| Publication | Date of Publication | Type |
|---|
A change of measure formula for recursive conditional expectations
International Journal of Theoretical and Applied Finance | 2024-11-06 | Paper |
CBI-time-changed Lévy processes for multi-currency modeling
Annals of Operations Research | 2024-06-04 | Paper |
CBI-time-changed Lévy processes
Stochastic Processes and their Applications | 2023-08-14 | Paper |
Deep xVA Solver: A Neural Network–Based Counterparty Credit Risk Management Framework
SIAM Journal on Financial Mathematics | 2023-06-01 | Paper |
A fully quantization-based scheme for FBSDEs
Applied Mathematics and Computation | 2022-12-07 | Paper |
Mathematical Modeling and Computation in Finance: With Exercises and Python and Matlab Computer Codes
Quantitative Finance | 2022-11-18 | Paper |
Calibration to FX triangles of the 4/2 model under the benchmark approach
Decisions in Economics and Finance | 2022-06-17 | Paper |
| A change of measure formula for recursive conditional expectations | 2021-11-16 | Paper |
A unified approach to xVA with CSA discounting and initial margin
SIAM Journal on Financial Mathematics | 2021-11-05 | Paper |
Cross Currency Valuation and Hedging in the Multiple Curve Framework
SIAM Journal on Financial Mathematics | 2021-11-05 | Paper |
General closed-form basket option pricing bounds
Quantitative Finance | 2021-07-16 | Paper |
Multiple yield curve modelling with CBI processes
Mathematics and Financial Economics | 2021-07-08 | Paper |
A Fully Quantization-based Scheme for FBSDEs
(available as arXiv preprint) | 2021-05-07 | Paper |
General analysis of long-term interest rates
International Journal of Theoretical and Applied Finance | 2020-03-26 | Paper |
Affine multiple yield curve models
Mathematical Finance | 2019-05-23 | Paper |
Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models
Operations Research Letters | 2018-09-28 | Paper |
Long-term yield in an affine HJM framework on \(S_{d}^{+}\)
Applied Mathematics and Optimization | 2018-07-20 | Paper |
Coherent foreign exchange market models
International Journal of Theoretical and Applied Finance | 2017-03-30 | Paper |
A flexible matrix Libor model with smiles
Journal of Economic Dynamics and Control | 2016-10-05 | Paper |
A general HJM framework for multiple yield curve modelling
Finance and Stochastics | 2016-05-23 | Paper |
An affine multicurrency model with stochastic volatility and stochastic interest rates
SIAM Journal on Financial Mathematics | 2015-01-20 | Paper |
An affine multicurrency model with stochastic volatility and stochastic interest rates
SIAM Journal on Financial Mathematics | 2015-01-20 | Paper |
The explicit Laplace transform for the Wishart process
Journal of Applied Probability | 2014-10-15 | Paper |
The explicit Laplace transform for the Wishart process
Journal of Applied Probability | 2014-10-15 | Paper |
The Wishart short rate model
International Journal of Theoretical and Applied Finance | 2013-03-12 | Paper |
