| Publication | Date of Publication | Type |
|---|
Borcherds symmetries in M-theory
Journal of High Energy Physics | 2026-03-05 | Paper |
Gravitational couplings of orientifold planes
Journal of High Energy Physics | 2026-02-25 | Paper |
Pricing Bermudan Options Using Regression Trees/Random Forests
SIAM Journal on Financial Mathematics | 2023-11-23 | Paper |
Policy Gradient Learning Methods for Stochastic Control with Exit Time and Applications to Share Repurchase Pricing
Applied Mathematical Finance | 2023-10-09 | Paper |
Branching diffusion representation for nonlinear Cauchy problems and Monte Carlo approximation
The Annals of Applied Probability | 2021-11-04 | Paper |
Branching diffusion representation for nonlinear Cauchy problems and Monte Carlo approximation
The Annals of Applied Probability | 2021-11-04 | Paper |
| Model-Free Hedging | 2019-04-29 | Paper |
| From (Martingale) Schrodinger bridges to a new class of Stochastic Volatility Models | 2019-04-09 | Paper |
Branching diffusion representation of semilinear PDEs and Monte Carlo approximation
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2019-03-20 | Paper |
Branching diffusion representation of semilinear PDEs and Monte Carlo approximation
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2019-03-20 | Paper |
Unifying the BGM and SABR models: a short ride in hyperbolic geometry
Springer Proceedings in Mathematics & Statistics | 2018-12-11 | Paper |
Some results on Skorokhod embedding and robust hedging with local time
Journal of Optimization Theory and Applications | 2018-11-27 | Paper |
Unbiased simulation of stochastic differential equations
The Annals of Applied Probability | 2018-03-08 | Paper |
Unbiased simulation of stochastic differential equations
The Annals of Applied Probability | 2018-03-08 | Paper |
Monotone martingale transport plans and Skorokhod embedding
Stochastic Processes and their Applications | 2017-09-07 | Paper |
An explicit martingale version of the one-dimensional Brenier theorem
Finance and Stochastics | 2016-09-07 | Paper |
An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint
Stochastic Processes and their Applications | 2016-08-08 | Paper |
A dual algorithm for stochastic control problems: applications to uncertain volatility models and CVA
SIAM Journal on Financial Mathematics | 2016-05-20 | Paper |
The maximum maximum of a martingale with given \(n\) marginals
The Annals of Applied Probability | 2016-03-11 | Paper |
The maximum maximum of a martingale with given \(n\) marginals
The Annals of Applied Probability | 2016-03-11 | Paper |
Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem
SIAM Journal on Financial Mathematics | 2015-12-09 | Paper |
AUTOMATED OPTION PRICING: NUMERICAL METHODS
International Journal of Theoretical and Applied Finance | 2014-04-25 | Paper |
A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
The Annals of Applied Probability | 2014-04-04 | Paper |
A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options
The Annals of Applied Probability | 2014-04-04 | Paper |
A numerical algorithm for a class of BSDEs via the branching process
Stochastic Processes and their Applications | 2014-02-07 | Paper |
| Nonlinear option pricing | 2014-02-06 | Paper |
Model-independent bounds for option prices -- a mass transport approach
Finance and Stochastics | 2013-07-18 | Paper |
| An Explicit Martingale Version of Brenier's Theorem | 2013-02-20 | Paper |
| Analysis, Geometry, and Modeling in Finance | 2008-10-09 | Paper |
Solvable local and stochastic volatility models: supersymmetric methods in option pricing
Quantitative Finance | 2007-12-19 | Paper |
| Borcherds symmetries in M-theory | 2002-03-07 | Paper |
