| Publication | Date of Publication | Type |
|---|
| Monte Carlo Simulation for Trading Under a Lévy-Driven Mean-Reverting Framework | 2024-04-23 | Paper |
| Constrained dynamic futures portfolios with stochastic basis | 2023-04-27 | Paper |
| OPTIMAL DYNAMIC FUTURES PORTFOLIO UNDER A MULTIFACTOR GAUSSIAN FRAMEWORK | 2021-10-20 | Paper |
| Optimal trading with a trailing stop | 2021-04-23 | Paper |
| Optimal trading of a basket of futures contracts | 2020-06-26 | Paper |
| A TOP-DOWN APPROACH FOR THE MULTIPLE EXERCISES AND VALUATION OF EMPLOYEE STOCK OPTIONS | 2020-06-25 | Paper |
| Sparse mean-reverting portfolios via penalized likelihood optimization | 2020-01-20 | Paper |
| Optimal dynamic basis trading | 2019-11-07 | Paper |
| EFFORT EXPENDITURE FOR CASH FLOW IN A MEAN-FIELD EQUILIBRIUM | 2019-06-24 | Paper |
| Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics | 2019-06-18 | Paper |
| Employee Stock Options | 2019-05-17 | Paper |
| Optimal starting–stopping and switching of a CIR process with fixed costs | 2019-03-12 | Paper |
| Timing options for a startup with early termination and competition risks | 2019-03-12 | Paper |
| Speculative futures trading under mean reversion | 2018-12-03 | Paper |
| Dynamic Index Tracking and Risk Exposure Control Using Derivatives | 2018-12-03 | Paper |
| Optimal static quadratic hedging | 2018-11-14 | Paper |
| Implied Volatility of Leveraged ETF Options | 2018-09-18 | Paper |
| An optimal multiple stopping approach to infrastructure investment decisions | 2018-08-13 | Paper |
| MEAN REVERSION TRADING WITH SEQUENTIAL DEADLINES AND TRANSACTION COSTS | 2018-03-15 | Paper |
| LEVERAGED ETF IMPLIED VOLATILITIES FROM ETF DYNAMICS | 2017-10-24 | Paper |
| Optimal mean-reverting spread trading: nonlinear integral equation approach | 2017-10-13 | Paper |
| LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH | 2017-10-13 | Paper |
| Impact of risk aversion and belief heterogeneity on trading of defaultable claims | 2016-11-07 | Paper |
| Pricing derivatives with counterparty risk and collateralization: a fixed point approach | 2016-10-07 | Paper |
| Leveraged Exchange-Traded Funds | 2016-04-12 | Paper |
| Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs | 2015-12-08 | Paper |
| AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING | 2015-09-22 | Paper |
| ESO Valuation with Job Termination Risk and Jumps in Stock Price | 2015-08-28 | Paper |
| Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Lévy Models | 2015-08-20 | Paper |
| OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT | 2015-06-29 | Paper |
| Stochastic modeling and fair valuation of drawdown insurance | 2014-06-23 | Paper |
| American step-up and step-down default swaps under Lévy models | 2014-02-08 | Paper |
| Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing | 2013-11-06 | Paper |
| RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES | 2013-03-12 | Paper |
| Accounting for risk aversion in derivatives purchase timing | 2013-02-26 | Paper |
| Default swap games driven by spectrally negative Lévy processes | 2013-01-24 | Paper |
| Forward indifference valuation of American options | 2012-12-13 | Paper |
| Optimal Timing to Purchase Options | 2012-04-19 | Paper |
| Credit derivatives and risk aversion | 2010-06-30 | Paper |
| Exponential Hedging with Optimal Stopping and Application to Employee Stock Option Valuation | 2010-06-10 | Paper |
| ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS | 2009-03-06 | Paper |
