| Publication | Date of Publication | Type |
|---|
Physical returns in a pricing world: towards forward-looking market risk measures
Frontiers of Mathematical Finance | 2026-02-26 | Paper |
On the pricing of capped volatility swaps using machine learning techniques
Quantitative Finance | 2025-01-06 | Paper |
Now decision theory
Probability, Uncertainty and Quantitative Risk | 2023-11-08 | Paper |
Option returns
Frontiers of Mathematical Finance | 2023-07-25 | Paper |
Performance of advanced stock price models when it becomes exotic: an empirical study
Annals of Finance | 2023-04-27 | Paper |
Errata: Instantaneous Portfolio theory
Quantitative Finance | 2022-05-27 | Paper |
| Nonlinear valuation and non-Gaussian risks in finance | 2021-12-01 | Paper |
Conic quantization: stochastic volatility and market implied liquidity
Quantitative Finance | 2021-06-02 | Paper |
Self-similarity in long-horizon returns
Mathematical Finance | 2021-03-23 | Paper |
Zero covariation returns
Probability, Uncertainty and Quantitative Risk | 2020-02-17 | Paper |
Implied liquidity risk premia in option markets
Annals of Finance | 2019-06-28 | Paper |
Conic asset pricing and the costs of price fluctuations
Annals of Finance | 2019-06-18 | Paper |
Equilibrium asset returns in financial markets
International Journal of Theoretical and Applied Finance | 2019-04-18 | Paper |
Machine learning for quantitative finance: fast derivative pricing, hedging and fitting
Quantitative Finance | 2019-02-06 | Paper |
Calibration to American options: numerical investigation of the de-americanization method
Quantitative Finance | 2018-11-14 | Paper |
Calibration to American options: numerical investigation of the de-americanization method
Quantitative Finance | 2018-11-14 | Paper |
The risk management of contingent convertible (CoCo) bonds
SpringerBriefs in Finance | 2018-10-29 | Paper |
Basket option pricing and implied correlation in a one-factor Lévy model
Innovations in Derivatives Markets | 2018-10-22 | Paper |
The impact of a new CoCo issuance on the price performance of outstanding CoCos
Innovations in Derivatives Markets | 2018-10-22 | Paper |
Conic CPPIs
International Journal of Theoretical and Applied Finance | 2018-04-11 | Paper |
Measuring and monitoring the efficiency of markets
International Journal of Theoretical and Applied Finance | 2018-01-11 | Paper |
Hunting for black swans in the European banking sector using extreme value analysis
Springer Proceedings in Mathematics & Statistics | 2017-07-31 | Paper |
CONIC TRADING IN A MARKOVIAN STEADY STATE
International Journal of Theoretical and Applied Finance | 2017-04-13 | Paper |
CoCos with extension risk. A structural approach
The Fascination of Probability, Statistics and their Applications | 2017-01-16 | Paper |
Hedging insurance books
Insurance Mathematics & Economics | 2016-12-13 | Paper |
Dynamic conic hedging for competitiveness
Mathematics and Financial Economics | 2016-09-30 | Paper |
| Applied conic finance | 2016-08-17 | Paper |
Jumps in intensity models: investigating the performance of Ornstein-Uhlenbeck processes in credit risk modeling
Metrika | 2015-10-14 | Paper |
A framework for robust measurement of implied correlation
Journal of Computational and Applied Mathematics | 2015-08-26 | Paper |
A bootstrapping market implied moment matching calibration for models with time-dependent parameters
Journal of Computational and Applied Mathematics | 2015-08-26 | Paper |
Two price economies in continuous time
Annals of Finance | 2014-11-13 | Paper |
FIX: the fear index -- measuring market fear
Topics in Numerical Methods for Finance | 2014-09-29 | Paper |
A multivariate dependence measure for aggregating risks
Journal of Computational and Applied Mathematics | 2014-07-17 | Paper |
Heston model: the variance swap calibration
Journal of Optimization Theory and Applications | 2014-06-30 | Paper |
TWO PROCESSES FOR TWO PRICES
International Journal of Theoretical and Applied Finance | 2014-04-25 | Paper |
On the (in-)dependence between financial and actuarial risks
Insurance Mathematics & Economics | 2014-04-04 | Paper |
Systemic risk tradeoffs and option prices
Insurance Mathematics & Economics | 2014-04-03 | Paper |
A moment matching market implied calibration
Quantitative Finance | 2014-02-20 | Paper |
The valuation of structured products using Markov chain models
Quantitative Finance | 2014-02-08 | Paper |
A short rate model using ambit processes
Springer Proceedings in Mathematics & Statistics | 2013-07-30 | Paper |
SIMPLE PROCESSES AND THE PRICING AND HEDGING OF CLIQUETS
Mathematical Finance | 2013-02-28 | Paper |
Structured products equilibria in conic two price markets
Mathematics and Financial Economics | 2013-02-26 | Paper |
Conic coconuts: the pricing of contingent capital notes using conic finance
Mathematics and Financial Economics | 2013-01-20 | Paper |
Tenor specific pricing
International Journal of Theoretical and Applied Finance | 2012-11-22 | Paper |
The herd behavior index: a new measure for the implied degree of co-movement in stock markets
Insurance Mathematics & Economics | 2012-05-11 | Paper |
Quantitative assessment of securitisation deals. Foreword by Anneli Peshkoff and Guido Bichisao
SpringerBriefs in Finance | 2012-04-27 | Paper |
The \(\beta\)-Meixner model
Journal of Computational and Applied Mathematics | 2012-03-19 | Paper |
The \(\beta \)-variance gamma model
Review of Derivatives Research | 2012-01-26 | Paper |
CONIC FINANCE AND THE CORPORATE BALANCE SHEET
International Journal of Theoretical and Applied Finance | 2011-10-24 | Paper |
Comparing alternative Lévy base correlation models for pricing and hedging CDO tranches
Quantitative Finance | 2011-06-07 | Paper |
Maximum likelihood estimation in processes of Ornstein-Uhlenbeck type
Statistical Inference for Stochastic Processes | 2011-02-15 | Paper |
Implied Lévy volatility
Quantitative Finance | 2010-02-05 | Paper |
| Modelling default and prepayment using Lévy processes: an application to asset backed securities | 2010-01-13 | Paper |
A note on the suboptimality of path-dependent pay-offs in Lévy markets
Applied Mathematical Finance | 2009-12-16 | Paper |
PRICING AND HEDGING OF CDO-SQUARED TRANCHES BY USING A ONE FACTOR LÉVY MODEL
International Journal of Theoretical and Applied Finance | 2009-11-09 | Paper |
| scientific article; zbMATH DE number 5619427 (Why is no real title available?) | 2009-10-22 | Paper |
Single name credit default swaptions meet single sided jump models
Review of Derivatives Research | 2009-06-19 | Paper |
| A generic one-factor Lévy model for pricing synthetic CDOs | 2009-01-28 | Paper |
HEDGING UNDER THE HESTON MODEL WITH JUMP-TO-DEFAULT
International Journal of Theoretical and Applied Finance | 2008-08-26 | Paper |
General Lower Bounds for Arithmetic Asian Option Prices
Applied Mathematical Finance | 2008-05-22 | Paper |
A note on some new perpetuities
Scandinavian Actuarial Journal | 2007-05-29 | Paper |
A multivariate jump-driven financial asset model
Quantitative Finance | 2007-05-09 | Paper |
SELF EXCITING THRESHOLD INTEREST RATES MODELS
International Journal of Theoretical and Applied Finance | 2007-02-08 | Paper |
Optimal investment in a Lévy market
Applied Mathematics and Optimization | 2006-06-28 | Paper |
Exotic options under Lévy models: an overview
Journal of Computational and Applied Mathematics | 2006-03-24 | Paper |
Moment swaps
Quantitative Finance | 2006-03-08 | Paper |
Asymmetric skew Bessel processes and their applications to finance
Journal of Computational and Applied Mathematics | 2005-11-01 | Paper |
Iterates of the infinitesimal generator and space-time harmonic polynomials of a Markov process
Journal of Computational and Applied Mathematics | 2005-11-01 | Paper |
THE PRICING OF EXOTIC OPTIONS BY MONTE–CARLO SIMULATIONS IN A LÉVY MARKET WITH STOCHASTIC VOLATILITY
International Journal of Theoretical and Applied Finance | 2005-10-19 | Paper |
Completion of a Lévy market by power-jump assets
Finance and Stochastics | 2005-05-20 | Paper |
A risk model driven by Lévy processes
Applied Stochastic Models in Business and Industry | 2004-11-24 | Paper |
Chaotic and predictable representations for Lévy processes.
Stochastic Processes and their Applications | 2004-09-22 | Paper |
Short-term risk management using stochastic Taylor expansions under Lévy models
Insurance Mathematics & Economics | 2003-11-16 | Paper |
Discrete chaotic calculus and covariance identities
Stochastics and Stochastic Reports | 2003-03-20 | Paper |
| scientific article; zbMATH DE number 1552215 (Why is no real title available?) | 2002-10-07 | Paper |
Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance
Bernoulli | 2002-08-14 | Paper |
Orthogonal polynomials in Stein's method
Journal of Mathematical Analysis and Applications | 2002-05-13 | Paper |
An application in stochastics of the Laguerre-type polynomials
Journal of Computational and Applied Mathematics | 2002-04-28 | Paper |
Birth and death processes, orthogonal polynomials and limiting conditional distributions
The Mathematical Scientist | 2001-07-05 | Paper |
Stochastic processes and orthogonal polynomials
Lecture Notes in Statistics | 2000-08-23 | Paper |
Lévy-Sheffer and iid-Sheffer polynomials with applications to stochastic integrals
Journal of Computational and Applied Mathematics | 2000-01-24 | Paper |
A birth and death process related to the Rogers-Ramanujan continued fraction
Journal of Mathematical Analysis and Applications | 1999-03-14 | Paper |
Lévy processes, polynomials and martingales
Communications in Statistics. Stochastic Models | 1998-09-20 | Paper |
