| Publication | Date of Publication | Type |
|---|
Vulnerable European and American options in a hazard-process model
Finance and Stochastics | 2026-03-23 | Paper |
Defaultable perpetual Russian option Under a last passage time model
(available as arXiv preprint) | 2026-01-01 | Paper |
American Options with Last Exit Times: A Free-Boundary Approach
(available as arXiv preprint) | 2026-01-01 | Paper |
An Entropy Regularized BSDE Approach to Bermudan Options and Games
(available as arXiv preprint) | 2025-01-01 | Paper |
| Integration by parts formula for exit times of one dimensional diffusions | 2024-10-01 | Paper |
Penalization schemes for BSDEs and reflected BSDEs with generalized driver
Probability, Uncertainty and Quantitative Risk | 2024-09-30 | Paper |
Defaultable perpetual American put option in a last passage time model
Statistics & Probability Letters | 2024-07-09 | Paper |
| Integration by parts formula for exit times of one dimensional diffusions | 2023-10-11 | Paper |
Generalized BSDE and reflected BSDE with random time horizon
Electronic Journal of Probability | 2023-07-04 | Paper |
| Well-posedness and penalization schemes for generalized BSDEs and reflected generalized BSDEs | 2022-12-24 | Paper |
| The Russian Option with A Random Time Horizon | 2022-11-25 | Paper |
| The American Put Option with A Random Time Horizon | 2022-11-25 | Paper |
| Generalized BSDEs with random time horizon in a progressively enlarged filtration | 2021-05-14 | Paper |
| A positivity preserving numerical scheme for the alpha-CEV process | 2021-03-24 | Paper |
Generalized BSDEs with random time horizon in a progressively enlarged filtration
(available as arXiv preprint) | 2021-01-01 | Paper |
Well-posedness and approximation of some one-dimensional Lévy-driven non-linear SDEs
(available as arXiv preprint) | 2020-01-01 | Paper |
Characterisation of honest times and optional semimartingales of class-(\Sigma)
(available as arXiv preprint) | 2018-01-11 | Paper |
Regularity of the density of a stable-like driven SDE with Hölder continuous coefficients
Stochastic Analysis and Applications | 2016-10-28 | Paper |
| On the first hitting times of one dimensional elliptic diffusions | 2016-09-29 | Paper |
On the first hitting times of one dimensional elliptic diffusions
(available as arXiv preprint) | 2016-01-01 | Paper |
Admissibility of generic market models of forward swap rates
Mathematical Finance | 2014-11-05 | Paper |
| An enlargement of filtration formula with application to progressive enlargement with multiple random times | 2014-02-13 | Paper |
An enlargement of filtration formula with application to progressive enlargement with multiple random times
(available as arXiv preprint) | 2014-01-01 | Paper |
Market Models of Forward CDS Spreads
Stochastic Analysis with Financial Applications | 2012-09-07 | Paper |
Random times and multiplicative systems
Stochastic Processes and their Applications | 2012-06-01 | Paper |
