| Publication | Date of Publication | Type |
|---|
Quantitative reverse stress testing, bottom up
Quantitative Finance | 2023-06-20 | Paper |
| Hedging Valuation Adjustment and Model Risk | 2022-05-24 | Paper |
XVA analysis from the balance sheet
Quantitative Finance | 2021-12-01 | Paper |
Wealth transfers, indifference pricing, and XVA compression schemes
Mathematical Lectures from Peking University | 2020-11-12 | Paper |
XVA metrics for CCP optimization
Statistics & Risk Modeling | 2020-04-22 | Paper |
Credit, funding, margin, and capital valuation adjustments for bilateral portfolios
Probability, Uncertainty and Quantitative Risk | 2020-02-17 | Paper |
A new Fourier transform algorithm for value-at-risk
Quantitative Finance | 2019-01-15 | Paper |
A two-state jump model
Quantitative Finance | 2019-01-14 | Paper |
Restructuring counterparty credit risk
International Journal of Theoretical and Applied Finance | 2013-06-24 | Paper |
A numerical algorithm for pricing electricity derivatives for jump-diffusion processes based on continuous time lattices
European Journal of Operational Research | 2012-12-29 | Paper |
KERNEL CONVERGENCE ESTIMATES FOR DIFFUSIONS WITH CONTINUOUS COEFFICIENTS
International Journal of Theoretical and Applied Finance | 2011-12-28 | Paper |
Coherent global market simulations and securitization measures for counterparty credit risk
Quantitative Finance | 2011-04-29 | Paper |
Transformations of Markov processes and classification scheme for solvable driftless diffusions
(available as arXiv preprint) | 2010-03-10 | Paper |
A STOCHASTIC VOLATILITY MODEL FOR RISK-REVERSALS IN FOREIGN EXCHANGE
International Journal of Theoretical and Applied Finance | 2009-11-27 | Paper |
Spectral methods for volatility derivatives
Quantitative Finance | 2009-10-16 | Paper |
| A stochastic monetary policy interest rate model | 2008-09-09 | Paper |
Small transaction cost asymptotics and dynamic hedging
European Journal of Operational Research | 2007-12-10 | Paper |
| Stochastic Mechanics as a Gauge Theory | 2007-11-19 | Paper |
| Stochastic Integrals and Abelian Processes | 2007-11-19 | Paper |
| Operator Methods, Abelian Processes and Dynamic Conditioning | 2007-10-08 | Paper |
Poisson Kernels as Expansions in $\lowercase{q}$‐Racah Polynomials
SIAM Journal on Mathematical Analysis | 2007-05-22 | Paper |
| Advanced derivatives pricing risk management. | 2006-11-15 | Paper |
Laplace Transforms for Integrals of Markov Processes
(available as arXiv preprint) | 2006-04-28 | Paper |
Discrete credit barrier models
Quantitative Finance | 2005-12-09 | Paper |
AFFINE LATTICE MODELS
International Journal of Theoretical and Applied Finance | 2005-05-06 | Paper |
| scientific article; zbMATH DE number 2133101 (Why is no real title available?) | 2005-02-09 | Paper |
Time quantization and<i>q</i>-deformations
Journal of Physics A: Mathematical and General | 2004-06-09 | Paper |
Harmonic analysis in value at risk calculations.
Revista Matemática Iberoamericana | 2002-10-29 | Paper |
Harmonic analysis in value at risk calculations.
Revista Matemática Iberoamericana | 2002-10-29 | Paper |
The adiabatic approximation for quantum spin systems with a spectral gap
Communications in Mathematical Physics | 1997-04-08 | Paper |
A Goldstone mode in the Kawasaki-Ising model
Journal of Statistical Physics | 1996-03-19 | Paper |
Mott transition and sign problem for a model of lattice fermions
Communications in Mathematical Physics | 1995-06-22 | Paper |
Multivoice Littlewood-Paley-Meyer wavelets and diagonal dominated pseudodifferential operators
Communications in Mathematical Physics | 1995-05-01 | Paper |
KAM theory in momentum space and quasiperiodic Schrödinger operators
Annales de l'Institut Henri Poincaré. Analyse Non Linéaire | 1993-06-29 | Paper |
KAM theory in momentum space and quasiperiodic Schrödinger operators
Annales de l'Institut Henri Poincaré. Analyse Non Linéaire | 1993-06-29 | Paper |
Perturbation theory for periodic orbits in a class of infinite dimensional Hamiltonian systems
Communications in Mathematical Physics | 1991-01-01 | Paper |
Unitary dressing transformations and exponential decay below threshold for quantum spin systems. I, II
Communications in Mathematical Physics | 1990-01-01 | Paper |
Unitary dressing transformations and exponential decay below threshold for quantum spin systems. III, IV
Communications in Mathematical Physics | 1990-01-01 | Paper |
A continuation method for nonlinear eigenvalue problems
Journal of Functional Analysis | 1989-01-01 | Paper |
Scalar particles in a narrow-band periodic potential
Journal of Statistical Physics | 1989-01-01 | Paper |
On the spectrum of the Heisenberg Hamiltonian
Journal of Statistical Physics | 1989-01-01 | Paper |
Localised solutions of Hartree equations for narrow-band crystals
Communications in Mathematical Physics | 1988-01-01 | Paper |
Periodic solutions of some infinite-dimensional Hamiltonian systems associated with nonlinear partial difference equations. I
Communications in Mathematical Physics | 1988-01-01 | Paper |
Periodic solutions of some infinite-dimensional Hamiltonian systems associated with nonlinear partial difference equations. II
Communications in Mathematical Physics | 1988-01-01 | Paper |
