| Publication | Date of Publication | Type |
|---|
Deep calibration with random grids
Quantitative Finance | 2025-01-06 | Paper |
A Stochastic Volatility Model With Realized Measures for Option Pricing
Journal of Business and Economic Statistics | 2024-10-28 | Paper |
A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics
Journal of Business and Economic Statistics | 2024-10-11 | Paper |
Stable Lévy Processes via Lamperti-Type Representations Stable Lévy Processes via Lamperti-Type Representations , Andreas E. Kyprianou and Juan Carlos Pardo, New York, NY: Cambridge University Press, 2022, xx+463 pp., $69.99(H), ISBN 978-1-108-48029-1.
Journal of the American Statistical Association | 2024-03-19 | Paper |
A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics
Quantitative Finance | 2023-06-20 | Paper |
The SINC way: a fast and accurate approach to Fourier pricing
Quantitative Finance | 2022-05-05 | Paper |
Impact of multiple curve dynamics in credit valuation adjustments under collateralization
Quantitative Finance | 2021-09-03 | Paper |
A generalized Fourier transform approach to risk measures
Journal of Statistical Mechanics: Theory and Experiment | 2020-08-11 | Paper |
Erratum: A generalized Fourier transform approach to risk measures
Journal of Statistical Mechanics: Theory and Experiment | 2020-08-11 | Paper |
A realized volatility approach to option pricing with continuous and jump variance components
Decisions in Economics and Finance | 2020-01-31 | Paper |
The probability distribution of returns in the exponential Ornstein-Uhlenbeck model
Journal of Statistical Mechanics: Theory and Experiment | 2019-10-22 | Paper |
A Stylized Model for Long-Run Index Return Dynamics
Essays in Economic Dynamics | 2018-11-19 | Paper |
Multi-curve HJM modelling for risk management
Quantitative Finance | 2018-11-14 | Paper |
Linear models for the impact of order flow on prices. I. History dependent impact models
Quantitative Finance | 2018-11-14 | Paper |
Linear models for the impact of order flow on prices. II: The mixture transition distribution model
Quantitative Finance | 2018-11-14 | Paper |
Collective synchronization and high frequency systemic instabilities in financial markets
Quantitative Finance | 2018-11-14 | Paper |
Impact of multiple curve dynamics in credit valuation adjustments under collateralization
Quantitative Finance | 2018-11-14 | Paper |
Impact of Multiple-Curve Dynamics in Credit Valuation Adjustments
Innovations in Derivatives Markets | 2018-10-22 | Paper |
Modelling systemic price cojumps with Hawkes factor models
Quantitative Finance | 2018-09-19 | Paper |
Modelling systemic price cojumps with Hawkes factor models
Quantitative Finance | 2018-09-19 | Paper |
A backward Monte Carlo approach to exotic option pricing
European Journal of Applied Mathematics | 2018-07-13 | Paper |
Smile from the past: a general option pricing framework with multiple volatility and leverage components
Journal of Econometrics | 2015-06-08 | Paper |
Smile from the past: a general option pricing framework with multiple volatility and leverage components
Journal of Econometrics | 2015-06-08 | Paper |
Multiplicative noise, fast convolution and pricing
Quantitative Finance | 2014-09-05 | Paper |
Bayesian value-at-risk with product partition models
Quantitative Finance | 2014-01-17 | Paper |
Option pricing under Ornstein-Uhlenbeck stochastic volatility: a linear model
International Journal of Theoretical and Applied Finance | 2011-01-13 | Paper |
Accounting for risk of non linear portfolios. A novel Fourier approach
The European Physical Journal B. Condensed Matter and Complex Systems | 2011-01-04 | Paper |
Pricing exotic options in a path integral approach
Quantitative Finance | 2006-06-16 | Paper |
