| Publication | Date of Publication | Type |
|---|
Fitting an Escalier to a Curve
(available as arXiv preprint) | 2025-01-01 | Paper |
Consistent time‐homogeneous modeling of SPX and VIX derivatives
Mathematical Finance | 2023-09-28 | Paper |
State constrained stochastic optimal control for continuous and hybrid dynamical systems using DFBSDE
Automatica | 2023-07-31 | Paper |
Principal eigenportfolios for U.S. equities
SIAM Journal on Financial Mathematics | 2022-07-22 | Paper |
Statistical arbitrage for multiple co-integrated stocks
Applied Mathematics and Optimization | 2022-07-08 | Paper |
Static replication of European standard dispersion options
Quantitative Finance | 2022-05-27 | Paper |
Trading signals in VIX futures
Applied Mathematical Finance | 2022-05-10 | Paper |
A functional analysis approach to the static replication of European options
Quantitative Finance | 2021-12-01 | Paper |
Singular perturbation expansion for utility maximization with order-\(\epsilon\) quadratic transaction costs
International Journal of Theoretical and Applied Finance | 2020-01-02 | Paper |
Backward SDEs for control with partial information
Mathematical Finance | 2019-05-08 | Paper |
Statistics of VIX futures and applications to trading volatility exchange-traded products
International Journal of Theoretical and Applied Finance | 2019-03-15 | Paper |
Implied filtering densities on the hidden state of stochastic volatility
Applied Mathematical Finance | 2018-09-12 | Paper |
Dimension reduction in statistical estimation of partially observed multiscale processes
SIAM/ASA Journal on Uncertainty Quantification | 2018-04-19 | Paper |
Perturbation analysis for investment portfolios under partial information with expert opinions
SIAM Journal on Control and Optimization | 2017-05-24 | Paper |
Pairs trading of two assets with uncertainty in co-integration's level of mean reversion
International Journal of Theoretical and Applied Finance | 2017-01-04 | Paper |
Filtering and portfolio optimization with stochastic unobserved drift in asset returns
Communications in Mathematical Sciences | 2015-06-12 | Paper |
Filtering the Maximum Likelihood for Multiscale Problems
Multiscale Modeling & Simulation | 2015-05-21 | Paper |
A regime-switching Heston model for VIX and S&P 500 implied volatilities
Quantitative Finance | 2015-04-23 | Paper |
| Introduction to Stochastic Differential Equations (SDEs) for Finance | 2015-04-21 | Paper |
Introduction to Stochastic Differential Equations (SDEs) for Finance
(available as arXiv preprint) | 2015-01-01 | Paper |
| Stochastic Analysis Seminar on Filtering Theory | 2014-06-07 | Paper |
Numerical Solution of Stochastic Differential Equations with Jumps in Finance
Quantitative Finance | 2014-02-20 | Paper |
Dimension reduction in discrete time portfolio optimization with partial information
SIAM Journal on Financial Mathematics | 2014-01-23 | Paper |
Stochastic Analysis Seminar on Filtering Theory
(available as arXiv preprint) | 2014-01-01 | Paper |
Nonlinear filters for hidden Markov models of regime change with fast mean-reverting states
Multiscale Modeling & Simulation | 2013-01-24 | Paper |
Filtering for fast mean-reverting processes
Asymptotic Analysis | 2011-03-09 | Paper |
