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Supporter of LMS Good Practice Award

Publications

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2012
Roux A, Zastawniak T, Zhang N.  2012.  Parallel Binomial American Option Pricing under Proportional Transaction Costs. Applied Mathematics. 3(11)
Cutland N, Roux A.  2012.  Derivative Securities in Discrete Time. Springer Undergraduate Mathematics Series. :325.
2011
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.  2011.  The fundamental theorem of asset pricing under bid-ask and interest rate spreads. Journal of Mathematical Economics. 47
Roux A, Zastawniak T.  2011.  American and Bermudan options in currency markets under proportional transaction costs. Finance and Stochastics. 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.
2009
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
2008
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.  2008.  Options under transaction costs. Abstract
2007
Roux A.  2007.  The fundamental theorem of asset pricing under proportional transaction costs. Abstract
2006
Roux A, Zastawniak T.  2006.  American options under proportional transaction costs: seller's price algorithm, hedging strategy and optimal stopping.
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.  2006.  European and American options under proportional transaction costs. Abstract
2003
Lubuma JM-S, Roux A.  2003.  An Improved Theta-method for Systems of Ordinary Differential Equations. Journal of Difference Equations and Applications. 9:1023-1035. Abstract

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