| Publication | Date of Publication | Type |
|---|
| Probability-free models in option pricing: statistically indistinguishable dynamics and historical vs implied volatility | 2024-09-06 | Paper |
The importance of dynamic risk constraints for limited liability operators
Annals of Operations Research | 2024-06-04 | Paper |
Mild to classical solutions for XVA equations under stochastic volatility
SIAM Journal on Financial Mathematics | 2024-05-06 | Paper |
Price Impact Without Averaging
Applied Mathematical Finance | 2024-04-23 | Paper |
Projections of SDEs onto submanifolds
Information Geometry | 2024-01-16 | Paper |
Optimal projection filters with information geometry
Information Geometry | 2024-01-16 | Paper |
Option pricing models without probability: a rough paths approach
Mathematical Finance | 2023-09-28 | Paper |
Non‐geometric rough paths on manifolds
Journal of the London Mathematical Society | 2023-08-22 | Paper |
| Optimal Projection Filters | 2022-05-03 | Paper |
Price impact on term structure
Quantitative Finance | 2022-04-05 | Paper |
Mechanics of good trade execution in the framework of linear temporary market impact
Quantitative Finance | 2021-12-01 | Paper |
The multivariate mixture dynamics model: shifted dynamics and correlation skew
Annals of Operations Research | 2021-11-08 | Paper |
Impact of multiple curve dynamics in credit valuation adjustments under collateralization
Quantitative Finance | 2021-09-03 | Paper |
SDEs with uniform distributions: peacocks, conic martingales and mean reverting uniform diffusions
Stochastic Processes and their Applications | 2020-05-26 | Paper |
Optimal approximation of SDEs on submanifolds: the Itô-vector and Itô-jet projections
Proceedings of the London Mathematical Society | 2019-08-14 | Paper |
Multi-currency credit default swaps
International Journal of Theoretical and Applied Finance | 2019-06-24 | Paper |
Funding, repo and credit inclusive valuation as modified option pricing
Operations Research Letters | 2019-02-22 | Paper |
Approximated moment-matching dynamics for basket-options pricing
Quantitative Finance | 2019-01-15 | Paper |
Analytical pricing of the smile in a forward LIBOR market model
Quantitative Finance | 2019-01-14 | Paper |
Alternative asset-price dynamics and volatility smile
Quantitative Finance | 2019-01-14 | Paper |
Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement
European Journal of Operational Research | 2018-12-18 | Paper |
Intrinsic stochastic differential equations as jets
Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences | 2018-12-04 | Paper |
Impact of multiple curve dynamics in credit valuation adjustments under collateralization
Quantitative Finance | 2018-11-14 | Paper |
Analysis of nonlinear valuation equations under credit and funding effects
Innovations in Derivatives Markets | 2018-10-22 | Paper |
Nonlinearity valuation adjustment. Nonlinear valuation under collateralization, credit risk, and funding costs
Innovations in Derivatives Markets | 2018-10-22 | Paper |
Impact of Multiple-Curve Dynamics in Credit Valuation Adjustments
Innovations in Derivatives Markets | 2018-10-22 | Paper |
Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures
European Journal of Operational Research | 2018-05-17 | Paper |
| Itô stochastic differential equations as 2-jets | 2018-01-12 | Paper |
| SDEs with uniform distributions: Peacocks, Conic martingales and ergodic uniform diffusions | 2016-06-05 | Paper |
Stochastic PDE Projection on Manifolds: Assumed-Density and Galerkin Filters
Lecture Notes in Computer Science | 2016-05-25 | Paper |
Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall-Olkin law
Statistics & Probability Letters | 2016-05-04 | Paper |
Nonlinear filtering via stochastic PDE projection on mixture manifolds in \(L^2\) direct metric
MCSS. Mathematics of Control, Signals, and Systems | 2016-04-26 | Paper |
| Optimal approximations of the Fokker-Planck-Kolmogorov equation: projection, maximum likelihood eigenfunctions and Galerkin methods | 2016-03-14 | Paper |
| Projection based dimensionality reduction for measure valued evolution equations in statistical manifolds | 2016-01-16 | Paper |
COCO BONDS PRICING WITH CREDIT AND EQUITY CALIBRATED FIRST-PASSAGE FIRM VALUE MODELS
International Journal of Theoretical and Applied Finance | 2015-06-29 | Paper |
A note on the self-financing condition for funding, collateral and discounting
International Journal of Theoretical and Applied Finance | 2015-05-11 | Paper |
Cluster-based extension of the generalized Poisson loss dynamics and consistency with single names
International Journal of Theoretical and Applied Finance | 2014-07-17 | Paper |
| Counterparty credit risk, collateral and funding. With pricing cases for all asset classes | 2014-05-27 | Paper |
Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
Mathematical Finance | 2014-04-23 | Paper |
Stochastic filtering by projection: the example of the quadratic sensor
Lecture Notes in Computer Science | 2014-04-16 | Paper |
Pricing counterparty risk including collateralization, netting rules, re-hypothecation and wrong-way risk
International Journal of Theoretical and Applied Finance | 2013-06-24 | Paper |
Restructuring counterparty credit risk
International Journal of Theoretical and Applied Finance | 2013-06-24 | Paper |
Counterparty risk pricing: impact of closeout and first-to-default times
International Journal of Theoretical and Applied Finance | 2012-11-22 | Paper |
| The direct L2 geometric structure on a manifold of probability densities with applications to Filtering | 2011-11-29 | Paper |
Arbitrage-free valuation of bilateral counterparty risk for interest-rate products: impact of volatilities and correlations
International Journal of Theoretical and Applied Finance | 2011-11-22 | Paper |
No-armageddon measure for arbitrage-free pricing of index options in a credit crisis
Mathematical Finance | 2011-11-21 | Paper |
An exact formula for default swaptions' pricing in the SSRJD stochastic intensity model
Mathematical Finance | 2010-08-03 | Paper |
Counterparty risk for credit default swaps: impact of spread volatility and default correlation
International Journal of Theoretical and Applied Finance | 2010-01-08 | Paper |
A dynamic programming approach for pricing CDS and CDS options
Quantitative Finance | 2009-10-16 | Paper |
| A finite dimensional filter with exponential conditional density | 2009-01-14 | Paper |
| Projecting the Fokker-Planck Equation onto a finite dimensional exponential family | 2009-01-09 | Paper |
| Counterparty risk pricing under correlation between default and interest rates | 2008-07-29 | Paper |
Parameterizing correlations: a geometric interpretation
IMA Journal of Management Mathematics | 2007-11-27 | Paper |
Interest rate models -- theory and practice. With smile, inflation and credit
Springer Finance | 2006-12-29 | Paper |
THE STOCHASTIC INTENSITY SSRD MODEL IMPLIED VOLATILITY PATTERNS FOR CREDIT DEFAULT SWAP OPTIONS AND THE IMPACT OF CORRELATION
International Journal of Theoretical and Applied Finance | 2006-08-14 | Paper |
On the distributional distance between the lognormal LIBOR and swap market models
Quantitative Finance | 2006-03-08 | Paper |
New Families of Copulas Based on Periodic Functions
Communications in Statistics: Theory and Methods | 2005-09-05 | Paper |
LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES
International Journal of Theoretical and Applied Finance | 2005-06-22 | Paper |
Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
Finance and Stochastics | 2005-05-20 | Paper |
The LIBOR model dynamics: Approximations, calibration and diagnostics
European Journal of Operational Research | 2005-01-12 | Paper |
| scientific article; zbMATH DE number 1724293 (Why is no real title available?) | 2003-05-31 | Paper |
A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models
Finance and Stochastics | 2001-12-12 | Paper |
Interest rate models -- theory and practice
Springer Finance | 2001-07-09 | Paper |
On SDEs with marginal laws evolving in finite-dimensional exponential families
Statistics & Probability Letters | 2001-05-21 | Paper |
| scientific article; zbMATH DE number 1390211 (Why is no real title available?) | 2001-01-04 | Paper |
Option pricing impact of alternative continuous-time dynamics
Finance and Stochastics | 2000-11-01 | Paper |
Approximate nonlinear filtering by projection on exponential manifolds of densities
Bernoulli | 2000-01-31 | Paper |
A differential geometric approach to nonlinear filtering: the projection filter
IEEE Transactions on Automatic Control | 1999-01-19 | Paper |
On some filtering problems arising in mathematical finance
Insurance Mathematics & Economics | 1998-01-01 | Paper |
| scientific article; zbMATH DE number 1066361 (Why is no real title available?) | 1997-09-25 | Paper |
New results on the Gaussian projection filter with small observation noise
Systems & Control Letters | 1997-02-27 | Paper |
On the nice behaviour of the Gaussian projection filter with small observation noise
Systems & Control Letters | 1997-02-27 | Paper |
