| Publication | Date of Publication | Type |
|---|
Special issue of Quantitative Finance in honor of Michael Dempster's 85th birthday
Quantitative Finance | 2025-01-06 | Paper |
| Volatility is rough | 2024-09-06 | Paper |
A generalization of the rational rough Heston approximation
Quantitative Finance | 2024-05-29 | Paper |
Marco Avellaneda: Mathematician and trader
Mathematical Finance | 2023-09-28 | Paper |
In memoriam Marco Avellaneda
Quantitative Finance | 2022-10-14 | Paper |
A rough SABR formula
Frontiers of Mathematical Finance | 2022-08-30 | Paper |
In memoriam: Mardi Dungey
Quantitative Finance | 2022-05-27 | Paper |
Forests, cumulants, martingales
The Annals of Probability | 2022-05-17 | Paper |
In memoriam Peter Carr
Quantitative Finance | 2022-05-05 | Paper |
Pricing under rough volatility
Quantitative Finance | 2021-07-16 | Paper |
Discrete homotopy analysis for optimal trading execution with nonlinear transient market impact
Communications in Nonlinear Science and Numerical Simulation | 2020-09-19 | Paper |
The Zumbach effect under rough Heston
Quantitative Finance | 2020-09-14 | Paper |
Exponentiation of conditional expectations under stochastic volatility
Quantitative Finance | 2020-02-10 | Paper |
Forests, cumulants, martingales
(available as arXiv preprint) | 2020-02-04 | Paper |
Short-term at-the-money asymptotics under stochastic volatility models
SIAM Journal on Financial Mathematics | 2019-07-10 | Paper |
Affine forward variance models
Finance and Stochastics | 2019-06-27 | Paper |
Rational approximation of the rough Heston solution
International Journal of Theoretical and Applied Finance | 2019-05-21 | Paper |
Implied Volatility from Local Volatility: A Path Integral Approach
Springer Proceedings in Mathematics & Statistics | 2018-12-11 | Paper |
Optimal execution with non-linear transient market impact
Quantitative Finance | 2018-11-19 | Paper |
Volatility is rough
Quantitative Finance | 2018-11-14 | Paper |
Volatility is rough
Quantitative Finance | 2018-11-14 | Paper |
Tighter bounds for implied volatility
International Journal of Theoretical and Applied Finance | 2017-09-08 | Paper |
Arbitrage-free SVI volatility surfaces
Quantitative Finance | 2014-09-05 | Paper |
Fast Ninomiya-Victoir calibration of the double-mean-reverting model
Quantitative Finance | 2014-01-23 | Paper |
Convergence of Heston to SVI
Quantitative Finance | 2013-06-27 | Paper |
Asymptotics of implied volatility in local volatility models
Mathematical Finance | 2013-05-14 | Paper |
Transient linear price impact and Fredholm integral equations
Mathematical Finance | 2013-02-28 | Paper |
The heat-kernel most-likely-path approximation
International Journal of Theoretical and Applied Finance | 2012-04-24 | Paper |
OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
International Journal of Theoretical and Applied Finance | 2011-06-20 | Paper |
Zero-intelligence realized variance estimation.
Finance and Stochastics | 2011-04-06 | Paper |
No-dynamic-arbitrage and market impact
Quantitative Finance | 2010-09-21 | Paper |
Valuation of volatility derivatives as an inverse problem
Quantitative Finance | 2006-03-08 | Paper |
