| Publication | Date of Publication | Type |
|---|
Machine-learning regression methods for American-style path-dependent contracts
Quantitative Finance | 2025-08-26 | Paper |
Swing option pricing consistent with futures smiles
Applied Stochastic Models in Business and Industry | 2024-07-30 | Paper |
A general framework for a joint calibration of VIX and VXX options
Annals of Operations Research | 2024-06-04 | Paper |
ROUGH-HESTON LOCAL-VOLATILITY MODEL
International Journal of Theoretical and Applied Finance | 2024-02-20 | Paper |
Impact of multiple curve dynamics in credit valuation adjustments under collateralization
Quantitative Finance | 2021-09-03 | Paper |
Quantization goes polynomial
Quantitative Finance | 2021-06-02 | Paper |
Smile modeling in commodity markets
International Journal of Theoretical and Applied Finance | 2020-08-05 | Paper |
Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement
European Journal of Operational Research | 2018-12-18 | Paper |
Impact of multiple curve dynamics in credit valuation adjustments under collateralization
Quantitative Finance | 2018-11-14 | Paper |
Analysis of nonlinear valuation equations under credit and funding effects
Innovations in Derivatives Markets | 2018-10-22 | Paper |
Nonlinearity valuation adjustment. Nonlinear valuation under collateralization, credit risk, and funding costs
Innovations in Derivatives Markets | 2018-10-22 | Paper |
Impact of Multiple-Curve Dynamics in Credit Valuation Adjustments
Innovations in Derivatives Markets | 2018-10-22 | Paper |
A backward Monte Carlo approach to exotic option pricing
European Journal of Applied Mathematics | 2018-07-13 | Paper |
Derivative pricing with collateralization and FX market dislocations
International Journal of Theoretical and Applied Finance | 2017-10-13 | Paper |
A note on the self-financing condition for funding, collateral and discounting
International Journal of Theoretical and Applied Finance | 2015-05-11 | Paper |
Parsimonious HJM modelling for multiple yield curve dynamics
Quantitative Finance | 2014-09-05 | Paper |
Cluster-based extension of the generalized Poisson loss dynamics and consistency with single names
International Journal of Theoretical and Applied Finance | 2014-07-17 | Paper |
| Counterparty credit risk, collateral and funding. With pricing cases for all asset classes | 2014-05-27 | Paper |
Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
Mathematical Finance | 2014-04-23 | Paper |
Pricing counterparty risk including collateralization, netting rules, re-hypothecation and wrong-way risk
International Journal of Theoretical and Applied Finance | 2013-06-24 | Paper |
Arbitrage-free valuation of bilateral counterparty risk for interest-rate products: impact of volatilities and correlations
International Journal of Theoretical and Applied Finance | 2011-11-22 | Paper |
| Counterparty risk pricing under correlation between default and interest rates | 2008-07-29 | Paper |
