| Publication | Date of Publication | Type |
|---|
| Upper bounds for the derivatives of the density associated to solutions of stochastic differential equations with jumps | 2024-05-23 | Paper |
| Convergence in total variation for nonlinear functionals of random hyperspherical harmonics | 2024-01-05 | Paper |
| A hybrid approach for the implementation of the Heston model | 2022-11-09 | Paper |
| Using moment approximations to study the density of jump driven SDEs | 2022-06-13 | Paper |
| Convergence Rate of Markov Chains and Hybrid Numerical Schemes to Jump-Diffusion with Application to the Bates Model | 2021-02-23 | Paper |
| Regularization lemmas and convergence in total variation | 2020-07-29 | Paper |
| Total variation distance between stochastic polynomials and invariance principles | 2020-06-15 | Paper |
| Large deviations of conditioned diffusions and applications | 2020-02-24 | Paper |
| Tube estimates for diffusions under a local strong Hörmander condition | 2020-01-31 | Paper |
| NUMERICAL STABILITY OF A HYBRID METHOD FOR PRICING OPTIONS | 2020-01-02 | Paper |
| Non universality for the variance of the number of real roots of random trigonometric polynomials | 2019-07-17 | Paper |
| A robust tree method for pricing American options with the Cox–Ingersoll–Ross interest rate model | 2019-06-18 | Paper |
| Transfer of regularity for Markov semigroups | 2019-05-15 | Paper |
| Monte Carlo methods for pricing and hedging American options in high dimension | 2019-03-12 | Paper |
| Convergence in distribution norms in the CLT for non identical distributed random variables | 2018-08-24 | Paper |
| Convergence and regularity of probability laws by using an interpolation method | 2017-10-24 | Paper |
| Regularity of Wiener functionals under a Hörmander type condition of order one | 2017-07-28 | Paper |
| Diffusions under a local strong H\"ormander condition. Part II: tube estimates | 2016-07-15 | Paper |
| Asymptotic development for the CLT in total variation distance | 2016-07-14 | Paper |
| An Invariance Principle for Stochastic Series II. Non Gaussian Limits | 2016-07-13 | Paper |
| Regularity of probability laws by using an interpolation method | 2016-06-24 | Paper |
| Integration by parts formulas and the Riesz transform | 2016-06-24 | Paper |
| Construction of integration by parts formulas | 2016-06-24 | Paper |
| On Sharp Large Deviations for the Bridge of a General Diffusion | 2016-04-13 | Paper |
| An invariance principle for stochastic series I. Gaussian limits | 2015-10-13 | Paper |
| Large deviation approaches for the numerical computation of the hitting probability for Gaussian processes | 2015-07-31 | Paper |
| On the distances between probability density functions | 2015-02-03 | Paper |
| Large Deviation asymptotics for the exit from a domain of the bridge of a general Diffusion | 2014-06-18 | Paper |
| Positivity and lower bounds for the density of Wiener functionals | 2013-08-05 | Paper |
| Tubes estimates for diffusion processes under a local H\"ormander condition of order one | 2012-02-21 | Paper |
| General Freidlin-Wentzell large deviations and positive diffusions | 2011-07-26 | Paper |
| Riesz transform and integration by parts formulas for random variables | 2011-06-15 | Paper |
| Large deviation estimates of the crossing probability for pinned Gaussian processes | 2008-08-05 | Paper |
| A mixed PDE-Monte Carlo approach for pricing credit default index swaptions | 2007-05-24 | Paper |
| Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach | 2005-09-12 | Paper |
| Asymptotics of hitting probabilities for general one-dimensional pinned diffusions | 2003-05-06 | Paper |
| Law of the iterated logarithm for random walks on nilpotent groups | 2003-04-28 | Paper |
| Sharp estimates for the hitting probability on time-dependent barriers for a Brownian Motion. Weak approximation of a Brownian motion killed on time-dependent barriers | 2003-03-20 | Paper |
| Large and moderate deviations for random walks on nilpotent groups | 2002-02-24 | Paper |
| Pricing general barrier options: a numerical approach using sharp large deviations | 2001-11-26 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4934370 | 2000-06-14 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4384986 | 2000-03-13 | Paper |
| Some remarks on a Markov chain modelling cooperative biological systems | 2000-01-24 | Paper |
| Strassen's law of the iterated logarithm for diffusion processes for small time | 1999-11-18 | Paper |
| Diffusion approximations for random walks on nilpotent Lie groups | 1999-11-11 | Paper |
| WBF property and stochastical monotonicity of the Markov process associated to Schur-constant survival functions | 1996-06-16 | Paper |
| Fokker-Planck equations on homogeneous Lie groups and probabilistic counterparts | N/A | Paper |
