| Publication | Date of Publication | Type |
|---|
No arbitrage SVI
SIAM Journal on Financial Mathematics | 2022-03-18 | Paper |
On VIX futures in the rough Bergomi model
Quantitative Finance | 2021-09-03 | Paper |
Short Communication: Dynamics of Symmetric SSVI Smiles and Implied Volatility Bubbles
SIAM Journal on Financial Mathematics | 2021-05-17 | Paper |
Robust calibration and arbitrage-free interpolation of SSVI slices
Decisions in Economics and Finance | 2020-01-31 | Paper |
On the support of extremal martingale measures with given marginals: the countable case
Advances in Applied Probability | 2019-12-09 | Paper |
On the support of extremal martingale measures with given marginals: the countable case
Advances in Applied Probability | 2019-12-09 | Paper |
On VIX futures in the rough Bergomi model
Quantitative Finance | 2018-11-14 | Paper |
On VIX futures in the rough Bergomi model
Quantitative Finance | 2018-11-14 | Paper |
Moment generating functions and normalized implied volatilities: unification and extension via Fukasawa's pricing formula
Quantitative Finance | 2018-11-14 | Paper |
Change of numeraire in the two-marginals martingale transport problem
Finance and Stochastics | 2017-04-13 | Paper |
Generalized arbitrage-free SVI volatility surfaces
SIAM Journal on Financial Mathematics | 2016-09-28 | Paper |
The \(\alpha\)-hypergeometric stochastic volatility model
Stochastic Processes and their Applications | 2016-04-04 | Paper |
A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
The Annals of Applied Probability | 2007-08-08 | Paper |
| scientific article; zbMATH DE number 2127972 (Why is no real title available?) | 2005-01-14 | Paper |
Approximation of American put prices by European prices via an embedding method.
The Annals of Applied Probability | 2003-05-06 | Paper |
American prices embedded in European prices
Annales de l'Institut Henri Poincaré. Analyse Non Linéaire | 2002-04-08 | Paper |
American prices embedded in European prices
Annales de l'Institut Henri Poincaré. Analyse Non Linéaire | 2002-04-08 | Paper |
Propagation of convexity by Markovian and martingalian semigroups
Potential Analysis | 2001-04-02 | Paper |
Pricing and Hedging Discount Bond Options in the Presence of Model Risk *
European Finance Review | 2001-03-28 | Paper |
On the marginal laws of one-dimensional stochastic integrals with uniformly elliptic integrand
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2000-11-06 | Paper |
On the marginal laws of one-dimensional stochastic integrals with uniformly elliptic integrand
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2000-11-06 | Paper |
Harmonic polynomials on the white noise space
Potential Analysis | 1999-10-25 | Paper |
Spherical harmonics and irreducible representations of \(O(\infty)\)
Potential Analysis | 1999-06-29 | Paper |
| scientific article; zbMATH DE number 817358 (Why is no real title available?) | 1996-03-31 | Paper |
