  Derivative Securities in Markets with Bid-Ask Spreads. Global and Stochastic Analysis. 1(2):35. Abstract
Roux A, Zastawniak T, Zhang N.  2011.  Parallel binomial valuation of American options with proportional transaction costs. Advanced Parallel Processing Technology Symposium, Shanghai, China, September 2011. 6965:88--97.
Roux A, Zastawniak T.  2006.  American options under proportional transaction costs: seller's price algorithm, hedging strategy and optimal stopping.
Roux A, Zastawniak T.  2011.  American and Bermudan options in currency markets under proportional transaction costs. Finance and Stochastics. Abstract
Routledge I, Vuren VT.  1998.  Putting the "M" into UTMC. Traffic Engineering and Control. 39:222-229.
Richter KK, Wilson JC, Buckley M, van Doorn N, Jones A, Collins M.  2011.  Fish ’n chips: ZooMS peptide mass fingerprinting in a 96 well plate format to identify fish bone fragments. Journal of Archaeological Science. 38(7):1502-1510.
Ren XM, Wang YH, Shum KP.  2009.  On U-abundant semigroups. Science in China Series A: Mathematics. 52:22. Download: On U-orthodox semigroups.pdf (316.93 KB)
Reigada R, Hillary RM, Bees MA, Sancho JM, Sagues F.  2003.  Plankton blooms induced by turbulent flows. PROCEEDINGS OF THE ROYAL SOCIETY B-BIOLOGICAL SCIENCES. 270:875–880.
Regelskis V.  Submitted.  Reflection algebras for sl(2) and gl(1|1).
Regelskis V, Young CAS, Correa DH.  2011.  Integrable achiral D5-brane reflections and asymptotic Bethe equations. Journal of Physics A: Mathematical and Theoretical. 44(32):325403(1-22).
Regelskis V.  2011.  The Secret symmetries of the AdS/CFT reflection matrices. JHEP. 1108:006.
Regelskis V, de Leeuw M.  In Press.  Integrable boundaries in AdS/CFT: revisiting the Z=0 giant graviton and D7-brane. JHEP.

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