| Publication | Date of Publication | Type |
|---|
Estimation of parameters and local times in a discretely observed threshold diffusion model
(available as arXiv preprint) | N/A | Paper |
| Option hedging through reinforcement learning | 2026-07-14 | Paper |
A stochastic volatility approximation for a tick-by-tick price model with mean-field interaction
(available as arXiv preprint) | 2026-01-01 | Paper |
The multivariate fractional Ornstein-Uhlenbeck process
Stochastic Processes and their Applications | 2025-12-09 | Paper |
A reinforcement learning algorithm for trading commodities
Applied Stochastic Models in Business and Industry | 2024-07-30 | Paper |
Local volatility under rough volatility
Mathematical Finance | 2024-01-31 | Paper |
Drift Estimation of the Threshold Ornstein-Uhlenbeck Process From Continuous and Discrete Observations
STATISTICA SINICA | 2024-01-29 | Paper |
The multivariate fractional Ornstein-Uhlenbeck process
(available as arXiv preprint) | 2024-01-01 | Paper |
Reinforced optimal control
Communications in Mathematical Sciences | 2022-12-13 | Paper |
Short-dated smile under rough volatility: asymptotics and numerics
Quantitative Finance | 2022-05-05 | Paper |
| Short-time asymptotics for non self-similar stochastic volatility models | 2022-04-21 | Paper |
Density estimates and short-time asymptotics for a hypoelliptic diffusion process
Stochastic Processes and their Applications | 2022-02-11 | Paper |
Randomized Optimal Stopping Algorithms and Their Convergence Analysis
SIAM Journal on Financial Mathematics | 2021-11-05 | Paper |
Log-Modulated Rough Stochastic Volatility Models
SIAM Journal on Financial Mathematics | 2021-11-05 | Paper |
Precise asymptotics: robust stochastic volatility models
The Annals of Applied Probability | 2021-11-04 | Paper |
Precise asymptotics: robust stochastic volatility models
The Annals of Applied Probability | 2021-11-04 | Paper |
Maximum likelihood drift estimation for a threshold diffusion
Scandinavian Journal of Statistics | 2020-11-30 | Paper |
Tube estimates for diffusions under a local strong Hörmander condition
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2020-01-31 | Paper |
Tube estimates for diffusions under a local strong Hörmander condition
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2020-01-31 | Paper |
Extreme at-the-money skew in a local volatility model
Finance and Stochastics | 2019-09-19 | Paper |
A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data
International Journal of Theoretical and Applied Finance | 2019-06-24 | Paper |
Tube estimates for diffusion processes under a weak Hörmander condition
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2018-06-01 | Paper |
Statistical estimation of the oscillating Brownian motion
Bernoulli | 2018-05-18 | Paper |
Statistical estimation of the oscillating Brownian motion
Bernoulli | 2018-05-18 | Paper |
| Diffusions under a local strong H\"ormander condition. Part II: tube estimates | 2016-07-15 | Paper |
Diffusions under a local strong Hörmander condition. Part II: tube estimates
(available as arXiv preprint) | 2016-01-01 | Paper |
Multi-scaling of moments in stochastic volatility models
Stochastic Processes and their Applications | 2015-08-21 | Paper |
| A multivariate model for financial indices and an algorithm for detection of jumps in the volatility | 2014-04-30 | Paper |
A multivariate model for financial indices and an algorithm for detection of jumps in the volatility
(available as arXiv preprint) | 2014-01-01 | Paper |
