| Publication | Date of Publication | Type |
|---|
On the Implied Volatility of Asian Options Under Stochastic Volatility Models
Applied Mathematical Finance | 2024-07-08 | Paper |
On the Skew and Curvature of the Implied and Local Volatilities
Applied Mathematical Finance | 2023-11-23 | Paper |
The asymptotic expansion of the regular discretization error of Itô integrals
Mathematical Finance | 2023-09-27 | Paper |
CVA in fractional and rough volatility models
Applied Mathematics and Computation | 2023-04-21 | Paper |
| Introduction to Financial Derivatives with Python | 2023-02-13 | Paper |
The implied volatility of Forward-Start options: ATM short-time level, skew and curvature
Stochastics | 2022-07-05 | Paper |
On smile properties of volatility derivatives: understanding the VIX skew
SIAM Journal on Financial Mathematics | 2022-02-15 | Paper |
A fractional model for the COVID-19 pandemic: Application to Italian data
Stochastic Analysis and Applications | 2021-11-18 | Paper |
On the difference between the volatility swap strike and the zero vanna implied volatility
SIAM Journal on Financial Mathematics | 2021-09-08 | Paper |
On the short-maturity behaviour of the implied volatility skew for random strike options and applications to option pricing approximation
Quantitative Finance | 2021-07-16 | Paper |
CVA and vulnerable options in stochastic volatility models
International Journal of Theoretical and Applied Finance | 2021-06-18 | Paper |
| Malliavin calculus in finance. Theory and practice. With a foreword by Dariusz Gatarek | 2021-01-27 | Paper |
Exponentiation of conditional expectations under stochastic volatility
Quantitative Finance | 2020-02-10 | Paper |
Volatility and volatility-linked derivatives: estimation, modeling, and pricing
Decisions in Economics and Finance | 2020-01-31 | Paper |
A note on the implied volatility of floating strike Asian options
Decisions in Economics and Finance | 2020-01-31 | Paper |
Target volatility option pricing in the lognormal fractional SABR model
Quantitative Finance | 2019-09-26 | Paper |
Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach
Finance and Stochastics | 2019-04-24 | Paper |
On the curvature of the smile in stochastic volatility models
SIAM Journal on Financial Mathematics | 2017-07-20 | Paper |
A fractional Heston model with \(H>1/2\)
Stochastics | 2017-04-11 | Paper |
Valuation of barrier options via a general self-duality
Mathematical Finance | 2016-07-15 | Paper |
| Fractal geometry and tumor growth | 2015-09-07 | Paper |
A decomposition formula for option prices in the Heston model and applications to option pricing approximation
Finance and Stochastics | 2012-11-15 | Paper |
An anticipating It\^o formula for L\'evy processes
(available as arXiv preprint) | 2009-04-27 | Paper |
A hull and white formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility
Journal of Applied Mathematics and Stochastic Analysis | 2009-04-01 | Paper |
Malliavin differentiability of the Heston volatility and applications to option pricing
Advances in Applied Probability | 2008-05-15 | Paper |
On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
Finance and Stochastics | 2007-12-16 | Paper |
A generalization of the Hull and White formula with applications to option pricing approximation
Finance and Stochastics | 2006-12-08 | Paper |
STABILITY FOR STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS WITH DIRICHLET WHITE-NOISE BOUNDARY CONDITIONS
Infinite Dimensional Analysis, Quantum Probability and Related Topics | 2004-09-24 | Paper |
Stochastic integration with respect to the fractional Brownian motion
Stochastics and Stochastic Reports | 2003-11-23 | Paper |
Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than 1/2
Stochastic Processes and their Applications | 2003-11-03 | Paper |
Stochastic calculus with respect to Gaussian processes
The Annals of Probability | 2003-05-06 | Paper |
Stochastic partial differential equations with Dirichlet white-noise boundary conditions
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2002-11-16 | Paper |
Stochastic partial differential equations with Dirichlet white-noise boundary conditions
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2002-11-16 | Paper |
Stochastic Stratonovich calculus fBm for fractional Brownian motion with Hurst parameter less than \(1/2\)
Taiwanese Journal of Mathematics | 2002-07-29 | Paper |
Stochastic heat equation with white-noise drift
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2001-06-27 | Paper |
Stochastic heat equation with white-noise drift
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2001-06-27 | Paper |
Stochastic heat equation with random coefficients
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2000-07-05 | Paper |
Anticipating stochastic Volterra equations
Stochastic Processes and their Applications | 2000-03-01 | Paper |
An extension of Itô's formula for anticipating processes
Journal of Theoretical Probability | 1999-06-20 | Paper |
| scientific article; zbMATH DE number 1066377 (Why is no real title available?) | 1998-03-17 | Paper |
