| Publication | Date of Publication | Type |
|---|
Explicit approximations of option prices via Malliavin calculus in a general stochastic volatility framework
Journal of Computational and Applied Mathematics | 2026-08-04 | Paper |
Squintability and Other Metrics for Assessing Projection Pursuit Indexes, and Guiding Optimization Choices
Journal of Computational and Graphical Statistics | 2026-01-01 | Paper |
A Tidy Framework and Infrastructure to Systematically Assemble Spatio-temporal Indexes from Multivariate Data
Journal of Computational and Graphical Statistics | 2025-06-25 | Paper |
Simultaneous upper and lower bounds of American-style option prices with hedging via neural networks
Quantitative Finance | 2025-05-26 | Paper |
Erratum for ‘Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility’
Stochastics | 2025-02-12 | Paper |
| Simultaneous upper and lower bounds of American option prices with hedging via neural networks | 2023-02-23 | Paper |
Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility
Stochastics | 2022-08-03 | Paper |
Deep neural networks algorithms for stochastic control problems on finite horizon: numerical applications
Methodology and Computing in Applied Probability | 2022-06-03 | Paper |
Portfolio optimization with a prescribed terminal wealth distribution
Quantitative Finance | 2022-04-05 | Paper |
Robust utility maximization under model uncertainty via a penalization approach
Mathematics and Financial Economics | 2022-04-01 | Paper |
Fast and Stable Multivariate Kernel Density Estimation by Fast Sum Updating
Journal of Computational and Graphical Statistics | 2022-03-28 | Paper |
Fast multivariate empirical cumulative distribution function with connection to kernel density estimation
Computational Statistics and Data Analysis | 2021-11-09 | Paper |
| Deep Semi-Martingale Optimal Transport | 2021-03-05 | Paper |
Deep neural networks algorithms for stochastic control problems on finite horizon: convergence analysis
SIAM Journal on Numerical Analysis | 2021-02-23 | Paper |
Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach
Quantitative Finance | 2019-09-26 | Paper |
Switching to nonaffine stochastic volatility: a closed-form expansion for the inverse gamma model
International Journal of Theoretical and Applied Finance | 2016-08-26 | Paper |
Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps
The Annals of Applied Probability | 2015-07-27 | Paper |
Discrete time approximation of fully nonlinear HJB equations via BSDEs with nonpositive jumps
The Annals of Applied Probability | 2015-07-27 | Paper |
A probabilistic numerical method for optimal multiple switching problems in high dimension
SIAM Journal on Financial Mathematics | 2015-01-20 | Paper |
A probabilistic numerical method for optimal multiple switching problems in high dimension
SIAM Journal on Financial Mathematics | 2015-01-20 | Paper |
A numerical algorithm for fully nonlinear HJB equations: an approach by control randomization
Monte Carlo Methods and Applications | 2014-06-30 | Paper |
A structural risk-neutral model for pricing and hedging power derivatives
Mathematical Finance | 2013-09-04 | Paper |
