| Publication | Date of Publication | Type |
|---|
A stochastic volatility factor model of Heston type. Statistical properties and estimation
Stochastics | 2022-06-30 | Paper |
Portfolio optimization under Solvency II
Annals of Operations Research | 2020-01-20 | Paper |
Principal component models with stochastic mean-reverting levels. Pricing and covariance surface improvements
Applied Stochastic Models in Business and Industry | 2019-02-08 | Paper |
Optimal investment under multi-factor stochastic volatility
Quantitative Finance | 2018-11-19 | Paper |
HARA utility maximization in a Markov-switching bond-stock market
Quantitative Finance | 2018-11-19 | Paper |
Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity
Quantitative Finance | 2018-11-14 | Paper |
A multivariate stochastic volatility model with applications in the foreign exchange market
Review of Derivatives Research | 2018-11-09 | Paper |
Stochastic correlation and volatility mean-reversion -- empirical motivation and derivatives pricing via perturbation theory
Applied Mathematical Finance | 2018-09-12 | Paper |
Closed-form pricing of two-asset barrier options with stochastic covariance
Applied Mathematical Finance | 2018-09-11 | Paper |
Dynamic derivative strategies with stochastic interest rates and model uncertainty
Journal of Economic Dynamics and Control | 2018-08-13 | Paper |
Two asset-barrier option under stochastic volatility
Applied Mathematical Finance | 2018-04-06 | Paper |
Algorithm 963: Estimation of stochastic covariance models using a continuum of moment conditions
ACM Transactions on Mathematical Software | 2017-06-30 | Paper |
Stochastic covariance and dimension reduction in the pricing of basket options
Review of Derivatives Research | 2016-12-02 | Paper |
Optimal investment in multidimensional Markov-modulated affine models
Annals of Finance | 2016-01-07 | Paper |
PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING
International Journal of Theoretical and Applied Finance | 2015-09-22 | Paper |
Pricing two-asset barrier options under stochastic correlation via perturbation
International Journal of Theoretical and Applied Finance | 2015-06-29 | Paper |
Efficiently pricing double barrier derivatives in stochastic volatility models
Review of Derivatives Research | 2015-01-23 | Paper |
Pricing of mountain range derivatives under a principal component stochastic volatility model
Applied Stochastic Models in Business and Industry | 2014-05-06 | Paper |
Three dimensional distribution of Brownian motion extrema
Stochastics | 2014-04-17 | Paper |
An intensity-based approach for equity modeling
Applied Stochastic Models in Business and Industry | 2013-11-15 | Paper |
Multidimensional structural credit modeling under stochastic volatility
ISRN Probability and Statistics | 2013-08-29 | Paper |
Time domain computation of flow induced sound
Computers and Fluids | 2012-05-10 | Paper |
Option on a CPPI
| 2011-11-15 | Paper |
Risk management under a factor stochastic volatility model
Asia-Pacific Journal of Operational Research | 2011-03-22 | Paper |
Asymptotic behavior of maximum likelihood estimators in a branching diffusion model
Statistical Inference for Stochastic Processes | 2011-02-15 | Paper |
Hedge funds as knock-out options
| 2010-09-02 | Paper |
Pricing a CDO on stochastically correlated underlyings
Quantitative Finance | 2010-04-23 | Paper |
The price of liquidity in constant leverage strategies
Revista de la Real Academia de Ciencias Exactas, Fisicas y Naturales. Serie A. Matematicas | 2010-01-27 | Paper |
Pricing of spread options on stochastically correlated underlyings
The Journal of Computational Finance | 2009-11-10 | Paper |
A partial differential equation for credit derivatives pricing
| 2007-11-05 | Paper |
Approximate solution for multi-server queueing systems with Erlangian service times
Computers & Operations Research | 2002-07-11 | Paper |
