| Publication | Date of Publication | Type |
|---|
The design of optimal re-insurance contracts when losses are clustered
Mathematics and Financial Economics | 2026-03-24 | Paper |
The rough Hawkes Heston stochastic volatility model
Mathematical Finance | 2024-11-20 | Paper |
Stochastic evolution of distributions and functional Bollinger bands
Applied Stochastic Models in Business and Industry | 2024-07-29 | Paper |
Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S\&P500 data
Annals of Operations Research | 2024-06-04 | Paper |
Interest Rates Term Structure Models Driven by Hawkes Processes
SIAM Journal on Financial Mathematics | 2023-11-23 | Paper |
| The rough Hawkes Heston stochastic volatility model | 2022-10-22 | Paper |
Optimal harvesting under marine reserves and uncertain environment
European Journal of Operational Research | 2022-05-20 | Paper |
A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process
Mathematics and Financial Economics | 2021-09-28 | Paper |
Is the variance swap rate affine in the spot variance? Evidence from S\&P500 data
Applied Mathematical Finance | 2021-06-17 | Paper |
Clustering effects via Hawkes processes
Mathematical Lectures from Peking University | 2020-11-12 | Paper |
Alternative to beta coefficients in the context of diffusions
Quantitative Finance | 2018-11-19 | Paper |
Sensitivity analysis for marked Hawkes processes: application to CLO pricing
Mathematics and Financial Economics | 2018-09-05 | Paper |
Optimal investment in markets with over and under-reaction to information
Mathematics and Financial Economics | 2017-11-09 | Paper |
Alpha-CIR model with branching processes in sovereign interest rate modeling
Finance and Stochastics | 2017-07-21 | Paper |
Optimal execution cost for liquidation through a limit order market
International Journal of Theoretical and Applied Finance | 2016-04-01 | Paper |
Stochastic sensitivity study for optimal credit allocation
Arbitrage, Credit and Informational Risks | 2015-10-21 | Paper |
Optimal credit allocation under regime uncertainty with sensitivity analysis
International Journal of Theoretical and Applied Finance | 2015-04-15 | Paper |
Optimal exit strategies for investment projects
Journal of Mathematical Analysis and Applications | 2015-01-30 | Paper |
Bid-Ask Spread Modelling, a Perturbation Approach
Seminar on Stochastic Analysis, Random Fields and Applications VII | 2014-02-19 | Paper |
An optimal dividend and investment control problem under debt constraints
SIAM Journal on Financial Mathematics | 2014-01-23 | Paper |
| Asset Pricing under uncertainty | 2012-03-26 | Paper |
| Applications of the error theory using Dirichlet forms. | 2010-04-06 | Paper |
| Perturbative Approach on Financial Markets | 2008-06-02 | Paper |
| Risk Premium Impact in the Perturbative Black Scholes Model | 2008-06-02 | Paper |
| Errors Theory using Dirichlet Forms, Linear Partial Differential Equations and Wavelets | 2007-08-08 | Paper |
