| Publication | Date of Publication | Type |
|---|
Distributed energy resources flexibility as volumetric options on electricity
Frontiers of Mathematical Finance | 2024-01-15 | Paper |
| From local volatility to local Lévy models | 2019-01-15 | Paper |
Intraday pairs trading strategies on high frequency data: the case of oil companies
Quantitative Finance | 2018-11-19 | Paper |
Tail risk constraints and maximum entropy
Entropy | 2016-06-15 | Paper |
Obituary: Marc Yor (24 July 1949 -- 9 July 2014). A beautiful mind has disappeared
Stochastic Processes and their Applications | 2014-08-28 | Paper |
Options on realized variance and convex orders
Quantitative Finance | 2013-12-13 | Paper |
Correlation and the pricing of risks
Annals of Finance | 2012-03-06 | Paper |
Modelling Electricity Prices with Forward Looking Capacity Constraints
Applied Mathematical Finance | 2009-09-13 | Paper |
Stochastic Clock and Financial Markets
Special Volume: Mathematical Modeling and Numerical Methods in Finance | 2009-06-05 | Paper |
A Lattice‐Based Method for Pricing Electricity Derivatives Under the Threshold Model
Applied Mathematical Finance | 2009-03-23 | Paper |
| Mean reversion versus random walk in oil and natural gas prices | 2009-01-28 | Paper |
Stochastic Clock and Financial Markets
Aspects of Mathematical Finance | 2008-09-29 | Paper |
Valuation of default-sensitive claims under imperfect information
Finance and Stochastics | 2008-06-18 | Paper |
Analysis and Modelling of Electricity Futures Prices
Studies in Nonlinear Dynamics & Econometrics | 2008-04-04 | Paper |
Seasonal and stochastic effects in commodity forward curves
Review of Derivatives Research | 2007-12-05 | Paper |
Probing option prices for information
Methodology and Computing in Applied Probability | 2007-08-17 | Paper |
SELF-DECOMPOSABILITY AND OPTION PRICING
Mathematical Finance | 2007-06-08 | Paper |
Pricing options on realized variance
Finance and Stochastics | 2006-05-24 | Paper |
| Options on Hedge Funds under the High Water Mark Rule | 2005-10-24 | Paper |
Stochastic Volatility for Lévy Processes
Mathematical Finance | 2004-08-23 | Paper |
Stochastic volatility, jumps and hidden time changes
Finance and Stochastics | 2002-11-21 | Paper |
Time changes, Laplace transforms and path-dependent options
Computational Economics | 2002-06-16 | Paper |
| scientific article; zbMATH DE number 1552043 (Why is no real title available?) | 2002-02-10 | Paper |
| scientific article; zbMATH DE number 1210468 (Why is no real title available?) | 2001-11-25 | Paper |
On the role of state variables in interest rates models
Applied Stochastic Models in Business and Industry | 2001-10-09 | Paper |
| Asset prices are Brownian motion: Only in business time | 2001-07-12 | Paper |
Time changes for Lévy processes
Mathematical Finance | 2001-03-29 | Paper |
| scientific article; zbMATH DE number 1944679 (Why is no real title available?) | 2001-01-01 | Paper |
Learning about Risk: Some Lessons from Insurance
Review of Finance | 2000-05-25 | Paper |
PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
Mathematical Finance | 1999-07-05 | Paper |
| scientific article; zbMATH DE number 1222789 (Why is no real title available?) | 1999-02-14 | Paper |
Stochastic time changes in catastrophe option pricing
Insurance Mathematics & Economics | 1998-03-17 | Paper |
BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
Mathematical Finance | 1998-01-21 | Paper |
No arbitrage between economies and correlation risk management
Computational Economics | 1997-10-05 | Paper |
Portfolio optimization and contingent claim pricing with differential information
Stochastics and Stochastic Reports | 1997-08-07 | Paper |
Changes of numéraire, changes of probability measure and option pricing
Journal of Applied Probability | 1996-01-17 | Paper |
| scientific article; zbMATH DE number 55167 (Why is no real title available?) | 1992-09-26 | Paper |
