| Publication | Date of Publication | Type |
|---|
Probabilistic and statistical methods in commodity risk management
Applied Stochastic Models in Business and Industry | 2024-07-30 | Paper |
A stochastic model for evaluating the peaks of commodities' returns
Applied Stochastic Models in Business and Industry | 2024-07-30 | Paper |
A moment matching method for option pricing under stochastic interest rates
Applied Stochastic Models in Business and Industry | 2024-07-25 | Paper |
Wrong way risk corrections to CVA in CIR reduced-form models
Computational Management Science | 2023-11-03 | Paper |
CVA in fractional and rough volatility models
Applied Mathematics and Computation | 2023-04-21 | Paper |
Approximate value adjustments for European claims
European Journal of Operational Research | 2022-03-18 | Paper |
On a convergent power series method to price defaultable bonds in a Vašíček-CIR model
Electronic Communications in Probability | 2022-03-11 | Paper |
CVA and vulnerable options pricing by correlation expansions
Annals of Operations Research | 2021-11-08 | Paper |
CVA and vulnerable options in stochastic volatility models
International Journal of Theoretical and Applied Finance | 2021-06-18 | Paper |
Stochastic adaptive selection of weights in the simulated tempering algorithm
Journal of the Italian Statistical Society | 2020-09-29 | Paper |
| scientific article; zbMATH DE number 7081115 (Why is no real title available?) | 2019-07-17 | Paper |
RANDOM TIME FORWARD-STARTING OPTIONS
International Journal of Theoretical and Applied Finance | 2017-01-04 | Paper |
On a transform method for the efficient computation of conditional V\@R (and V\@R) with application to loss models with jumps and stochastic volatility
Methodology and Computing in Applied Probability | 2016-06-08 | Paper |
Option-based risk management of a bond portfolio under regime switching interest rates
Decisions in Economics and Finance | 2013-07-19 | Paper |
Fourier transform methods for regime-switching jump-diffusions and the pricing of forward starting options
International Journal of Theoretical and Applied Finance | 2012-10-15 | Paper |
Mixture dynamics and regime switching diffusions with application to option pricing
Methodology and Computing in Applied Probability | 2011-05-30 | Paper |
Exchange option pricing under stochastic volatility: a correlation expansion
Review of Derivatives Research | 2010-04-26 | Paper |
ADAPTIVE AND MONOTONE SPLINE ESTIMATION OF THE CROSS-SECTIONAL TERM STRUCTURE
International Journal of Theoretical and Applied Finance | 2005-10-19 | Paper |
A REVIEW OF TECHNIQUES FOR THE ESTIMATION OF THE TERM STRUCTURE
International Journal of Theoretical and Applied Finance | 2005-06-22 | Paper |
A new estimation method in modal analysis
IEEE Transactions on Signal Processing | 2003-09-02 | Paper |
On the numerical inversion of the Laplace transform for nuclear magnetic resonance relaxometry
Inverse Problems | 2002-10-23 | Paper |
A note on the complex roots of complex random polynomials
Statistics & Probability Letters | 2001-06-21 | Paper |
Selection of importance weights for monte carlo estimation of normalizing constants
Communications in Statistics. Simulation and Computation | 1999-01-01 | Paper |
Stopping eules for the multistart method when different local minima have different function values
Optimization | 1990-01-01 | Paper |
