| Publication | Date of Publication | Type |
|---|
When to efficiently rebalance a portfolio
Quantitative Finance | 2025-01-06 | Paper |
Short-time asymptotic behavior of the Brox diffusion
Electronic Communications in Probability | 2024-10-29 | Paper |
A partial rough path space for rough volatility
Electronic Journal of Probability | 2024-04-10 | Paper |
Malliavin calculus techniques for local asymptotic mixed normality and their application to hypoelliptic diffusions
Bernoulli | 2024-03-26 | Paper |
Malliavin calculus techniques for local asymptotic mixed normality and their application to hypoelliptic diffusions
Bernoulli | 2024-03-26 | Paper |
Limit distributions for the discretization error of stochastic Volterra equations with fractional kernel
The Annals of Applied Probability | 2024-01-19 | Paper |
| Backward stochastic difference equations on lattices with application to market equilibrium analysis | 2023-12-17 | Paper |
Wiener Spiral for Volatility Modeling
Theory of Probability & Its Applications | 2023-11-14 | Paper |
Super‐replication with transaction costs under model uncertainty for continuous processes
Mathematical Finance | 2023-09-28 | Paper |
Consistent estimation for fractional stochastic volatility model under high‐frequency asymptotics
Mathematical Finance | 2023-09-28 | Paper |
The asymptotic expansion of the regular discretization error of Itô integrals
Mathematical Finance | 2023-09-27 | Paper |
Weighted variance swaps hedge against impermanent loss
Quantitative Finance | 2023-08-02 | Paper |
On asymptotically arbitrage-free approximations of the implied volatility
Frontiers of Mathematical Finance | 2023-06-26 | Paper |
| A limit theorem for generalized tempered stable processes and their quadratic variations with stable index tending to two | 2023-05-04 | Paper |
A rough SABR formula
Frontiers of Mathematical Finance | 2022-08-30 | Paper |
Short communication: on the weak convergence rate in the discretization of rough volatility models
SIAM Journal on Financial Mathematics | 2022-07-22 | Paper |
Efficient discretisation of stochastic differential equations
Stochastics | 2022-07-05 | Paper |
Realized cumulants for martingales
Electronic Communications in Probability | 2022-01-06 | Paper |
A new discretization scheme for one dimensional stochastic differential equations using time change method
Electronic Communications in Probability | 2022-01-06 | Paper |
Refinement by reducing and reusing random numbers of the hybrid scheme for Brownian semistationary processes
Quantitative Finance | 2021-12-01 | Paper |
Volatility has to be rough
Quantitative Finance | 2021-12-01 | Paper |
On optimal thresholds for pairs trading in a one-dimensional diffusion model
The ANZIAM Journal | 2021-10-26 | Paper |
Discrete-time optimal execution under a generalized price impact model with markovian exogenous orders
International Journal of Theoretical and Applied Finance | 2021-10-20 | Paper |
EM algorithm for stochastic hybrid systems
Statistical Inference for Stochastic Processes | 2021-07-15 | Paper |
Short-term at-the-money asymptotics under stochastic volatility models
SIAM Journal on Financial Mathematics | 2019-07-10 | Paper |
Asymptotically efficient estimators for self-similar stationary Gaussian noises under high frequency observations
Bernoulli | 2019-06-14 | Paper |
Asymptotically efficient estimators for self-similar stationary Gaussian noises under high frequency observations
Bernoulli | 2019-06-14 | Paper |
Short-time at-the-money skew and rough fractional volatility
Quantitative Finance | 2018-11-19 | Paper |
Local asymptotic normality property for fractional Gaussian noise under high-frequency observations
The Annals of Statistics | 2018-10-24 | Paper |
Local asymptotic normality property for fractional Gaussian noise under high-frequency observations
The Annals of Statistics | 2018-10-24 | Paper |
Equilibrium returns with transaction costs
Finance and Stochastics | 2018-07-16 | Paper |
Equilibrium returns with transaction costs
Finance and Stochastics | 2018-07-16 | Paper |
Perfect hedging under endogenous permanent market impacts
Finance and Stochastics | 2018-04-06 | Paper |
The microstructural foundations of leverage effect and rough volatility
Finance and Stochastics | 2018-04-06 | Paper |
Asymptotic replication with modified volatility under small transaction costs
Finance and Stochastics | 2016-05-23 | Paper |
Optimal discretization of hedging strategies with directional views
SIAM Journal on Financial Mathematics | 2016-03-31 | Paper |
Asymptotic analysis for stochastic volatility: martingale expansion
Finance and Stochastics | 2014-12-18 | Paper |
Efficient discretization of stochastic integrals
Finance and Stochastics | 2014-11-14 | Paper |
| Efficient price dynamics in a limit order market: an utility indifference approach | 2014-10-29 | Paper |
Convex risk measures for good deal bounds
Mathematical Finance | 2014-08-11 | Paper |
Limit theorems for random walks under irregular conductance
Proceedings of the Japan Academy. Series A | 2014-05-02 | Paper |
VOLATILITY DERIVATIVES AND MODEL-FREE IMPLIED LEVERAGE
International Journal of Theoretical and Applied Finance | 2014-04-25 | Paper |
The normalizing transformation of the implied volatility smile
Mathematical Finance | 2013-05-14 | Paper |
Central limit theorems for realized volatility under hitting times of an irregular grid
Stochastic Processes and their Applications | 2012-10-26 | Paper |
Asymptotically efficient discrete hedging
Stochastic Analysis with Financial Applications | 2012-09-07 | Paper |
Discretization error of stochastic integrals
The Annals of Applied Probability | 2011-10-12 | Paper |
Asymptotic analysis for stochastic volatility: Edgeworth expansion
Electronic Journal of Probability | 2011-09-09 | Paper |
Asymptotic analysis for stochastic volatility: Edgeworth expansion
Electronic Journal of Probability | 2011-09-09 | Paper |
Central limit theorem for the realized volatility based on tick time sampling
Finance and Stochastics | 2011-04-06 | Paper |
| Conservative delta hedging under transaction costs | 2011-03-10 | Paper |
Normalization for Implied Volatility
(available as arXiv preprint) | 2010-08-30 | Paper |
Realized volatility with stochastic sampling
Stochastic Processes and their Applications | 2010-07-08 | Paper |
Edgeworth expansion for ergodic diffusions
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2008-10-16 | Paper |
