| Publication | Date of Publication | Type |
|---|
Pricing cumulative loss derivatives under additive models via Malliavin calculus
Boletim da Sociedade Paranaense de Matemática | 2024-02-16 | Paper |
Approximate option pricing under a two-factor Heston-Kou stochastic volatility model
Computational Management Science | 2024-02-06 | Paper |
Neural SDEs for Conditional Time Series Generation and the Signature-Wasserstein-1 metric
| 2023-01-03 | Paper |
Topological features of multivariate distributions: dependency on the covariance matrix
Communications in Nonlinear Science and Numerical Simulation | 2021-11-16 | Paper |
Decomposition formula for rough Volterra stochastic volatility models
International Journal of Theoretical and Applied Finance | 2021-06-18 | Paper |
Dyson type formula for pure jump Lévy processes with some applications to finance
Stochastic Processes and their Applications | 2020-01-24 | Paper |
Decomposition formula for jump diffusion models
International Journal of Theoretical and Applied Finance | 2019-01-10 | Paper |
Decomposition of the pricing formula for stochastic volatility models based on Malliavin-Skorohod type calculus
Springer Proceedings in Mathematics & Statistics | 2018-11-30 | Paper |
Option price decomposition in spot-dependent volatility models and some applications
International Journal of Stochastic Analysis | 2018-10-15 | Paper |
Time-consistent investment and consumption strategies under a general discount function
| 2017-05-28 | Paper |
A Malliavin-Skorohod calculus in \(L^{0}\) and \(L^{1}\) for additive and Volterra-type processes
Stochastics | 2017-04-11 | Paper |
Local Malliavin calculus for Lévy processes and applications
Stochastics | 2016-06-10 | Paper |
A generic decomposition formula for pricing vanilla options under stochastic volatility models
International Journal of Stochastic Analysis | 2016-04-25 | Paper |
scientific article; zbMATH DE number 6470865 (Why is no real title available?)
| 2015-08-05 | Paper |
Asymptotic analysis of stock price densities and implied volatilities in mixed stochastic models
SIAM Journal on Financial Mathematics | 2015-05-15 | Paper |
Anticipating linear stochastic differential equations driven by a Lévy process
Electronic Journal of Probability | 2012-10-23 | Paper |
Two-Sided Estimates for Distribution Densities in Models with Jumps
Stochastic Differential Equations and Processes | 2012-09-21 | Paper |
An anticipating It\^o formula for L\'evy processes
| 2009-04-27 | Paper |
A hull and white formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility
Journal of Applied Mathematics and Stochastic Analysis | 2009-04-01 | Paper |
scientific article; zbMATH DE number 5227638 (Why is no real title available?)
| 2008-01-17 | Paper |
On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
Finance and Stochastics | 2007-12-16 | Paper |
Renormalization Of The Local Time For The d-Dimensional Fractional Brownian Motion With N Parameters
Nagoya Mathematical Journal | 2007-10-22 | Paper |
Canonical Lévy process and Malliavin calculus
Stochastic Processes and their Applications | 2007-02-19 | Paper |
A volatility-varying and jump-diffusion Merton type model of interest rate risk
Insurance Mathematics & Economics | 2006-10-05 | Paper |
A Stroock formula for a certain class of Lévy processes and applications to finance
Journal of Applied Mathematics and Stochastic Analysis | 2006-08-28 | Paper |
Regularity of the Local Time for the d-dimensional Fractional Brownian Motion with N-parameters
Stochastic Analysis and Applications | 2005-05-23 | Paper |
Chaotic expansion and smoothness of some functionals of the fractional Brownian motion
Journal of Mathematics of Kyoto University | 2004-12-29 | Paper |
Chaotic Kabanov formula for the Azéma martingales
Bernoulli | 2003-09-10 | Paper |
Anticipating stratonovich integral with respect to the Azema's martingales
Stochastic Analysis and Applications | 2003-01-01 | Paper |
The indefinite Skorohod integral as integrator on the Poisson space
Random Operators and Stochastic Equations | 2002-12-15 | Paper |
A pathwise approach to backward and forward stochastic differential equations on the poisson space*
Stochastic Analysis and Applications | 2002-12-02 | Paper |
On Lévy processes, Malliavin calculus and market models with jumps
Finance and Stochastics | 2002-12-01 | Paper |
scientific article; zbMATH DE number 1552211 (Why is no real title available?)
| 2001-01-15 | Paper |
On certain relations between the path integrals and the translation operator and its dual in canonical Poisson space
Publicacions Matemàtiques | 2000-09-13 | Paper |
scientific article; zbMATH DE number 797357 (Why is no real title available?)
| 1997-01-27 | Paper |
scientific article; zbMATH DE number 898386 (Why is no real title available?)
| 1996-07-08 | Paper |
Chaos expansions of double intersection local time of Brownian motion in \(\mathbb{R}^ d\) and renormalization
Stochastic Processes and their Applications | 1995-05-23 | Paper |
Chaos expansions and local times
Publicacions Matemàtiques | 1993-08-17 | Paper |
Smoothness of Brownian local times and related functionals
Potential Analysis | 1993-05-26 | Paper |
scientific article; zbMATH DE number 4149279 (Why is no real title available?)
| 1990-01-01 | Paper |
scientific article; zbMATH DE number 4062289 (Why is no real title available?)
| 1988-01-01 | Paper |
