Mihail Zervos
Mihail Zervos
Professor of Mathematics
Verified email at lse.ac.uk
Title
Cited by
Cited by
Year
Dynamical pricing of weather derivatives
DC Brody, J Syroka, M Zervos
Quantitative finance 2 (3), 189-198, 2002
2612002
A model for investment decisions with switching costs
K Duckworth, M Zervos
Annals of Applied probability, 239-260, 2001
1122001
Optimal dividend and issuance of equity policies in the presence of proportional costs
A Lřkka, M Zervos
Insurance: Mathematics and Economics 42 (3), 954-961, 2008
962008
A model for reversible investment capacity expansion
A Merhi, M Zervos
SIAM journal on control and optimization 46 (3), 839-876, 2007
812007
A problem of sequential entry and exit decisions combined with discretionary stopping
M Zervos
SIAM Journal on Control and Optimization 42 (2), 397-421, 2003
762003
A problem of singular stochastic control with discretionary stopping
MHA Davis, M Zervos
The Annals of Applied Probability, 226-240, 1994
691994
Pricing a class of exotic options via moments and SDP relaxations
JB Lasserre, T Prieto‐Rumeau, M Zervos
Mathematical Finance 16 (3), 469-494, 2006
632006
A model for investments in the natural resource industry with switching costs
RR Lumley, M Zervos
Mathematics of Operations Research 26 (4), 637-653, 2001
552001
Valuation of investments in real assets with implications for the stock prices
TS Knudsen, B Meister, M Zervos
SIAM journal on control and optimization 36 (6), 2082-2102, 1998
491998
Finite-fuel singular control with discretionary stopping
I Karatzas, D Ocone, H Wang, M Zervos
Stochastics: An International Journal of Probability and Stochastic …, 2000
472000
Buy‐low and sell‐high investment strategies
M Zervos, TC Johnson, F Alazemi
Mathematical Finance: An International Journal of Mathematics, Statistics …, 2013
422013
An investment model with entry and exit decisions
JK Duckworth, M Zervos
Journal of applied probability 37 (2), 547-559, 2000
392000
On the optimal stopping of a one-dimensional diffusion
D Lamberton, M Zervos
Electronic Journal of Probability 18, 2013
342013
Optimal execution with multiplicative price impact
X Guo, M Zervos
SIAM Journal on Financial Mathematics 6 (1), 281-306, 2015
332015
Global eradication of lymphatic filariasis: the value of chronic disease control in parasite elimination programmes
E Michael, MN Malecela, M Zervos, JW Kazura
PLoS One 3 (8), 2008
312008
On the epiconvergence of stochastic optimization problems
M Zervos
Mathematics of Operations Research 24 (2), 495-508, 1999
311999
On the relationship of the dynamic programming approach and the contingent claim approach to asset valuation
TS Knudsen, B Meister, M Zervos
Finance and Stochastics 3 (4), 433-449, 1999
281999
The explicit solution to a sequential switching problem with non-smooth data
TC Johnson, M Zervos
Stochastics An International Journal of Probability and Stochastics …, 2010
272010
Agency, firm growth, and managerial turnover
RW Anderson, MC Bustamante, S Guibaud, M Zervos
The Journal of Finance 73 (1), 419-464, 2018
232018
π options
X Guo, M Zervos
Stochastic Processes and their Applications 120 (7), 1033-1059, 2010
232010
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