| 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 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 |
Analysis of non-linear approximated value equation under multiple risk factors and stochastic intensities
Computers & Mathematics with Applications | 2023-06-05 | Paper |
CVA in fractional and rough volatility models
Applied Mathematics and Computation | 2023-04-21 | Paper |
On the viscosity solutions of a stochastic differential utility problem
Journal of Differential Equations | 2023-04-04 | 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 |
Consumption optimization for recursive utility in a jump-diffusion model
Decisions in Economics and Finance | 2017-04-27 | Paper |
RANDOM TIME FORWARD-STARTING OPTIONS
International Journal of Theoretical and Applied Finance | 2017-01-04 | Paper |
Solutions of BSDE's with jumps and quadratic/locally Lipschitz generator
Stochastic Processes and their Applications | 2016-09-13 | Paper |
Calibrated American option pricing by stochastic linear programming
Optimization | 2014-02-07 | Paper |
Option-based risk management of a bond portfolio under regime switching interest rates
Decisions in Economics and Finance | 2013-07-19 | Paper |
Exchange option pricing under stochastic volatility: a correlation expansion
Review of Derivatives Research | 2010-04-26 | Paper |
Pricing options under stochastic volatility: a power series approach
Finance and Stochastics | 2010-04-22 | Paper |
RATE OF CONVERGENCE OF MONTE CARLO SIMULATIONS FOR THE HOBSON–ROGERS MODEL
International Journal of Theoretical and Applied Finance | 2009-04-21 | Paper |
Existence of the solutions of backward-forward SDE's with continuous monotone coefficients
Statistics & Probability Letters | 2006-08-04 | Paper |
Densities of one-dimensional backward SDEs
Potential Analysis | 2005-04-28 | Paper |
A comparison result for FBSDE with applications to decisions theory
Mathematical Methods of Operations Research | 2003-07-16 | Paper |
Rate of convergence of a particle method to the solution of the McKean-Vlasov equation
The Annals of Applied Probability | 2003-05-06 | Paper |
Weak Solutions of Forward–Backward SDE's
Stochastic Analysis and Applications | 2003-04-28 | Paper |
Asset pricing with endogeneous aspirations
Decisions in Economics and Finance | 2002-10-21 | Paper |
Asset pricing with a forward--backward stochastic differential utility
Economics Letters | 2001-08-20 | Paper |
Filtration stability of backward sde's
Stochastic Analysis and Applications | 2000-03-23 | Paper |
Stability of backward stochastic differential equations
Stochastic Processes and their Applications | 1996-12-08 | Paper |
Backward-forward stochastic differential equations
The Annals of Applied Probability | 1994-01-30 | Paper |
