| Publication | Date of Publication | Type |
|---|
Hybrid ensemble machine learning models
Physica A | 2026-01-20 | Paper |
| A new point of view in the construction of composite indicators: a simulation illustration | 2025-10-27 | Paper |
A new class of composite indicators: the penalized power mean
European Journal of Operational Research | 2025-05-16 | Paper |
Gravitational wavefunctions in JT supergravity
Journal of High Energy Physics | 2024-12-03 | Paper |
Branes in JT (super)gravity from group theory
Journal of High Energy Physics | 2024-04-24 | Paper |
Near-extremal limits of de Sitter black holes
Journal of High Energy Physics | 2023-09-29 | Paper |
A tail-revisited Markowitz mean-variance approach and a portfolio network centrality
Computational Management Science | 2022-10-24 | Paper |
Optimal solution of the liquidation problem under execution and price impact risks
Quantitative Finance | 2022-05-27 | Paper |
| Optimal solution of the liquidation problem under execution risk | 2020-11-05 | Paper |
Exploiting blank spots for model-based background correction in discovering genes with DNA array data
Statistical Modelling | 2020-10-07 | Paper |
Systemic risk governance in a dynamical model of a banking system
Journal of Global Optimization | 2019-12-03 | Paper |
Merton's portfolio problem including market frictions: a closed-form formula supporting the shadow price approach
European Journal of Operational Research | 2019-02-11 | Paper |
A perturbative approach to acoustic scattering from a vibrating bounded obstacle
Journal of Computational Acoustics | 2017-05-09 | Paper |
The use of statistical tests to calibrate the normal SABR model
Journal of Inverse and Ill-Posed Problems | 2013-09-26 | Paper |
The use of statistical tests to calibrate the Black-Scholes asset dynamics model applied to pricing options with uncertain volatility
Journal of Probability and Statistics | 2012-06-19 | Paper |
A cooperative sensor network: optimal deployment and functioning
RAIRO - Operations Research | 2011-03-07 | Paper |
A cooperative sensor network: optimal deployment and functioning
RAIRO - Operations Research | 2011-03-07 | Paper |
| The calibration of the Heston stochastic volatility model using filtering and maximum likelihood methods | 2011-01-15 | Paper |
Determining a stable relationship between hedge fund index HFRI-equity and S\&P 500 behaviour, using filtering and maximum likelihood
Inverse Problems in Science and Engineering | 2010-01-26 | Paper |
Pricing realized variance options using integrated stochastic variance options in the heston stochastic volatility model
Discrete and Continuous Dynamical Systems | 2009-07-03 | Paper |
Probabilistic analysis of failures in power transmission networks and phase transitions: Study case of a high-voltage power transmission network
Journal of Optimization Theory and Applications | 2008-11-25 | Paper |
Maximum likelihood estimation of the Heston stochastic volatility model using asset and option prices: an application of nonlinear filtering theory
Optimization Letters | 2008-06-11 | Paper |
Maximum likelihood estimation of the parameters of a system of stochastic differential equations that models the returns of the index of some classes of hedge funds
Journal of Inverse and Ill-posed Problems | 2007-12-17 | Paper |
Corrosion detection in conducting boundaries: II. Linearization, stability and discretization
Inverse Problems | 2007-07-02 | Paper |
Corrosion detection in conducting boundaries
Inverse Problems | 2005-01-04 | Paper |
The use of the Pontryagin maximum principle in a furtivity problem in time-dependent acoustic obstacle scattering.
Waves in Random Media | 2001-01-01 | Paper |
