| Publication | Date of Publication | Type |
|---|
Short Option Maturity Term Structures of Skewness and Excess Kurtosis*
Applied Mathematical Finance | 2025-01-27 | Paper |
On the real rate of interest in a closed economy
Annals of Finance | 2024-12-23 | Paper |
Financial finance
International Journal of Theoretical and Applied Finance | 2024-11-27 | Paper |
Rational hedging with a diversity of implied volatilities
Frontiers of Mathematical Finance | 2024-11-26 | Paper |
Financial activity time
Frontiers of Mathematical Finance | 2024-01-15 | Paper |
Now decision theory
Probability, Uncertainty and Quantitative Risk | 2023-11-08 | Paper |
Measuring dependence in a set of asset returns
Asia-Pacific Financial Markets | 2023-09-28 | Paper |
Exposure valuations and their capital requirements
Frontiers of Mathematical Finance | 2023-09-27 | Paper |
Option returns
Frontiers of Mathematical Finance | 2023-07-25 | Paper |
The economics of time as it is embedded in the prices of options§
Quantitative Finance | 2023-06-20 | Paper |
The valuation of corporations: a derivative pricing perspective
Annals of Finance | 2023-04-04 | Paper |
Option surface statistics with applications
International Journal of Theoretical and Applied Finance | 2022-11-16 | Paper |
Implied price processes anchored in statistical realizations
Frontiers of Mathematical Finance | 2022-10-19 | Paper |
High dimensional Markovian trading of a single stock
Frontiers of Mathematical Finance | 2022-10-19 | Paper |
Two sided efficient frontiers at multiple time horizons
Annals of Finance | 2022-09-21 | Paper |
Quadratic variation, models, applications and lessons
Frontiers of Mathematical Finance | 2022-08-30 | Paper |
Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)
Quantitative Finance | 2022-07-22 | Paper |
Risk neutral jump arrival rates implied in option prices and their models
Applied Mathematical Finance | 2022-05-10 | Paper |
Correlated squared returns
Probability, Uncertainty and Quantitative Risk | 2021-11-09 | Paper |
Filtering response directions
SIAM Journal on Financial Mathematics | 2021-11-05 | Paper |
Option implied VIX, skew and kurtosis term structures
International Journal of Theoretical and Applied Finance | 2021-10-20 | Paper |
Additive processes with bilateral gamma marginals
Applied Mathematical Finance | 2021-02-08 | Paper |
Comments on ``An improved secure and efficient password and chaos-based two-party key agreement protocol
Nonlinear Dynamics | 2018-04-11 | Paper |
Measuring and monitoring the efficiency of markets
International Journal of Theoretical and Applied Finance | 2018-01-11 | Paper |
A Native APIs Protection Mechanism in the Kernel Mode against Malicious Code
IEEE Transactions on Computers | 2017-07-27 | Paper |
Propagation and transformation of periodic nonlinear shallow-water waves in basins with selected breakwater systems
Computers and Fluids | 2012-05-10 | Paper |
