| Publication | Date of Publication | Type |
|---|
Calibration of local‐stochastic volatility models by optimal transport
Mathematical Finance | 2023-09-28 | Paper |
| Simultaneous upper and lower bounds of American option prices with hedging via neural networks | 2023-02-23 | Paper |
Valuation of general contingent claims with short selling bans: an equal-risk pricing approach
International Journal of Theoretical and Applied Finance | 2022-09-22 | Paper |
Portfolio optimization with a prescribed terminal wealth distribution
Quantitative Finance | 2022-04-05 | Paper |
Robust utility maximization under model uncertainty via a penalization approach
Mathematics and Financial Economics | 2022-04-01 | Paper |
Joint modeling and calibration of SPX and VIX by optimal transport
SIAM Journal on Financial Mathematics | 2022-01-10 | Paper |
Path dependent optimal transport and model calibration on exotic derivatives
The Annals of Applied Probability | 2021-11-04 | Paper |
Path dependent optimal transport and model calibration on exotic derivatives
The Annals of Applied Probability | 2021-11-04 | Paper |
| On Stochastic Partial Differential Equations and their applications to Derivative Pricing through a conditional Feynman-Kac formula | 2021-06-28 | Paper |
| Deep Semi-Martingale Optimal Transport | 2021-03-05 | Paper |
On the nonexistence of pseudo-generalized quadrangles
European Journal of Combinatorics | 2020-09-15 | Paper |
| On Dynkin Games with Unordered Payoff Processes | 2020-08-16 | Paper |
Local volatility calibration by optimal transport
MATRIX Book Series | 2019-07-02 | Paper |
Optimal execution with regime-switching market resilience
Journal of Economic Dynamics and Control | 2019-03-27 | Paper |
Pricing bounds for volatility derivatives via duality and least squares Monte Carlo
Journal of Optimization Theory and Applications | 2018-11-27 | Paper |
Equal risk pricing under convex trading constraints
Journal of Economic Dynamics and Control | 2018-08-09 | Paper |
PRICING EUROPEAN OPTIONS ON REGIME-SWITCHING ASSETS: A COMPARATIVE STUDY OF MONTE CARLO AND FINITE-DIFFERENCE APPROACHES
The ANZIAM Journal | 2018-03-29 | Paper |
Arbitrage-free pricing of multi-person game claims in discrete time
Finance and Stochastics | 2017-01-12 | Paper |
Discrete time stochastic multi-player competitive games with affine payoffs
Stochastic Processes and their Applications | 2015-12-08 | Paper |
Discrete-time multi-player stopping and quitting games with redistribution of payoffs
Arbitrage, Credit and Informational Risks | 2015-10-21 | Paper |
Effective and simple VWAP options pricing model
International Journal of Theoretical and Applied Finance | 2014-11-12 | Paper |
A zero-sum competitive multi-player game
Demonstratio Mathematica | 2013-01-03 | Paper |
The 52nd International Mathematical Olympiad
The Australian Mathematical Society Gazette | 2012-09-07 | Paper |
Puzzle Corner
The Australian Mathematical Society Gazette | 2012-09-07 | Paper |
