| Publication | Date of Publication | Type |
|---|
Calibration of European option pricing model in uncertain environment: valuation of uncertainty implied volatility
Journal of Computational and Applied Mathematics | 2024-07-04 | Paper |
Vasicek interest rate model under Lévy process and pricing bond option
Communications in Statistics. Simulation and Computation | 2024-05-28 | Paper |
| Markov regime-switching Heston model with CIR model framework and pricing VIX and S\&P500 American put option | 2024-04-11 | Paper |
Implied higher order moments in the Heston model: a case study of S\&P500 index
Decisions in Economics and Finance | 2023-11-17 | Paper |
Valuation of option price in commodity markets described by a Markov-switching model: a case study of WTI crude oil market
Mathematics and Computers in Simulation | 2023-11-13 | Paper |
On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions
Communications in Statistics. Simulation and Computation | 2022-12-13 | Paper |
Electricity spot price modeling by multi-factor uncertain process: a case study from the Nordic region
Soft Computing | 2022-11-22 | Paper |
Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm
Mathematics and Computers in Simulation | 2022-11-17 | Paper |
Foreign exchange options on Heston-CIR model under L\'{e}vy process framework
(available as arXiv preprint) | 2022-08-08 | Paper |
European option pricing under multifactor uncertain volatility model
Soft Computing | 2022-07-12 | Paper |
Pricing multi-asset American option under Heston-CIR diffusion model with jumps
Communications in Statistics. Simulation and Computation | 2022-06-21 | Paper |
Forward price and fitting of electricity Nord Pool market under regime-switching two-factor model
Mathematics and Financial Economics | 2021-07-08 | Paper |
Calibration of the double Heston model and an analytical formula in pricing American put option
Journal of Computational and Applied Mathematics | 2021-04-23 | Paper |
A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model
Mathematics and Computers in Simulation | 2021-03-06 | Paper |
CEV model equipped with the long-memory
Journal of Computational and Applied Mathematics | 2021-02-11 | Paper |
American option pricing under double Heston stochastic volatility model: simulation and strong convergence analysis
Journal of Statistical Computation and Simulation | 2020-04-27 | Paper |
A new hybrid Monte Carlo simulation for Asian options pricing
Journal of Statistical Computation and Simulation | 2020-03-27 | Paper |
Pricing arithmetic Asian option under a two-factor stochastic volatility model with jumps
Journal of Statistical Computation and Simulation | 2020-03-27 | Paper |
| Modeling asset prices based on two-factor stochastic volatility | 2019-01-31 | Paper |
| scientific article; zbMATH DE number 7009472 (Why is no real title available?) | 2019-01-31 | Paper |
| On pricing European options under HCIR model: a comparative study | 2019-01-31 | Paper |
On the existence and uniqueness of the solution to the double Heston model equation and valuing lookback option
Journal of Computational and Applied Mathematics | 2019-01-24 | Paper |
| The option pricing under double Heston model with jumps | 2019-01-23 | Paper |
Valuation of European option under uncertain volatility model
Soft Computing | 2018-10-23 | Paper |
| scientific article; zbMATH DE number 6933375 (Why is no real title available?) | 2018-09-06 | Paper |
| A fractional version of the Heston model with Hurst parameter \(H \in (1/2, 1)\) | 2018-03-29 | Paper |
Adjusted robust mean-value-at-risk model: less conservative robust portfolios
Optimization and Engineering | 2017-09-08 | Paper |
| Robust portfolio selection with polyhedral ambiguous inputs | 2017-06-29 | Paper |
On approximate-analytical solution of generalized Black-Scholes equation
Scientific Bulletin. Series A. Applied Mathematics and Physics. Politehnica University of Bucharest | 2016-10-05 | Paper |
On analytical solution of the Black-Scholes equation by the first integral method
Scientific Bulletin. Series A. Applied Mathematics and Physics. Politehnica University of Bucharest | 2016-05-18 | Paper |
Quasi Monte Carlo algorithm for computing smallest and largest generalised eigenvalues
ANZIAM Journal | 2016-02-01 | Paper |
A robust and accurate quasi-Monte Carlo algorithm for estimating eigenvalue of homogeneous integral equations
ISRN Computational Mathematics | 2015-02-23 | Paper |
CVaR robust mean-CVaR portfolio optimization
ISRN Applied Mathematics | 2014-11-11 | Paper |
| A randomized algorithm for estimating the condition number of matrices | 2014-04-28 | Paper |
| Numerical simulation for multi-asset derivatives pricing under Black-Scholes model | 2014-04-25 | Paper |
A new efficient method for nonlinear Fisher-type equations
Journal of Applied Mathematics | 2012-11-15 | Paper |
New hybrid Monte Carlo methods and computing the dominant generalized eigenvalue
International Journal of Computer Mathematics | 2011-11-29 | Paper |
Matrix balancing and robust Monte Carlo algorithm for evaluating dominant eigenpair
Computer Science Journal of Moldova | 2011-10-05 | Paper |
Partitioning inverse Monte Carlo iterative algorithm for finding the three smallest eigenpairs of generalized eigenvalue problem
Advances in Numerical Analysis | 2011-06-06 | Paper |
| scientific article; zbMATH DE number 5606153 (Why is no real title available?) | 2009-09-22 | Paper |
