| Publication | Date of Publication | Type |
|---|
A note on the option price and ‘Mass at zero in the uncorrelated SABR model and implied volatility asymptotics’
Quantitative Finance | 2021-12-01 | Paper |
The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model
Journal of Economic Dynamics and Control | 2021-11-16 | Paper |
xVA: DEFINITION, EVALUATION AND RISK MANAGEMENT
International Journal of Theoretical and Applied Finance | 2020-03-26 | Paper |
Two (2+1)-dimensional expanding dynamical systems associated to the mKP hierarchy
Applied Mathematics and Computation | 2019-03-18 | Paper |
| Interest rate modeling. Theory and practice | 2019-03-15 | Paper |
Imaging-duration embedded dynamic scheduling of Earth observation satellites for emergent events
Mathematical Problems in Engineering | 2018-08-27 | Paper |
Upon generating (2+1)-dimensional dynamical systems
International Journal of Theoretical Physics | 2016-07-05 | Paper |
CVA and FVA to derivatives trades collateralized by cash
International Journal of Theoretical and Applied Finance | 2015-09-22 | Paper |
A corresponding Lie algebra of a reductive homogeneous group and its applications
Communications in Theoretical Physics | 2015-06-24 | Paper |
Forests decomposition of graphs without 4-cycles
Journal of Hebei Normal University. Natural Science Edition | 2014-11-03 | Paper |
Effects of callable feature on early exercise policy
Review of Derivatives Research | 2013-10-29 | Paper |
| Interest rate modeling. Theory and practice. | 2009-08-06 | Paper |
Pricing jump risk with utility indifference
Quantitative Finance | 2009-04-20 | Paper |
PRICING PARISIAN-STYLE OPTIONS WITH A LATTICE METHOD
International Journal of Theoretical and Applied Finance | 2008-09-03 | Paper |
ASIAN OPTIONS WITH THE AMERICAN EARLY EXERCISE FEATURE
International Journal of Theoretical and Applied Finance | 2008-09-03 | Paper |
CREDIT CONTAGION: PRICING CROSS-COUNTRY RISK IN BRADY DEBT MARKETS
International Journal of Theoretical and Applied Finance | 2008-09-03 | Paper |
Fast swaption pricing under the market model with a square-root volatility process
Quantitative Finance | 2008-05-15 | Paper |
LIBOR market model with stochastic volatility
Journal of Industrial and Management Optimization | 2006-07-14 | Paper |
Options with Multiple Reset Rights
International Journal of Theoretical and Applied Finance | 2005-10-19 | Paper |
OPTIMAL SHOUTING POLICIES OF OPTIONS WITH STRIKE RESET RIGHT
Mathematical Finance | 2005-05-09 | Paper |
INVENTORY HEDGING AND OPTION MARKET MAKING
International Journal of Theoretical and Applied Finance | 2005-03-30 | Paper |
Early exercise policies of American floating strike and fixed strike lookback options.
Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods | 2004-08-26 | Paper |
Optimal low-rank approximation to a correlation matrix
Linear Algebra and its Applications | 2003-05-04 | Paper |
Pricing multi-asset options with an external barrier
International Journal of Theoretical and Applied Finance | 2002-06-20 | Paper |
Dufort–Frankel-Type Methods for Linear and Nonlinear Schrödinger Equations
SIAM Journal on Numerical Analysis | 1997-04-14 | Paper |
A spectral method for unbounded flow in a cylindrical coordinate system
ESAIM: Proceedings | 1997-04-08 | Paper |
The DuFort-Frankel-type method for the Schrödinger equation
Southeast Asian Bulletin of Mathematics | 1997-03-11 | Paper |
The Semigroup Stability of the Difference Approximations for Initial- Boundary Value Problems
Mathematics of Computation | 1995-09-17 | Paper |
Stable difference approximations for parabolic equations
Mathematical and Computer Modelling | 1995-05-07 | Paper |
On the stability definition of difference approximations for the initial boundary value problem
Applied Numerical Mathematics | 1994-02-28 | Paper |
