| Publication | Date of Publication | Type |
|---|
Flux-Corrected Diagonal Frog: second order and positivity at all time steps
(available as arXiv preprint) | 2026-07-22 | Paper |
Valuing American options and Flexible Forwards contracts in time-dependent models
(available as arXiv preprint) | 2026-06-25 | Paper |
Diagonal Frog: High-order positivity-preserving FD schemes for anisotropic Fokker-Planck equations
(available as arXiv preprint) | 2026-06-22 | Paper |
Marketron games: self-propelling stocks vs dumb money and metastable dynamics of the good, bad and ugly markets
Communications in Nonlinear Science and Numerical Simulation | 2026-01-15 | Paper |
Semi-analytical pricing of options written on SOFR futures
Frontiers of Mathematical Finance | 2025-02-18 | Paper |
Short time behavior of the ATM implied skew in the ADO-Heston model
Frontiers of Mathematical Finance | 2024-07-31 | Paper |
Semi-analytic pricing of double barrier options with time-dependent barriers and rebates at hit
Frontiers of Mathematical Finance | 2022-08-30 | Paper |
Multilayer heat equations: application to finance
Frontiers of Mathematical Finance | 2022-08-30 | Paper |
Multilayer heat equations and their solutions via oscillating integral transforms
Physica A | 2022-06-17 | Paper |
| Generalized integral transforms in mathematical finance | 2021-11-10 | Paper |
| Fitting local volatility. Analytic and numerical approaches in Black-Scholes and local variance gamma models | 2019-12-06 | Paper |
Structural default model with mutual obligations
Review of Derivatives Research | 2018-11-09 | Paper |
Splitting and matrix exponential approach for jump-diffusion models with Inverse Normal Gaussian, Hyperbolic and Meixner jumps
Algorithmic Finance | 2018-09-13 | Paper |
Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps
Applied Mathematical Finance | 2018-04-06 | Paper |
LSV models with stochastic interest rates and correlated jumps
International Journal of Computer Mathematics | 2017-07-28 | Paper |
Pricing derivatives under Lévy models. Modern finite-difference and pseudo-differential operators approach
Pseudo-Differential Operators. Theory and Applications | 2016-12-01 | Paper |
Efficient solution of structural default models with correlated jumps and mutual obligations
International Journal of Computer Mathematics | 2016-04-29 | Paper |
HIGH ORDER SPLITTING METHODS FOR FORWARD PDEs AND PIDEs
International Journal of Theoretical and Applied Finance | 2015-09-22 | Paper |
New solvable stochastic volatility models for pricing volatility derivatives
Review of Derivatives Research | 2014-09-25 | Paper |
Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging
Quantitative Finance | 2014-09-05 | Paper |
Pricing illiquid options with N+1 liquid proxies using mixed dynamic-static hedging
International Journal of Theoretical and Applied Finance | 2014-02-11 | Paper |
| Jump without tears: a new splitting technology for barrier options | 2013-04-17 | Paper |
Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
Computational Economics | 2013-01-11 | Paper |
Pricing swaps and options on quadratic variation under stochastic time change models -- discrete observations case
Review of Derivatives Research | 2010-09-16 | Paper |
Statistical geometry and lattices
Journal of Statistical Physics | 2000-02-20 | Paper |
