| Publication | Date of Publication | Type |
|---|
Non-parametric pricing of long-dated volatility derivatives under stochastic interest rates
Quantitative Finance | 2021-07-16 | Paper |
Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal
Quantitative Finance | 2021-07-16 | Paper |
The use of power numeraires in option pricing
Operations Research Letters | 2019-02-22 | Paper |
Rapid and accurate development of prices and Greeks for \(n\)th to default credit swaps in the Li model
Quantitative Finance | 2019-01-15 | Paper |
A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation
Quantitative Finance | 2019-01-14 | Paper |
Bounding Bermudan swaptions in a swap-rate market model
Quantitative Finance | 2019-01-14 | Paper |
Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
Journal of Economic Dynamics and Control | 2018-11-01 | Paper |
Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
Journal of Economic Dynamics and Control | 2018-11-01 | Paper |
A new class of dual upper bounds for early exercisable derivatives encompassing both the additive and multiplicative bounds
Operations Research Letters | 2018-09-28 | Paper |
Optimal partial proxy method for computing gammas of financial products with discontinuous and angular payoffs
Applied Mathematical Finance | 2018-09-19 | Paper |
The efficient computation and the sensitivity analysis of finite-time ruin probabilities and the estimation of risk-based regulatory capital
ASTIN Bulletin | 2018-06-04 | Paper |
Least squares Monte Carlo credit value adjustment with small and unidirectional bias
International Journal of Theoretical and Applied Finance | 2017-01-04 | Paper |
An exact method for the sensitivity analysis of systems simulated by rejection techniques
European Journal of Operational Research | 2016-10-07 | Paper |
Addendum to: ``Multilevel dual approach for pricing American style derivatives
Finance and Stochastics | 2015-08-04 | Paper |
Proof patterns
| 2015-04-07 | Paper |
The efficient computation of prices and Greeks for callable range accruals using the displaced-diffusion LMM
International Journal of Theoretical and Applied Finance | 2014-04-25 | Paper |
Truncation and acceleration of the Tian tree for the pricing of American put options
Quantitative Finance | 2014-01-30 | Paper |
Fast Monte Carlo Greeks for financial products with discontinuous pay-offs
Mathematical Finance | 2013-09-04 | Paper |
Introduction to mathematical portfolio theory
International Series on Actuarial Science | 2013-08-13 | Paper |
Interpolation schemes in the displaced-diffusion LIBOR market model
SIAM Journal on Financial Mathematics | 2013-01-25 | Paper |
Efficient Greek estimation in generic swap-rate market models
Algorithmic Finance | 2012-10-23 | Paper |
On the analytical/numerical pricing of American put options against binomial tree prices
Quantitative Finance | 2012-06-25 | Paper |
Accelerating pathwise Greeks in the LIBOR market model
International Journal of Theoretical and Applied Finance | 2012-05-07 | Paper |
Monte Carlo bounds for game options including convertible bonds
Management Science | 2011-07-28 | Paper |
Perturbation stable conditional analytic Monte-Carlo pricing scheme for auto-callable products
International Journal of Theoretical and Applied Finance | 2011-06-10 | Paper |
Smooth simultaneous calibration of the LMM to caplets and co-terminal swaptions
Quantitative Finance | 2011-06-09 | Paper |
Fast delta computations in the swap-rate market model
Journal of Economic Dynamics and Control | 2011-03-31 | Paper |
Fast sensitivity computations for Monte Carlo valuation of pension funds
| 2011-02-01 | Paper |
Fast and accurate pricing and hedging of long-dated CMS spread options
International Journal of Theoretical and Applied Finance | 2010-09-21 | Paper |
Pricing and deltas of discretely-monitored barrier options using stratified sampling on the hitting-times to the barrier
International Journal of Theoretical and Applied Finance | 2010-09-16 | Paper |
Achieving higher order convergence for the prices of European options in binomial trees
Mathematical Finance | 2010-03-12 | Paper |
Achieving smooth asymptotics for the prices of European options in binomial trees
Quantitative Finance | 2009-04-20 | Paper |
Effective Implementation of Generic Market Models
ASTIN Bulletin | 2009-01-28 | Paper |
The concepts and practice of mathematical finance.
| 2008-10-24 | Paper |
New and robust drift approximations for the LIBOR market model
Quantitative Finance | 2008-08-07 | Paper |
scientific article; zbMATH DE number 5299194 (Why is no real title available?)
| 2008-07-09 | Paper |
A Simple Derivation of and Improvements to Jamshidian's and Rogers' Upper Bound Methods for Bermudan Options
Applied Mathematical Finance | 2007-10-11 | Paper |
A JOINT EMPIRICAL AND THEORETICAL INVESTIGATION OF THE MODES OF DEFORMATION OF SWAPTION MATRICES: IMPLICATIONS FOR MODEL CHOICE
International Journal of Theoretical and Applied Finance | 2005-06-22 | Paper |
scientific article; zbMATH DE number 2162738 (Why is no real title available?)
| 2005-04-29 | Paper |
scientific article; zbMATH DE number 2107359 (Why is no real title available?)
| 2004-10-13 | Paper |
scientific article; zbMATH DE number 2107367 (Why is no real title available?)
| 2004-10-13 | Paper |
Scattering on stratified media: the microlocal properties of the scattering matrix and recovering asymptotics of perturbations.
Annales de l’institut Fourier | 2003-06-26 | Paper |
The wave group on asymptotically hyperbolic manifolds
Journal of Functional Analysis | 2002-11-19 | Paper |
scientific article; zbMATH DE number 1808692 (Why is no real title available?)
| 2002-09-29 | Paper |
Higher Order Scattering on Asymptotically Euclidean Manifolds
Canadian Journal of Mathematics | 2002-04-30 | Paper |
Explicitly recovering asymptotics of short range potentials
Communications in Partial Differential Equations | 2001-06-18 | Paper |
Recovering asymptotics of metrics from fixed energy scattering data
Inventiones Mathematicae | 2001-01-22 | Paper |
Inverse scattering on asymptotically hyperbolic manifolds.
Acta Mathematica | 2000-12-06 | Paper |
A model form for exact 𝑏-metrics
Proceedings of the American Mathematical Society | 2000-11-22 | Paper |
scientific article; zbMATH DE number 1334333 (Why is no real title available?)
| 2000-07-13 | Paper |
Total determination of material parameters from electromagnetic boundary information
Pacific Journal of Mathematics | 2000-06-22 | Paper |
scientific article; zbMATH DE number 1384319 (Why is no real title available?)
| 2000-02-08 | Paper |
Recovering asymptotics of short range potentials
Communications in Mathematical Physics | 1999-09-23 | Paper |
Recovering Asymptotics of Coulomb-like Potentials from Fixed Energy Scattering Data
SIAM Journal on Mathematical Analysis | 1999-06-27 | Paper |
The generation of semilinear singularities by a swallowtail caustic
American Journal of Mathematics | 1999-05-31 | Paper |
Recovering the total singularity of a conormal potential from backscattering data
Annales de l’institut Fourier | 1998-11-29 | Paper |
A symbolic construction of the forward fundamental solution of the wave operator
Communications in Partial Differential Equations | 1998-11-11 | Paper |
scientific article; zbMATH DE number 1069382 (Why is no real title available?)
| 1998-07-19 | Paper |
A commutator proof of the propagation of polyhomogeneity for semi-linear equations
Communications in Partial Differential Equations | 1997-10-22 | Paper |
An intrinsic characterisation of polyhomogeneous Lagrangian distributions
Proceedings of the American Mathematical Society | 1997-05-13 | Paper |
Lectures on Pseudo-differential Operators
| N/A | Paper |
Recovering asymptotics of metrics from fixed energy scattering data
| N/A | Paper |
