| Publication | Date of Publication | Type |
|---|
Analysis of optimal portfolio on finite and small-time horizons for a stochastic volatility model with multiple correlated assets
International Journal of Theoretical and Applied Finance | 2024-12-06 | Paper |
| Some asymptotics for short maturity Asian options | 2023-02-10 | Paper |
| First exit-time analysis for an approximate Barndorff-Nielsen and Shephard model with stationary self-decomposable variance process | 2020-06-12 | Paper |
Numerical methods applied to option pricing models with transaction costs and stochastic volatility
Quantitative Finance | 2019-02-06 | Paper |
Generalized BN-S stochastic volatility model for option pricing
International Journal of Theoretical and Applied Finance | 2016-04-14 | Paper |
PIDE and Solution Related to Pricing of Lévy Driven Arithmetic Type Floating Asian Options
Stochastic Analysis and Applications | 2015-10-23 | Paper |
| Pricing Asian options in financial markets using Mellin transforms | 2015-04-27 | Paper |
Superradiance problem in a 3D annular domain
Discrete and Continuous Dynamical Systems | 2015-03-02 | Paper |
Option pricing with transaction costs and stochastic volatility
Electronic Journal of Differential Equations (EJDE) | 2014-08-25 | Paper |
Nonlinear problems modeling stochastic volatility and transaction costs
Quantitative Finance | 2014-01-17 | Paper |
Detecting market crashes by analysing long-memory effects using high-frequency data
Quantitative Finance | 2014-01-17 | Paper |
Spherical harmonics approach to parabolic partial differential equations
Analysis and Mathematical Physics | 2012-12-28 | Paper |
Spherical harmonics applied to differential and integro-differential equations arising in mathematical finance
Differential Equations and Dynamical Systems | 2012-11-30 | Paper |
Concentration problems for bandpass filters in communication theory over disjoint frequency intervals and numerical solutions
The Journal of Fourier Analysis and Applications | 2012-05-23 | Paper |
Two-point boundary value problems for a class of second-order ordinary differential equations
International Journal of Mathematics and Mathematical Sciences | 2012-05-14 | Paper |
| Solution to a nonlinear Black-Scholes equation | 2012-04-27 | Paper |
Numerical solutions for option pricing models including transaction costs and stochastic volatility
Acta Applicandae Mathematicae | 2012-04-04 | Paper |
Solutions to integro-differential problems arising on pricing options in a Lévy market
Acta Applicandae Mathematicae | 2012-04-04 | Paper |
Solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Lévy market
Nonlinear Analysis. Real World Applications | 2012-02-05 | Paper |
Solutions to a gradient-dependent integro-differential parabolic problem arising in the pricing of financial options in a Lévy market
Journal of Mathematical Analysis and Applications | 2011-10-24 | Paper |
Spectral analysis for a three-dimensional superradiance problem
Journal of Mathematical Analysis and Applications | 2011-01-07 | Paper |
Differential operator related to the generalized superradiance integral equation
Journal of Mathematical Analysis and Applications | 2010-07-07 | Paper |
